cno-20201102
0001224608falsetrue00012246082020-11-022020-11-020001224608us-gaap:CommonStockMember2020-11-022020-11-020001224608cno:RightsToPurchaseSeriesDJuniorParticipatingPreferredStockMember2020-11-022020-11-02


UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549

FORM 8-K

CURRENT REPORT
PURSUANT TO SECTION 13 OR 15(d) OF THE
SECURITIES EXCHANGE ACT OF 1934

Date of Report (Date of earliest event reported): November 2, 2020

CNO Financial Group, Inc.
(Exact Name of Registrant as Specified in Charter)
 
Delaware001-3179275-3108137
(State or Other
Jurisdiction of Incorporation)		(Commission File Number)(I.R.S. Employer
Identification No.)
11825 North Pennsylvania Street
Carmel, Indiana  46032
(Address of Principal Executive Offices) (Zip Code)

(317) 817-6100
(Registrant's telephone number, including area code)

Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions:
☐Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)
☐Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)
☐Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))
☐Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))

Securities registered pursuant to Section 12(b) of the Act:
Title of each classTrading SymbolName of each exchange on which registered
Common Stock, par value $0.01 per shareCNONew York Stock Exchange
Rights to purchase Series D Junior Participating Preferred StockNew York Stock Exchange

Indicate by check mark whether the registrant is an emerging growth company as defined in Rule 405 of the Securities Act of 1933 (§230.405 of this chapter) or Rule 12b-2 of the Securities Exchange Act of 1934 (§240.12b-2 of this chapter).

Emerging growth company ☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐



Item 2.02.Results of Operations and Financial Condition.

On November 2, 2020, CNO Financial Group, Inc. (the "Company") issued: (i) a press release announcing its financial results for the quarter ended September 30, 2020, a copy of which is attached hereto as Exhibit 99.1 and is incorporated herein by reference; (ii) the Quarterly Financial Supplement for September 30, 2020, a copy of which is attached hereto as Exhibit 99.2 and is incorporated herein by reference; and (iii) additional financial information related to its financial and operating results for the quarter ended September 30, 2020, a copy of which is attached hereto as Exhibit 99.3 and is incorporated herein by reference.

The information contained under Item 2.02 in this Current Report on Form 8-K (including Exhibits 99.1, 99.2 and 99.3) is being furnished and shall not be deemed "filed" for purposes of Section 18 of the Securities Exchange Act of 1934, as amended (the "Exchange Act"), or otherwise subject to the liabilities of that Section. The information contained in this Current Report on Form 8-K shall not be incorporated by reference into any registration statement or other document pursuant to the Securities Act of 1933, as amended, or the Exchange Act, except as shall be expressly set forth by specific reference in any such filing.

Item 9.01(d).Financial Statements and Exhibits.

The following materials are furnished as exhibits to this Current Report on Form 8-K:
99.1
99.2
99.3





2



SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized.
CNO Financial Group, Inc.
Date: November 2, 2020
By:/s/ John R. Kline
John R. Kline
Senior Vice President and
Chief Accounting Officer




3

Exhibit 99.1

cnologopr1.jpg                            News

For Immediate Release

CNO Financial Group Reports Third Quarter 2020 Results
Strong third quarter with earnings per share up 237%; solid capital and liquidity;
completed $50 million in share repurchases

Carmel, Ind., November 2, 2020 - CNO Financial Group, Inc. (NYSE: CNO) today announced that for the quarter ending September 30, 2020, net income was $129.2 million, or $0.91 per diluted share compared to net income of $42.0 million, or $0.27 per diluted share in 3Q19. Net operating income (1) in 3Q20 was $112.6 million, or $0.79 per diluted share, compared to $69.2 million, or $0.45 per diluted share in 3Q19.
"CNO generated record operating earnings in the third quarter, driven by fewer health claims due to the deferral of care, strong investment results and continued expense discipline," said Gary C. Bhojwani, chief executive officer. "Consumer Division sales and distribution metrics neared, and in several areas exceeded, pre-COVID levels in the quarter. We continued to accelerate the integration of our direct-to-consumer and exclusive agent capabilities to offer customers more choice with how they wish to engage - online, over the phone or in-person with an agent."
"Our capital and liquidity levels remain robust and we returned $66.8 million to shareholders, including $50 million through share repurchases. Our performance this quarter underscores the continued strength and resiliency of our business. CNO remains well-positioned to navigate the ongoing economic uncertainty while continuing to enhance shareholder value."


Highlights
•Record operating (1) EPS up 76% from 3Q19 to $0.79
•Consumer Division life and health sales up 10%; direct-to-consumer sales up 23% from 3Q19
•Insurance product margin up 22% from 3Q19, favorably impacted by care deferrals that are expected to normalize in future periods
•Net investment income up 4% from 3Q19
•Returned $66.8 million to shareholders in the form of share repurchases ($50 million) and dividends ($16.8 million); reduced weighted average share count by 9% since 3Q19
•Generated return on equity (ROE) of 10.4%; operating ROE, as adjusted (6), of 11.9%
•Book value per diluted share was $36.32, up 22% from 3Q19; book value per diluted share, excluding accumulated other comprehensive income (2), was $23.45, up 16% from 3Q19





FINANCIAL SUMMARY
Quarter End
(Amounts in millions, except per share data)
(Unaudited)

Net operating income, a non-GAAP(a) financial measure, is used consistently by CNO’s management to evaluate the operating performance of the Company and is a measure commonly used in the life insurance industry. It differs from net income primarily because it excludes certain non-operating items such as realized investment gains (losses), changes in fair values of embedded derivatives, equity securities and the liability for a deferred compensation plan, and certain significant and unusual items included in net income. Management believes an analysis of net operating income is important in understanding the profitability and operating trends of the Company’s business. Net income is the most directly comparable GAAP measure.
Per diluted share
Quarter endedQuarter ended
September 30,September 30,
20202019% change20202019% change
Income from insurance products (b)
$0.81 $0.44 84 $114.5 $68.8 66 
Fee income— 0.02 (100)0.8 3.0 (73)
Investment income not allocated to product lines (c)
0.31 0.22 41 43.7 34.3 27 
Expenses not allocated to product lines(0.10)(0.11)9 (13.7)(18.2)25 
Operating earnings before taxes1.02 0.57 145.3 87.9 
Income tax expense on operating income(0.23)(0.12)(92)(32.7)(18.7)(75)
Net operating income (1)0.79 0.45 76 112.6 69.2 63 
Net realized investment gains (losses) from sales, impairments and change in allowance for credit losses (net of related amortization)0.05 (0.02)7.7 (2.6)
Net change in market value of investments recognized in earnings0.06 0.03 8.5 4.7 
Fair value changes in embedded derivative liabilities (net of related amortization)(0.01)(0.19)(1.6)(29.3)
Other0.05 (0.04)6.5 (7.2)
Non-operating income (loss) before taxes0.15 (0.22)21.1 (34.4)
Income tax expense (benefit) on non-operating income (loss)0.03 (0.04)4.5 (7.2)
Net non-operating income (loss)0.12 (0.18)16.6 (27.2)
Net income$0.91 $0.27 $129.2 $42.0 
Weighted average diluted shares outstanding141.7 155.3 

(a)    GAAP is defined as accounting principles generally accepted in the United States of America.
(b)    Income from insurance products is the sum of the insurance margins of the annuity, health and life segments, less allocated insurance administrative expenses. It excludes the fee income segment, excess investment income, parent company expenses and income taxes. Insurance margin is management’s measure of the profitability of its annuity, health and life segments’ performance and consists of premiums plus allocated investment income less insurance policy benefits, interest credited, commissions, advertising expense and amortization of acquisition costs.
(c)    Investment income not allocated to product lines is defined as net investment income less: (i) equity returns credited to policyholder account balances; (ii) the investment income allocated to our product lines; (iii) interest expense on notes payable and investment borrowings; and (iv) certain expenses related to benefit plans that are offset by special-purpose investment income.

2

FINANCIAL SUMMARY (continued)
Management vs. GAAP Measures
(Dollars in millions, except per share data)
(Unaudited)

Shareholders’ equity, excluding accumulated other comprehensive income, and book value per share, excluding accumulated other comprehensive income, are non-GAAP measures that are utilized by management to view the business without the effect of accumulated other comprehensive income which is primarily attributable to fluctuations in interest rates associated with fixed maturities, available for sale. Management views the business in this manner because the Company has the ability and generally, the intent, to hold investments to maturity and meaningful trends can be more easily identified without the fluctuations.
______________________________________________________________________________________________________
Quarter ended
September 30,
20202019
Trailing twelve months return on equity (a)
10.4 %4.1 %
Trailing twelve months operating return, excluding significant items, on equity, excluding accumulated other comprehensive income and net operating loss carryforwards (a non-GAAP financial measure) (6)11.9 %10.6 %
Shareholders’ equity$5,083.9 $4,553.3 
Accumulated other comprehensive income(1,801.6)(1,442.9)
Shareholders’ equity, excluding accumulated other comprehensive income3,282.3 3,110.4 
Net operating loss carryforwards(377.2)(425.4)
Shareholders' equity, excluding accumulated other comprehensive income and net operating loss carryforwards$2,905.1 $2,685.0 
Book value per diluted share$36.32 $29.71 
Accumulated other comprehensive income(12.87)(9.41)
Book value per diluted share, excluding accumulated other comprehensive income (a non-GAAP financial measure) (2)$23.45 $20.30 

(a) Calculated using average shareholders’ equity for the measurement period.

3

INSURANCE OPERATIONS
Comparing 3Q2020 with 3Q2019

Annuity products accounted for 19 percent of the Company’s margin for the quarter.

Annuity premiums collected decreased 12 percent, reflecting pricing discipline and current market conditions, while annuity account values increased 4 percent.

Health products accounted for 62 percent of CNO’s insurance margin for the quarter and 67 percent of insurance policy income.

Life products accounted for 19 percent of the Company’s insurance margin for the quarter and 32 percent of insurance policy income.

Sales of health products decreased by 16 percent and sales of life products were up 19 percent.

ANNUITY COLLECTED PREMIUMS
(Dollars in millions)
(Unaudited)
Quarter ended September 30,
20202019% change
Annuity collected premiums$285.1 $325.2 (12)


INSURANCE POLICY INCOME
(Dollars in millions)
(Unaudited)
Quarter ended September 30,
20202019% change
Annuity riders$4.3 $5.1 (16)
Health421.4 425.3 (1)
Life202.6 189.6 7 
Total insurance policy income$628.3 $620.0 1 


SALES MEASURED AS NEW ANNUALIZED PREMIUMS FOR
LIFE AND HEALTH PRODUCTS
(Dollars in millions)
(Unaudited)
Quarter ended September 30,
20202019% change
Health$39.4 $46.7 (16)
Life44.3 37.3 19 
Total new annualized premiums (4)$83.7 $84.0 — 


4

INSURANCE MARGIN
(Amounts in millions, except per share data)
(Unaudited)


Insurance margin is management’s measure of profitability of its annuity, health and life segments’ performance and consists of premiums plus allocated investment income less insurance policy benefits, interest credited, commissions, advertising expense and amortization of acquisition costs. Income from insurance products is the sum of the insurance margins of the annuity, health and life segments, less allocated insurance administrative expenses. It excludes the fee income segment, investment income not allocated to product lines, expenses not allocated to product lines and income taxes. Management believes this information helps provide a better understanding of the business and a more meaningful analysis of our operations. Insurance income, a non-GAAP measure, is a component of net operating income, which is reconciled to net income in the Financial Summary section above.
Quarter ended
September 30,
2020		% of insurance policy incomeSeptember 30,
2019		% of insurance policy income% change
Margin
Annuity interest margin$45.3 $56.2 (19)
Life insurance interest margin17.9 18.0 (1)
Total interest-sensitive margin63.2 74.2 (15)
Insurance margin
Health152.2 36 89.3 21 70 
Life (a)29.4 18 36.6 24 (20)
Total other insurance margin181.6 31 125.9 22 44 
Total insurance margin244.8 200.1 
Allocated expenses(130.3)(131.3)
Income from insurance products$114.5 $68.8 
Per diluted share$0.81 $0.44 
Weighted average diluted shares141.7 155.3 


(a)    Net of $14.2 million and $16.1 million of non-deferred television advertising expense related to our direct distribution channel in the 2020 and 2019 periods, respectively.
    

Total allocated expenses were $130.3 million, down 1 percent from the year-ago quarter.


5

ANNUITY RESULTS BY PRODUCT TYPE
(Dollars in millions)
(Unaudited)
Annuity margin
Quarter ended
September 30,
20202019
Fixed index annuities$36.6 $42.2 
Fixed interest annuities9.2 11.7 
Other annuities(0.5)2.3 
Total$45.3 $56.2 

Annuity collected premiums
Quarter ended
September 30,
20202019
Annuity collected premiums$285.1 $325.2 

Average net insurance liabilities (5)
Quarter ended
September 30,
20202019
Fixed index annuities$7,173.9 $6,587.5 
Fixed interest annuities2,041.6 2,263.4 
Other annuities524.0 569.8 
Total$9,739.5 $9,420.7 

Margin/average net insurance liabilities (a)
Quarter ended
September 30,
20202019
Fixed index annuities2.04 %2.56 %
Fixed interest annuities1.80 %2.07 %
Other annuities(0.38)%1.61 %
Total1.86 %2.39 %

(a)    Defined as annualized quarterly annuity margin divided by average net insurance liabilities (5).
6

HEALTH INSURANCE RESULTS BY PRODUCT TYPE
(Dollars in millions)
(Unaudited)

Health margin
Quarter ended
September 30,
20202019
Amount% of insurance policy incomeAmount% of insurance policy income% change
Supplemental health and other health$51.1 30 $43.9 27 16 
Medicare supplement71.7 39 33.1 17 117 
Long-term care29.4 44 12.3 18 139 
Total$152.2 36 $89.3 21 70 


Health insurance policy income
Quarter ended
September 30,
20202019% change
Supplemental health and other health$169.2 $165.3 2 
Medicare supplement186.1 192.8 (3)
Long-term care66.1 67.2 (2)
Total$421.4 $425.3 (1)

Health NAP (4)
Quarter ended
September 30,
20202019% change
Supplemental health and other health$21.3 $26.1 (18)
Medicare supplement11.0 14.2 (23)
Long-term care7.1 6.4 11 
Total$39.4 $46.7 (16)
7

LIFE INSURANCE RESULTS BY PRODUCT TYPE
(Dollars in millions)
(Unaudited)
Life margin
Quarter ended
September 30,
20202019
Amount% of insurance policy incomeAmount% of insurance policy income% change
Life insurance interest margin$0.7 $1.2 (42)
Life insurance margin:
Traditional life29.4 18 36.6 24 (20)
Interest sensitive life17.2 43 16.8 45 2 
Subtotal46.6 23 53.4 28 (13)
Total margin$47.3 $54.6 (13)

Life insurance policy income
Quarter ended
September 30,
20202019% change
Traditional life$162.5 $152.5 7 
Interest sensitive life40.1 37.1 8 
Total$202.6 $189.6 7 

Life NAP (4)
Quarter ended
September 30,
20202019% change
Traditional life$37.7 $29.0 30 
Interest sensitive life6.6 8.3 (20)
Total$44.3 $37.3 19 

Average net insurance liabilities (5) and interest margin
Quarter ended
September 30,
20202019% change
Interest sensitive life products$926.7 $869.2 7 
Interest margin/average net insurance liabilities (5)0.30 %0.55 %(45)






8

QUARTERLY AVERAGE PRODUCING AGENTS
Average Producing Agent Count
Quarter ended
September 30,%
20202019change
Consumer
Producing agents4,448 4,579 (3)
Financial representatives637 596 7 
Worksite242 420 (42)


INVESTMENTS
INVESTMENT INCOME NOT ALLOCATED TO PRODUCT LINES
(Dollars in millions, except per share data)

Management uses investment income not allocated to product lines as the measure to evaluate the performance of the investment segment. It is defined as net investment income less the investment income allocated to our product segments and interest expense on debt. We also view investment income not allocated to product lines per diluted share as an important and useful measure to evaluate performance of the investment segment as it takes into consideration our share repurchase program.

Quarter ended September 30,
20202019% change
Net investment income$343.5 $299.5 15 
Allocated to product lines:
Annuity(115.6)(116.5)(1)
Health(70.9)(70.1)1 
Life(35.2)(34.6)2 
Equity returns credited to policyholder account balances(46.0)(3.6)1,178 
Amounts allocated to product lines and credited to policyholder account balances(267.7)(224.8)19 
Amount related to variable interest entities and other non-operating items(9.8)(13.7)(28)
Interest expense on corporate debt(13.6)(13.9)(2)
Interest expense on investment borrowings(3.4)(11.4)(70)
Less amounts credited to deferred compensation plans (offsetting investment income)(5.3)(1.4)279 
Total adjustments(32.1)(40.4)
Investment income not allocated to product lines$43.7 $34.3 27 
Per share diluted share$0.31 $0.22 


9

INVESTMENT PORTFOLIO
(Dollars in millions)

The composition of the investment portfolio at September 30, 2020 is as follows:
$% of total
Fixed maturities, available for sale, at fair value$22,702.9 85 
Equity securities at fair value62.1 — 
Mortgage loans1,444.9 5 
Policy loans123.6 1 
Trading securities240.3 1 
Investments held by variable interest entities1,172.6 4 
Other invested assets1,070.6 4 
Total investment portfolio$26,817.0 100 

Fixed maturities, available for sale, at amortized cost by asset class as of September 30, 2020 are as follows:
Investment gradeBelow investment gradeTotal
Corporate securities$11,030.5 $738.8 $11,769.3 
United States Treasury securities and obligations of the United States government and agencies162.3 — 162.3 
States and political subdivisions2,269.8 12.9 2,282.7 
Debt securities issued by foreign governments85.6 — 85.6 
Asset-backed securities1,002.9 90.1 1,093.0 
Agency residential mortgage-backed securities60.9 — 60.9 
Non-agency residential mortgage-backed securities935.1 1,053.8 (a)1,988.9 
Collateralized loan obligations469.9 — 469.9 
Commercial mortgage-backed securities1,810.4 60.3 1,870.7 
Total$17,827.4 $1,955.9 $19,783.3 

____________________
(a)     Certain structured securities rated below investment grade by Nationally Recognized Statistical Rating Organizations may be assigned a NAIC 1 or NAIC 2 designation based on the cost basis of the security relative to estimated recoverable amounts as determined by the National Association of Insurance Commissioners (NAIC).

The fair value of CNO’s available for sale fixed maturity portfolio was $22.7 billion compared with an amortized cost of $19.8 billion. Net unrealized gains were comprised of gross unrealized gains of $3.0 billion and gross unrealized losses of $84 million. The allowance for credit losses was $7.6 million at September 30, 2020.

At amortized cost and fair value, 90 percent and 91 percent of fixed maturities, available for sale, were rated “investment grade”, respectively.

Acquisitions of fixed maturity investments during the quarter totaled $1.2 billion. Comparable information for acquisitions of fixed maturity investments is as follows:
Fixed maturity acquisitions
Quarter ended
September 30,
20202019
Total fixed maturity acquisitions$1,208.7 $1,118.5 
Annual effective yield3.26 3.67 
Average ratingBBB+A-
Average life (in years)5.8 3.2 

10

Non-Operating Items
Net realized investment gains in 3Q20 were $7.7 million (net of related amortization) including the favorable change in the allowance for credit losses of $8.1 million which were recorded in earnings. Net realized investment losses in 3Q19 were $2.6 million (net of related amortization) including other-than-temporary impairment losses of $3.4 million which were recorded in earnings.

During 3Q20 and 3Q19, we recognized an increase in earnings of $8.5 million and $4.7 million, respectively, due to the net change in market value of investments recognized in earnings.

During 3Q20 and 3Q19, we recognized a decrease in earnings of $1.6 million and $29.3 million, respectively, resulting from changes in the estimated fair value of embedded derivative liabilities related to our fixed index annuities, net of related amortization. Such amounts include the impacts of changes in market interest rates used to determine the derivative's estimated fair value.

In 3Q19, we recognized a decrease in earnings of $6.0 million for the mark-to-market change in the agent deferred compensation plan liability which was impacted by changes in the underlying actuarial assumptions used to value the liability. We recognize the mark-to-market change in the estimated value of this liability through earnings as assumptions change.

Statutory (based on non-GAAP measures) and GAAP Capital Information
Our consolidated statutory risk-based capital ratio was estimated at 428% at September 30, 2020, reflecting estimated 3Q20 statutory operating income of $130 million (and $358 million in the first nine months of 2020) and the payment of insurance company dividends to the holding company of $50.5 million during 3Q20 and $180.8 million during the first nine months of 2020. Statutory operating income and capital and surplus were favorably impacted by $99 million and $53 million, respectively, related to certain provisions in the Coronavirus Aid, Relief, and Economic Security ("CARES") Act in the first nine months of 2020.

During the third quarter of 2020, we repurchased $50.0 million of common stock under our securities repurchase program. We repurchased 3.0 million common shares at an average cost of $16.68 per share. As of September 30, 2020, we had 138.9 million shares outstanding and had authority to repurchase up to an additional $369.3 million of our common stock. During 3Q20, dividends paid on common stock totaled $16.8 million.

Unrestricted cash and investments held by our holding company were $236 million at September 30, 2020, compared to $187 million at December 31, 2019.

Book value per common share was $36.59 at September 30, 2020 compared to $31.58 at December 31, 2019. Book value per diluted share, excluding accumulated other comprehensive income (loss) (2), was $23.45 at September 30, 2020, compared to $22.09 at December 31, 2019.

The debt-to-capital ratio was 16.3 percent and 17.5 percent at September 30, 2020 and December 31, 2019, respectively. Our debt-to-total capital ratio, excluding accumulated other comprehensive income (3) was 23.2 percent at September 30, 2020 compared to 23.0 percent at December 31, 2019.

Return on equity for the trailing four quarters ended September 30, 2020 and 2019, was 10.4% and 4.1%, respectively. Operating return, excluding significant items, on equity, excluding accumulated other comprehensive income and net operating loss carryforwards (6) for the trailing four quarters ended September 30, 2020 and 2019, was 11.9% and 10.6%, respectively.

In this news release, CNO includes non-GAAP measures to enhance investors’ understanding of management’s view of the business. The non-GAAP measures are not a substitute for GAAP, but rather a supplement to increase transparency by providing broader perspective. CNO’s definitions of non-GAAP measures may differ from other companies’ definitions. More detailed information including various GAAP and non-GAAP measurements are located at CNOinc.com in the Investors section under SEC Filings.

11

CAUTION REGARDING FORWARD-LOOKING STATEMENTS:

This press release may contain forward-looking statements within the meaning of federal securities laws. These prospective statements reflect management’s current expectations, but are not guarantees of future performance. Accordingly, please refer to CNO’s cautionary statement regarding forward-looking statements, and the business environment in which the Company operates, contained in the Company’s Form 10-K for the year ended December 31, 2019 and any subsequent Form 10-Q on file with the Securities and Exchange Commission and on the Company’s website at CNOinc.com in the Investors section.  CNO specifically disclaims any obligation to update or revise any forward-looking statement because of new information, future developments or otherwise.

EARNINGS RELEASE CONFERENCE CALL WEBCAST:

The Company will host a conference call to discuss results on November 3, 2020 at 11:00 a.m. Eastern Time. During the call, we will be referring to a presentation that will be available at the Investors section of the company's website.

To participate by dial-in, please register at http://www.directeventreg.com/registration/event/5861684. Upon registering, you will be provided with call details and a registrant ID used to track attendance on the conference call. Reminders will also be sent to registered participants via email.

For those investors who prefer to listen to the call online, we will be broadcasting the call live via webcast. The event can be accessed through the Investors section of the company's website: ir.CNOinc.com. Participants should go to the website at least 15 minutes before the event to register and download any necessary audio software.



12

CNO FINANCIAL GROUP, INC. AND SUBSIDIARIES
CONSOLIDATED BALANCE SHEET
(Dollars in millions)
(unaudited)

September 30, 2020December 31, 2019
ASSETS
Investments:
Fixed maturities, available for sale, at fair value (net of allowance for credit losses of $7.6 at September 30, 2020; amortized cost: September 30, 2020 - $19,783.3; December 31, 2019 - $19,179.5)$22,702.9 $21,295.2 
Equity securities at fair value62.1 44.1 
Mortgage loans (net of allowance for credit losses of $12.2 at September 30, 2020)1,444.9 1,566.1 
Policy loans123.6 124.5 
Trading securities240.3 243.9 
Investments held by variable interest entities (net of allowance for credit losses of $22.2 at September 30, 2020; amortized cost: September 30, 2020 - $1,223.7; December 31, 2019 - $1,206.3)1,172.6 1,188.6 
Other invested assets1,070.6 1,118.5 
Total investments26,817.0 25,580.9 
Cash and cash equivalents - unrestricted735.6 580.0 
Cash and cash equivalents held by variable interest entities51.0 74.7 
Accrued investment income214.4 205.9 
Present value of future profits255.9 275.4 
Deferred acquisition costs1,084.0 1,215.5 
Reinsurance receivables (net of allowance for credit losses of $4.0 at September 30, 2020)4,613.1 4,785.7 
Income tax assets, net322.0 432.6 
Assets held in separate accounts3.9 4.2 
Other assets472.3 476.0 
Total assets$34,569.2 $33,630.9 
LIABILITIES AND SHAREHOLDERS' EQUITY
Liabilities:  
Liabilities for insurance products:  
Policyholder account liabilities$12,357.5 $12,132.3 
Future policy benefits11,753.1 11,498.5 
Liability for policy and contract claims473.2 522.3 
Unearned and advanced premiums256.8 260.5 
Liabilities related to separate accounts3.9 4.2 
Other liabilities855.8 750.2 
Investment borrowings1,642.9 1,644.3 
Borrowings related to variable interest entities1,152.0 1,152.5 
Notes payable – direct corporate obligations990.1 989.1 
Total liabilities29,485.3 28,953.9 
Commitments and Contingencies
Shareholders' equity:  
Common stock ($0.01 par value, 8,000,000,000 shares authorized, shares issued and outstanding: September 30, 2020 – 138,931,352; December 31, 2019 – 148,084,178)1.4 1.5 
Additional paid-in capital2,623.4 2,767.3 
Accumulated other comprehensive income1,801.6 1,372.5 
Retained earnings657.5 535.7 
Total shareholders' equity5,083.9 4,677.0 
Total liabilities and shareholders' equity$34,569.2 $33,630.9 

13

CNO FINANCIAL GROUP, INC. AND SUBSIDIARIES
CONSOLIDATED STATEMENT OF OPERATIONS
(Dollars in millions, except per share data)
(unaudited)
Three months endedNine months ended
September 30,September 30,
 2020201920202019
Revenues:  
Insurance policy income$628.3 $620.0 $1,882.3 $1,857.6 
Net investment income:    
General account assets276.9 274.1 788.9 827.8 
Policyholder and other special-purpose portfolios66.6 25.4 43.0 162.0 
Realized investment gains (losses):  
Net realized investment gains (losses)8.2 5.7 (24.0)29.3 
Change in allowance for credit losses and other-than-temporary impairment losses (a)8.1 (3.4)(31.4)(5.6)
Total realized gains (losses)16.3 2.3 (55.4)23.7 
Fee revenue and other income25.4 22.2 86.1 75.7 
Total revenues1,013.5 944.0 2,744.9 2,946.8 
Benefits and expenses:    
Insurance policy benefits560.7 582.8 1,591.8 1,816.7 
Interest expense23.7 37.5 85.5 117.1 
Amortization53.5 51.6 192.2 156.0 
Loss on extinguishment of debt— — — 7.3 
Other operating costs and expenses209.2 218.6 674.6 682.9 
Total benefits and expenses847.1 890.5 2,544.1 2,780.0 
Income before income taxes166.4 53.5 200.8 166.8 
Income tax expense (benefit):
Tax expense on period income37.2 11.5 44.8 35.4 
Valuation allowance for deferred tax assets and other tax items— — (34.0)— 
Net income$129.2 $42.0 $190.0 $131.4 
Earnings per common share:  
Basic:  
Weighted average shares outstanding140,900,000 154,257,000 143,384,000 158,007,000 
Net income$.92 $.27 $1.33 $.83 
Diluted:   
Weighted average shares outstanding141,730,000 155,260,000 144,090,000 159,061,000 
Net income$.91 $.27 $1.32 $.83 

______________
(a)     No portion of the other-than-temporary impairments recognized in the 2019 periods was included in accumulated other comprehensive income.
14

NOTES
(1)Management believes that an analysis of Net income applicable to common stock before: (i) net realized investment gains or losses from sales, impairments and the change in allowance for credit losses, net of related amortization and taxes; (ii) net change in market value of investments recognized in earnings, net of taxes; (iii) fair value changes due to fluctuations in the interest rates used to discount embedded derivative liabilities related to our fixed index annuities, net of related amortization and taxes; (iv) fair value changes related to the agent deferred compensation plan, net of taxes; (v) loss on extinguishment of debt, net of taxes; (vi) changes in the valuation allowance for deferred tax assets and other tax items; and (viii) other non-operating items consisting primarily of earnings attributable to variable interest entities, net of taxes ("Net operating income," a non-GAAP financial measure) is important to evaluate the financial performance of the company, and is a key measure commonly used in the life insurance industry. Management uses this measure to evaluate performance because the items excluded from net operating income can be affected by events that are unrelated to the company's underlying fundamentals. A reconciliation of Net operating income to Net income applicable to common stock is provided in the table on page 2. Additional information concerning this non-GAAP measure is included in our periodic filings with the Securities and Exchange Commission that are available in the "Investors - SEC Filings" section of CNO's website, CNOinc.com.
(2)Book value per diluted share reflects the potential dilution that could occur if outstanding stock options were exercised and restricted stock and performance units were vested. The dilution from options, restricted shares and performance units is calculated using the treasury stock method. Under this method, we assume the proceeds from the exercise of the options (or the unrecognized compensation expense with respect to restricted stock and performance units) will be used to purchase shares of our common stock at the closing market price on the last day of the period. The dilution from convertible securities is calculated assuming the securities were converted on the last day of the period. In addition, the calculation of this non-GAAP measure differs from the corresponding GAAP measure because accumulated other comprehensive income (loss) has been excluded from the value of capital used to determine this measure. Management believes this non-GAAP measure is useful because it removes the volatility that arises from changes in the unrealized appreciation (depreciation) of our investments.
(3)The calculation of this non-GAAP measure differs from the corresponding GAAP measure because accumulated other comprehensive income (loss) has been excluded from the value of capital used to determine this measure. Management believes this non-GAAP measure is useful because it removes the volatility that arises from changes in the unrealized appreciation (depreciation) of our investments.
(4)Measured by new annualized premium for life and health products, which includes 10% of single premium whole life deposits and 100% of all other premiums (excluding annuities). Medicare Advantage sales are not comparable to other sales and are therefore excluded in all periods.
(5)Net insurance liabilities are equal to total insurance liabilities less: (i) amounts related to reinsured business; (ii) deferred acquisition costs; (iii) present value of future profits; and (iv) the value of unexpired options credited to insurance liabilities.
(6)The following summarizes the calculations of: (i) operating return on equity, excluding accumulated other comprehensive income (loss) and net operating loss carryforwards (a non-GAAP financial measure); (ii) operating return, excluding significant items, on equity, excluding accumulated other comprehensive income (loss) and net operating loss carryforwards (a non-GAAP financial measure); and (iii) return on equity are as follows (dollars in millions):
15

Trailing twelve months ended
3Q203Q19
Net operating income$354.9 $271.2 
Net operating income, excluding significant items$329.3 $286.3 
Net income$468.0 $159.7 
Average common equity, excluding accumulated other
comprehensive income (loss) and net operating loss
carryforwards (a non-GAAP financial measure)$2,760.6 $2,697.2 
Average common shareholders' equity$4,498.2 $3,886.9 
Operating return on equity, excluding accumulated other
comprehensive income (loss) and net operating loss
carryforwards (a non-GAAP financial measure)12.9 %10.1 %
Operating return, excluding significant items, on equity, excluding
accumulated other comprehensive income (loss) and net
operating loss carryforwards (a non-GAAP financial measure)11.9 %10.6 %
Return on equity10.4 %4.1 %

The following summarizes: (i) operating earnings; (ii) significant items; (iii) operating earnings, excluding significant items; and (iv) net income (loss) (dollars in millions):
Net operating
Net operatingincome,
income,excludingNet
excludingsignificantincome (loss) -
Net operatingSignificantsignificantitems - trailingNettrailing
incomeitemsitemsfour quartersincome (loss)four quarters
4Q18$59.8 $15.1 (a)$74.9 $317.3 $28.3 $(315.0)
1Q1965.8 — 65.8 310.1 51.8 (347.5)
2Q1976.4 — 76.4 304.6 37.6 (412.1)
3Q1969.2 — 69.2 286.3 42.0 159.7 
4Q1978.6 (7.9)(b)70.7 282.1 278.0 409.4 
1Q2084.3 — 84.3 300.6 (21.2)336.4 
2Q2079.4 (17.7)(c)61.7 285.9 82.0 380.8 
3Q20112.6 — 112.6 329.3 129.2 468.0 
(a) Comprised of: (i) $.9 million of unfavorable adjustments arising from our comprehensive annual actuarial review of assumptions; (ii) $14.4 million unfavorable impact of current market conditions on the value of investments backing our Company-owned life insurance ("COLI") used as a vehicle to fund an agent deferred compensation plan; and (iii) a decrease in tax expense of $.2 million (changes in the value of COLI investments are not subject to income taxes).
(b) Comprised of: (i) $10.0 million of unfavorable adjustments arising from our comprehensive annual actuarial review of assumptions; (ii) $20.0 million of the net favorable impact from legal and regulatory matters; and (iii) an increase in tax expense of $2.1 million.
(c) Comprised of: (i) $45.9 million of net favorable adjustments arising from our review of actuarial assumptions; (ii) $23.5 million unfavorable impact related to regulatory matters; and (iii) an increase in tax expense of $4.7 million. See note (7) for additional information.
16

A reconciliation of pretax operating earnings (a non-GAAP financial measure) to net income is as follows (dollars in millions):
Twelve months ended
3Q203Q19
Pretax operating earnings (a non-GAAP financial measure)$453.3 $341.2 
Income tax expense(98.4)(70.0)
Net operating income354.9 271.2 
Non-operating items:
Net realized investment losses from sales and impairments, net of related amortization(36.6)(15.5)
Net change in market value of investments recognized in earnings(11.3)0.6 
Fair value changes in embedded derivative liabilities, net of related amortization(82.0)(95.6)
Fair value changes related to the agent deferred compensation plan(10.7)(22.0)
Loss on extinguishment of debt— (7.3)
Other(4.5)2.5 
Non-operating loss before taxes(145.1)(137.3)
Income tax expense (benefit):
    On non-operating loss(30.5)(28.8)
    Valuation allowance for deferred tax assets and other tax items(227.7)3.0 
Net non-operating income (loss)113.1 (111.5)
Net income$468.0 $159.7 

A reconciliation of consolidated capital, excluding accumulated other comprehensive income (loss) and net operating loss carryforwards (a non-GAAP financial measure) to common shareholders’ equity, is as follows (dollars in millions):
1Q182Q183Q184Q18
Consolidated capital, excluding accumulated other comprehensive
income (loss) and net operating loss carryforwards
(a non-GAAP financial measure)$3,318.7 $3,366.0 $2,705.8 $2,687.3 
Net operating loss carryforwards404.2 388.7 510.6 505.9 
Accumulated other comprehensive income894.3 700.2 403.5 177.7 
Common shareholders' equity$4,617.2 $4,454.9 $3,619.9 $3,370.9 
1Q192Q193Q194Q19
Consolidated capital, excluding accumulated other comprehensive
income (loss) and net operating loss carryforwards
(a non-GAAP financial measure)$2,703.4 $2,702.9 $2,685.0 $2,761.9 
Net operating loss carryforwards479.6 451.1 425.4 542.6 
Accumulated other comprehensive income654.9 1,098.2 1,442.9 1,372.5 
Common shareholders' equity$3,837.9 $4,252.2 $4,553.3 $4,677.0 
1Q202Q203Q20
Consolidated capital, excluding accumulated other comprehensive
income (loss) and net operating loss carryforwards
(a non-GAAP financial measure)$2,701.2 $2,784.2 $2,905.1 
Net operating loss carryforwards469.4 426.8 377.2 
Accumulated other comprehensive income595.2 1,520.2 1,801.6 
Common shareholders' equity$3,765.8 $4,731.2 $5,083.9 
17

A reconciliation of consolidated capital, excluding accumulated other comprehensive income (loss) and net operating loss carryforwards (a non-GAAP financial measure) to common shareholders’ equity, is as follows (dollars in millions):
Trailing four quarter average
3Q203Q19
Consolidated capital, excluding accumulated other comprehensive
income (loss) and net operating loss carryforwards
(a non-GAAP financial measure)$2,760.6 $2,697.2 
Net operating loss carryforwards460.0 476.2 
Accumulated other comprehensive income1,277.6 713.5 
Common shareholders' equity$4,498.2 $3,886.9 

(7)    The table below summarizes the financial impact of significant items on our 2Q20 net operating income. Management believes that identifying the impact of these items enhances the understanding of our operating results.
Three months ended
June 30, 2020
Actual resultsSignificant itemsExcluding significant
items
Insurance product margin
Annuity margin$123.8 $40.0 (a)$72.3 
(91.5)(a)
Health margin95.5 — 95.5 
Life margin36.1 5.6 (a)41.7 
Total insurance product margin255.4 (45.9)209.5 
Allocated expenses(128.1)— (128.1)
Income from insurance products127.3 (45.9)81.4 
Fee income5.2 — 5.2 
Investment income not allocated to product lines8.2 — 8.2 
Expenses not allocated to product lines(38.5)23.5 (b)(15.0)
Operating earnings before taxes102.2 (22.4)79.8 
Income tax (expense) benefit on operating income(22.8)4.7 (18.1)
Net operating income$79.4 $(17.7)$61.7 
Net operating income per diluted share$0.55 $(0.12)$0.43 
___________
(a)Given our expectation that interest rates will remain low for the long-term, we performed an actuarial unlocking exercise in the second quarter of 2020 to reflect our assumption that average new money rates will remain flat at 4 percent forever. This change and the related impacts to persistency assumptions had a $45.6 million unfavorable impact on pre-tax earnings. As part of the actuarial unlocking exercise, we also changed our assumptions related to the future option costs we incur in providing benefits on fixed index annuities which had a favorable impact on pre-tax earnings of $91.5 million. The impact of these changes in assumptions is summarized below (dollars in millions):
Line of business
Fixed index annuitiesFixed interest annuitiesInterest- sensitive lifeTotal
Favorable (unfavorable)
Impacts of an average new money rate assumption of 4 percent
Insurance policy benefits$(5.0)$— $(7.4)$(12.4)
Amortization(25.6)(9.4)1.8 (33.2)
Subtotal(30.6)(9.4)(5.6)(45.6)
Impacts of changes in future option costs
Insurance policy benefits104.8 — — 104.8 
Amortization(13.3)— — (13.3)
Subtotal91.5 — — 91.5 
Impact on pre-tax income$60.9 $(9.4)$(5.6)$45.9 
This actuarial unlocking exercise does not replace our comprehensive annual review of all assumptions for our insurance products, which we plan to complete in the fourth quarter of this year. Additional adjustments may be identified based on the results of the comprehensive annual review.
18

(b)We increased our liability for claims and interest pursuant to the previously disclosed Global Resolution Agreement entered into in November 2018. Pursuant to this agreement, a third-party auditor is acting on behalf of 41 states and the District of Columbia for the purpose of identifying deceased insureds and contract holders where benefits are payable pursuant to unclaimed property laws. The third-party auditor has provided information that we have processed and verified allowing us to more accurately estimate the ultimate liability pursuant to this agreement.


For further information: CNO News Media, Valerie Dolenga, (312) 396-7688, [email protected]; CNO Investor Relations, Jennifer Childe, (312) 396-7755, [email protected]


19

Exhibit 99.2



cnologosupp1.jpg


Quarterly Financial Supplement - 3Q2020
November 2, 2020

Page 1

Table of ContentsPage
Consolidated balance sheet3
Consolidated statement of operations4
Financial summary5
Insurance operations6
Margin from insurance products7-9
Collected premiums from annuity and interest sensitive life products and insurance policy income10
Health and life new annualized premiums11
Computation of weighted average shares outstanding12
Annuities - account value rollforwards13
Statutory information14
Investment income not allocated to product lines and investment income allocated to product lines15-18
Other investment data18
Significant items19-20
Notes21

Page 2

CNO FINANCIAL GROUP, INC.
CONSOLIDATED BALANCE SHEET
(Dollars in millions)
(Unaudited)
Mar-19Jun-19Sep-19Dec-19Mar-20Jun-20Sep-20
Assets
Investments:
  Fixed maturities, available for sale, at fair value$19,468.4 $20,437.2 $21,089.2 $21,295.2 $20,379.1 $22,167.9 $22,702.9 
  Equity securities at fair value40.8 38.8 39.3 44.1 50.1 60.5 62.1 
  Mortgage loans1,626.1 1,596.5 1,561.7 1,566.1 1,484.1 1,459.9 1,444.9 
  Policy loans121.3 121.6 122.8 124.5 124.7 124.3 123.6 
  Trading securities237.9 248.3 247.3 243.9 227.8 240.6 240.3 
  Investments held by variable interest entities1,241.4 1,215.2 1,204.2 1,188.6 1,038.1 1,137.4 1,172.6 
  Other invested assets943.3 1,018.8 1,070.9 1,118.5 953.3 993.8 1,070.6 
  Total investments23,679.2 24,676.4 25,335.4 25,580.9 24,257.2 26,184.4 26,817.0 
Cash and cash equivalents - unrestricted621.6 557.4 760.3 580.0 482.0 521.1 735.6 
Cash and cash equivalents held by variable interest entities69.7 50.5 61.7 74.7 68.5 36.8 51.0 
Accrued investment income214.8 211.2 212.7 205.9 213.0 205.3 214.4 
Present value of future profits333.6 299.3 284.0 275.4 282.2 263.4 255.9 
Deferred acquisition costs1,289.1 1,253.2 1,138.8 1,215.5 1,398.6 1,120.9 1,084.0 
Reinsurance receivables4,879.7 4,829.4 4,802.4 4,785.7 4,727.5 4,712.6 4,613.1 
Income tax assets, net479.9 348.3 241.5 432.6 703.2 428.8 322.0 
Assets held in separate accounts4.9 4.9 4.2 4.2 3.2 3.7 3.9 
Other assets741.9 485.4 438.8 476.0 599.6 502.5 472.3 
Total assets$32,314.4 $32,716.0 $33,279.8 $33,630.9 $32,735.0 $33,979.5 $34,569.2 
Liabilities
Liabilities for insurance products:
  Policyholder account liabilities$11,676.9 $11,851.4 $11,998.9 $12,132.3 $12,138.1 $12,171.3 $12,357.5 
  Future policy benefits11,234.2 11,314.3 11,423.2 11,498.5 11,429.9 11,767.5 11,753.1 
  Liability for policy and contract claims521.0 517.8 508.9 522.3 510.7 488.6 473.2 
  Unearned and advanced premiums255.9 248.1 242.8 260.5 251.0 243.6 256.8 
  Liabilities related to separate accounts4.9 4.9 4.2 4.2 3.2 3.7 3.9 
Other liabilities804.0 740.2 762.0 750.2 850.7 788.3 855.8 
Investment borrowings1,645.5 1,645.2 1,644.8 1,644.3 1,643.9 1,643.4 1,642.9 
Borrowings related to variable interest entities1,416.8 1,153.6 1,153.0 1,152.5 1,152.3 1,152.2 1,152.0 
Notes payable - direct corporate obligations917.3 988.3 988.7 989.1 989.4 989.7 990.1 
Total liabilities28,476.5 28,463.8 28,726.5 28,953.9 28,969.2 29,248.3 29,485.3 
Shareholders' equity
Common stock1.6 1.6 1.5 1.5 1.4 1.4 1.4 
Additional paid-in capital2,952.2 2,903.2 2,834.6 2,767.3 2,688.5 2,664.3 2,623.4 
Retained earnings229.2 249.2 274.3 535.7 480.7 545.3 657.5 
Total shareholders' equity before accumulated other comprehensive income3,183.0 3,154.0 3,110.4 3,304.5 3,170.6 3,211.0 3,282.3 
Accumulated other comprehensive income654.9 1,098.2 1,442.9 1,372.5 595.2 1,520.2 1,801.6 
Total shareholders' equity3,837.9 4,252.2 4,553.3 4,677.0 3,765.8 4,731.2 5,083.9 
Total liabilities and shareholders' equity$32,314.4 $32,716.0 $33,279.8 $33,630.9 $32,735.0 $33,979.5 $34,569.2 
Mar-19Jun-19Sep-19Dec-19Mar-20Jun-20Sep-20
Book value per common share$23.99 $27.12 $29.92 $31.58 $26.22 $33.38 $36.59 
Book value per common share, excluding accumulated other comprehensive income (1) (2)$19.90 $20.12 $20.44 $22.32 $22.08 $22.66 $23.63 
Book value per diluted share (1) (3)$19.76 $20.00 $20.30 $22.09 $22.03 $22.55 $23.45 

Page 3

CNO FINANCIAL GROUP, INC.
CONSOLIDATED STATEMENT OF OPERATIONS
(Dollars in millions)
(Unaudited)


1Q2Q3Q4QYTD1Q2Q3Q
20192019201920192019202020202020
Revenues
Insurance policy income$619.3 $618.3 $620.0 $623.2 $2,480.8 $628.7 $625.3 $628.3 
Net investment income:  
   General account assets268.8 284.9 274.1 270.2 1,098.0 280.3 231.7 276.9 
Policyholder and other special-purpose portfolios87.0 49.6 25.4 102.9 264.9 (110.7)87.1 66.6 
Realized investment gains (losses):
Net realized investment gains (losses)18.3 5.3 5.7 11.3 40.6 (60.1)27.9 8.2 
Change in allowance for credit losses and other-than-temporary impairment losses (a)(2.2)— (3.4)(6.8)(12.4)(55.4)15.9 8.1 
Total realized gains (losses)16.1 5.3 2.3 4.5 28.2 (115.5)43.8 16.3 
Fee revenue and other income31.8 21.7 22.2 68.2 143.9 34.4 26.3 25.4 
Total revenues1,023.0 979.8 944.0 1,069.0 4,015.8 717.2 1,014.2 1,013.5 
Benefits and expenses
Insurance policy benefits623.5 610.4 582.8 600.3 2,417.0 490.8 540.3 560.7 
Interest expense41.0 38.6 37.5 35.2 152.3 33.4 28.4 23.7 
Amortization58.2 46.2 51.6 76.1 232.1 50.2 88.5 53.5 
Loss on extinguishment of debt— 7.3 — — 7.3 — — — 
Other operating costs and expenses234.7 229.6 218.6 250.0 932.9 213.8 251.6 209.2 
Total benefits and expenses957.4 932.1 890.5 961.6 3,741.6 788.2 908.8 847.1 
Income (loss) before income taxes65.6 47.7 53.5 107.4 274.2 (71.0)105.4 166.4 
Income tax expense (benefit) on period income13.8 10.1 11.5 23.1 58.5 (15.8)23.4 37.2 
Valuation allowance for deferred tax assets and other tax items— — — (193.7)(193.7)(34.0)— — 
Net income (loss)$51.8 $37.6 $42.0 $278.0 $409.4 $(21.2)$82.0 $129.2 

______________
(a)     No portion of the other-than-temporary impairments recognized in the 2019 periods was included in accumulated other comprehensive income.

Page 4

CNO FINANCIAL GROUP, INC.
FINANCIAL SUMMARY
(Dollars in millions, except per share data)
(Unaudited)

1Q2Q3Q4QYTD1Q2Q3Q
20192019201920192019202020202020
Insurance product margin (4)
Annuity margin$56.2 $57.2 $56.2 $60.5 $230.1 $59.5 $123.8 $45.3 
Health margin90.4 90.2 89.3 93.0 362.9 86.9 95.5 152.2 
Life margin43.1 51.7 54.6 46.7 196.1 44.3 36.1 47.3 
Total insurance product margin189.7 199.1 200.1 200.2 789.1 190.7 255.4 244.8 
Allocated expenses(135.9)(135.2)(131.3)(140.6)(543.0)(136.6)(128.1)(130.3)
Income from insurance products (5)53.8 63.9 68.8 59.6 246.1 54.1 127.3 114.5 
Fee income4.4 4.4 3.0 11.7 23.5 7.8 5.2 0.8 
Investment income not allocated to product lines (9)43.3 48.3 34.3 26.2 152.1 57.4 8.2 43.7 
Expenses not allocated to product lines(18.1)(19.9)(18.2)2.8 (53.4)(13.8)(38.5)(13.7)
Operating earnings before taxes83.4 96.7 87.9 100.3 368.3 105.5 102.2 145.3 
Income tax expense on operating income(17.6)(20.3)(18.7)(21.7)(78.3)(21.2)(22.8)(32.7)
Net operating income (10)65.8 76.4 69.2 78.6 290.0 84.3 79.4 112.6 
Net realized investment gains (losses) from sales, impairments and change in allowance for credit losses (net of related amortization)(0.7)(1.7)(2.6)7.1 2.1 (63.7)12.3 7.7 
Net change in market value of investments recognized in earnings16.6 6.8 4.7 (2.6)25.5 (48.4)31.2 8.5 
Fair value changes related to agent deferred compensation plan(5.3)(11.6)(6.0)2.5 (20.4)— (13.2)— 
Fair value changes in embedded derivative liabilities (net of related amortization)(29.6)(35.9)(29.3)13.4 (81.4)(66.7)(27.1)(1.6)
Loss on extinguishment of debt— (7.3)— — (7.3)— — — 
Other1.2 0.7 (1.2)(13.3)(12.6)2.3 — 6.5 
Net non-operating income (loss) before taxes(17.8)(49.0)(34.4)7.1 (94.1)(176.5)3.2 21.1 
Income tax expense (benefit) on non-operating income (loss)(3.8)(10.2)(7.2)1.4 (19.8)(37.0)0.6 4.5 
Valuation allowance for deferred tax assets and other tax items— — — (193.7)(193.7)(34.0)— — 
Net non-operating income (loss)(14.0)(38.8)(27.2)199.4 119.4 (105.5)2.6 16.6 
Net income (loss)$51.8 $37.6 $42.0 $278.0 $409.4 $(21.2)$82.0 $129.2 
Per diluted share
Net operating income$0.41 $0.48 $0.45 $0.52 $1.85 $0.58 $0.55 $0.79 
Net non-operating income (loss)(0.09)(0.24)(0.18)1.32 0.76 (0.73)0.02 0.12 
Net income (loss)$0.32 $0.24 $0.27 $1.84 $2.61 $(0.15)$0.57 $0.91 


Page 5

CNO FINANCIAL GROUP, INC.
Insurance Operations
(Dollars in millions)
(Unaudited)
1Q2Q3Q4QYTD1Q2Q3Q
20192019201920192019202020202020
Insurance product margin (4)
Annuity:
Insurance policy income$6.6 $4.2 $5.1 $5.2 $21.1 $5.6 $4.5 $4.3 
Net investment income (5) (6)115.8 114.8 116.5 117.3 464.4 117.4 116.6 115.6 
Insurance policy benefits(7.9)(5.1)(7.3)7.5 (12.8)(5.5)107.7 (20.1)
Interest credited (6)(43.2)(41.6)(42.0)(40.1)(166.9)(42.0)(43.6)(42.4)
Amortization and non-deferred commissions(15.1)(15.1)(16.1)(29.4)(75.7)(16.0)(61.4)(12.1)
Annuity margin56.2 57.2 56.2 60.5 230.1 59.5 123.8 45.3 
Health:
Insurance policy income425.5 425.1 425.3 425.7 1,701.6 429.0 426.5 421.4 
Net investment income (5)69.5 69.8 70.1 70.5 279.9 70.4 70.1 70.9 
Insurance policy benefits(350.4)(358.4)(360.4)(355.7)(1,424.9)(353.8)(359.0)(295.5)
Amortization and non-deferred commissions(54.2)(46.3)(45.7)(47.5)(193.7)(58.7)(42.1)(44.6)
Health margin90.4 90.2 89.3 93.0 362.9 86.9 95.5 152.2 
Life:
Insurance policy income187.2 189.0 189.6 192.3 758.1 194.1 194.3 202.6 
Net investment income (5) (7)34.5 34.8 34.6 34.4 138.3 34.3 34.7 35.2 
Insurance policy benefits(130.8)(126.2)(121.4)(135.2)(513.6)(131.9)(147.8)(143.3)
Interest credited (7)(10.2)(10.6)(10.7)(10.4)(41.9)(10.3)(10.9)(11.4)
Amortization and non-deferred commissions(20.9)(20.3)(21.4)(19.9)(82.5)(21.9)(18.0)(21.6)
Advertising expense(16.7)(15.0)(16.1)(14.5)(62.3)(20.0)(16.2)(14.2)
Life margin43.1 51.7 54.6 46.7 196.1 44.3 36.1 47.3 
Total insurance product margin189.7 199.1 200.1 200.2 789.1 190.7 255.4 244.8 
Allocated expenses:
Branch office expenses(22.3)(16.3)(18.3)(18.9)(75.8)(18.9)(15.1)(13.5)
Other allocated expenses(113.6)(118.9)(113.0)(121.7)(467.2)(117.7)(113.0)(116.8)
Income from insurance products (8)53.8 63.9 68.8 59.6 246.1 54.1 127.3 114.5 
Fee income4.4 4.4 3.0 11.7 23.5 7.8 5.2 0.8 
Investment income not allocated to product lines (9)43.3 48.3 34.3 26.2 152.1 57.4 8.2 43.7 
Expenses not allocated to product lines(18.1)(19.9)(18.2)2.8 (53.4)(13.8)(38.5)(13.7)
Operating earnings before taxes83.4 96.7 87.9 100.3 368.3 105.5 102.2 145.3 
Income tax expense on operating income(17.6)(20.3)(18.7)(21.7)(78.3)(21.2)(22.8)(32.7)
Net operating income (10)$65.8 $76.4 $69.2 $78.6 $290.0 $84.3 $79.4 $112.6 

Page 6

CNO FINANCIAL GROUP, INC.
Margin from Annuity Products
(Dollars in millions)
(Unaudited)
1Q2Q3Q4QYTD1Q2Q3Q
20192019201920192019202020202020
Annuity margin (4):
Fixed index annuities
Insurance policy income$3.1 $2.8 $2.9 $2.8 $11.6 $3.3 $2.6 $2.5 
Net investment income (5) (6)75.3 76.0 78.7 80.6 310.6 82.1 82.9 83.1 
Insurance policy benefits0.5 (0.5)(1.1)15.3 14.2 (1.0)104.1 (11.5)
Interest credited (6)(25.7)(24.7)(25.4)(24.0)(99.8)(26.2)(28.3)(27.6)
Amortization and non-deferred commissions(12.1)(12.1)(12.9)(20.1)(57.2)(13.8)(49.6)(9.9)
Margin from fixed index annuities$41.1 $41.5 $42.2 $54.6 $179.4 $44.4 $111.7 $36.6 
Average net insurance liabilities (11)$6,193.8 $6,388.9 $6,587.5 $6,751.0 $6,480.3 $6,921.4 $7,056.3 $7,173.9 
Margin/average net insurance liabilities (12)2.65 %2.60 %2.56 %3.24 %2.77 %2.57 %6.33 %2.04 %
Fixed interest annuities
Insurance policy income$0.5 $0.4 $0.4 $0.2 $1.5 $0.3 $0.1 $0.2 
Net investment income (5)32.8 31.2 30.2 29.0 123.2 28.1 26.8 25.7 
Insurance policy benefits(0.1)(0.1)— (0.2)(0.4)(0.1)— (0.4)
Interest credited(16.4)(16.0)(15.7)(15.2)(63.3)(14.9)(14.4)(14.2)
Amortization and non-deferred commissions(3.0)(3.0)(3.2)(9.2)(18.4)(2.1)(11.7)(2.1)
Margin from fixed interest annuities$13.8 $12.5 $11.7 $4.6 $42.6 $11.3 $0.8 $9.2 
Average net insurance liabilities (11)$2,417.3 $2,337.9 $2,263.4 $2,204.3 $2,305.7 $2,146.2 $2,088.2 $2,041.6 
Margin/average net insurance liabilities (12)2.28 %2.14 %2.07 %0.83 %1.85 %2.11 %0.15 %1.80 %
Other annuities
Insurance policy income$3.0 $1.0 $1.8 $2.2 $8.0 $2.0 $1.8 $1.6 
Net investment income (5)7.7 7.6 7.6 7.7 30.6 7.2 6.9 6.8 
Insurance policy benefits(8.3)(4.5)(6.2)(7.6)(26.6)(4.4)3.6 (8.2)
Interest credited(1.1)(0.9)(0.9)(0.9)(3.8)(0.9)(0.9)(0.6)
Amortization and non-deferred commissions— — — (0.1)(0.1)(0.1)(0.1)(0.1)
Margin from other annuities$1.3 $3.2 $2.3 $1.3 $8.1 $3.8 $11.3 $(0.5)
Average net insurance liabilities (11)$575.7 $574.4 $569.8 $565.0 $571.2 $551.5 $533.5 $524.0 
Margin/average net insurance liabilities (12)0.90 %2.23 %1.61 %0.92 %1.42 %2.76 %8.47 %(0.38)%
Total annuity margin$56.2 $57.2 $56.2 $60.5 $230.1 $59.5 $123.8 $45.3 
Average net insurance liabilities (11)$9,186.8 $9,301.2 $9,420.7 $9,520.3 $9,357.2 $9,619.1 $9,678.0 $9,739.5 
Margin/average net insurance liabilities (12)2.45 %2.46 %2.39 %2.54 %2.46 %2.47 %5.12 %1.86 %

Page 7

CNO FINANCIAL GROUP, INC.
Margin from Health Products
(Dollars in millions)
(Unaudited)
1Q2Q3Q4QYTD1Q2Q3Q
20192019201920192019202020202020
Health margin (4):
Supplemental health
Insurance policy income$163.2 $164.4 $165.3 $167.5 $660.4 $169.8 $169.8 $169.2 
Net investment income (5)35.0 34.7 34.4 34.6 138.7 34.9 34.9 35.5 
Insurance policy benefits(123.1)(128.9)(128.2)(126.9)(507.1)(132.9)(138.1)(125.8)
Amortization and non-deferred commissions(27.6)(27.8)(27.6)(28.3)(111.3)(29.6)(26.2)(27.8)
Margin from supplemental health$47.5 $42.4 $43.9 $46.9 $180.7 $42.2 $40.4 $51.1 
Margin/insurance policy income29 %26 %27 %28 %27 %25 %24 %30 %
Medicare supplement
Insurance policy income$195.0 $193.7 $192.8 $191.5 $773.0 $192.3 $190.3 $186.1 
Net investment income (5)1.2 1.1 1.0 1.1 4.4 1.2 1.2 1.2 
Insurance policy benefits(141.8)(143.8)(146.0)(144.4)(576.0)(136.7)(136.6)(102.0)
Amortization and non-deferred commissions(23.0)(15.1)(14.7)(16.1)(68.9)(25.4)(13.0)(13.6)
Margin from Medicare supplement$31.4 $35.9 $33.1 $32.1 $132.5 $31.4 $41.9 $71.7 
Margin/insurance policy income16 %19 %17 %17 %17 %16 %22 %39 %
Long-term care
Insurance policy income$67.3 $67.0 $67.2 $66.7 $268.2 $66.9 $66.4 $66.1 
Net investment income (5)33.3 34.0 34.7 34.8 136.8 34.3 34.0 34.2 
Insurance policy benefits(85.5)(85.7)(86.2)(84.4)(341.8)(84.2)(84.3)(67.7)
Amortization and non-deferred commissions(3.6)(3.4)(3.4)(3.1)(13.5)(3.7)(2.9)(3.2)
Margin from long-term care$11.5 $11.9 $12.3 $14.0 $49.7 $13.3 $13.2 $29.4 
Margin/insurance policy income17 %18 %18 %21 %19 %20 %20 %44 %
Total health margin$90.4 $90.2 $89.3 $93.0 $362.9 $86.9 $95.5 $152.2 
Margin/insurance policy income21 %21 %21 %22 %21 %20 %22 %36 %

Page 8

CNO FINANCIAL GROUP, INC.
Margin from Life Products
(Dollars in millions)
(Unaudited)
1Q2Q3Q4QYTD1Q2Q3Q
20192019201920192019202020202020
Life margin (4):
Interest sensitive life
Insurance policy income$36.2 $37.3 $37.1 $38.0 $148.6 $39.6 $38.7 $40.1 
Net investment income (5) (7)11.6 11.7 11.7 11.7 46.7 11.7 11.7 11.9 
Insurance policy benefits(15.9)(14.9)(13.6)(23.2)(67.6)(15.7)(23.2)(16.0)
Interest credited (7)(10.0)(10.4)(10.5)(10.2)(41.1)(10.2)(10.7)(11.2)
Amortization and non-deferred commissions(7.0)(7.1)(6.7)(5.0)(25.8)(7.4)(4.8)(6.9)
Margin from interest sensitive life$14.9 $16.6 $18.0 $11.3 $60.8 $18.0 $11.7 $17.9 
Average net insurance liabilities (11)$852.0 $860.7 $869.2 $883.4 $866.3 $900.1 $913.5 $926.7 
Interest margin$1.6 $1.3 $1.2 $1.5 $5.6 $1.5 $1.0 $0.7 
Interest margin/average net insurance liabilities (12)0.75 %0.60 %0.55 %0.68 %0.65 %0.67 %0.44 %0.30 %
Underwriting margin$13.3 $15.3 $16.8 $9.8 $55.2 $16.5 $10.7 $17.2 
Underwriting margin/insurance policy income37 %41 %45 %26 %37 %42 %28 %43 %
Traditional life
Insurance policy income$151.0 $151.7 $152.5 $154.3 $609.5 $154.5 $155.6 $162.5 
Net investment income (5)22.9 23.1 22.9 22.7 91.6 22.6 23.0 23.3 
Insurance policy benefits(114.9)(111.3)(107.8)(112.0)(446.0)(116.2)(124.6)(127.3)
Interest credited(0.2)(0.2)(0.2)(0.2)(0.8)(0.1)(0.2)(0.2)
Amortization and non-deferred commissions(13.9)(13.2)(14.7)(14.9)(56.7)(14.5)(13.2)(14.7)
Advertising expense(16.7)(15.0)(16.1)(14.5)(62.3)(20.0)(16.2)(14.2)
Margin from traditional life$28.2 $35.1 $36.6 $35.4 $135.3 $26.3 $24.4 $29.4 
Margin/insurance policy income19 %23 %24 %23 %22 %17 %16 %18 %
Margin excluding advertising expense/insurance policy income30 %33 %35 %32 %32 %30 %26 %27 %
Total life margin$43.1 $51.7 $54.6 $46.7 $196.1 $44.3 $36.1 $47.3 


Page 9

CNO FINANCIAL GROUP, INC.
Collected Premiums From Annuity and Interest Sensitive Life Products
and Insurance Policy Income
(Dollars in millions)
(Unaudited)
1Q2Q3Q4QYTD1Q2Q3Q
20192019201920192019202020202020
Collected premiums from annuity and interest-sensitive life products:
Annuities$315.7 $341.2 $325.2 $324.3 $1,306.4 $292.2 $242.7 $285.1 
Interest-sensitive life47.5 51.9 51.1 50.8 201.3 53.1 51.3 50.0 
Total collected premiums from annuity and interest-sensitive life products$363.2 $393.1 $376.3 $375.1 $1,507.7 $345.3 $294.0 $335.1 
Insurance policy income:
Annuity products
Fixed index annuities$3.1 $2.8 $2.9 $2.8 $11.6 $3.3 $2.6 $2.5 
Fixed interest annuities0.5 0.4 0.4 0.2 1.5 0.3 0.1 0.2 
Other annuities3.0 1.0 1.8 2.2 8.0 2.0 1.8 1.6 
Total annuity insurance policy income6.6 4.2 5.1 5.2 21.1 5.6 4.5 4.3 
Health products
Supplemental health163.2 164.4 165.3 167.5 660.4 169.8 169.8 169.2 
Medicare supplement195.0 193.7 192.8 191.5 773.0 192.3 190.3 186.1 
Long-term care67.3 67.0 67.2 66.7 268.2 66.9 66.4 66.1 
Total health insurance policy income425.5 425.1 425.3 425.7 1,701.6 429.0 426.5 421.4 
Life products
Interest-sensitive life 36.2 37.3 37.1 38.0 148.6 39.6 38.7 40.1 
Traditional life 151.0 151.7 152.5 154.3 609.5 154.5 155.6 162.5 
Total life insurance policy income187.2 189.0 189.6 192.3 758.1 194.1 194.3 202.6 
Total insurance policy income$619.3 $618.3 $620.0 $623.2 $2,480.8 $628.7 $625.3 $628.3 


Page 10

CNO FINANCIAL GROUP, INC.
Health and Life
New Annualized Premiums ("NAP")
(Dollars in millions)
(Unaudited)
1Q2Q3Q4QYTD1Q2Q3Q
20192019201920192019202020202020
Consumer Division
Health products:
Supplemental health$13.6 $14.8 $15.4 $25.7 $69.5 $19.6 $5.6 $16.2 
Medicare supplement12.4 14.5 14.2 17.2 58.3 9.7 8.9 11.0 
Long-term care5.8 6.4 6.4 8.0 26.6 5.9 4.3 7.1 
Total Consumer Division health NAP31.8 35.7 36.0 50.9 154.4 35.2 18.8 34.3 
Life products:
Interest sensitive life4.9 7.0 5.7 5.5 23.1 5.6 5.1 5.8 
Traditional life31.7 29.8 29.0 25.1 115.6 33.0 41.5 37.7 
Total Consumer Division life NAP36.6 36.8 34.7 30.6 138.7 38.6 46.6 43.5 
Total Consumer Division health and life NAP$68.4 $72.5 $70.7 $81.5 $293.1 $73.8 $65.4 $77.8 
Worksite Division
Health products:
Supplemental health$8.3 $10.1 $10.7 $11.8 $40.9 $8.8 $3.2 $5.1 
Life products:
Interest sensitive life3.1 2.6 2.6 4.3 12.6 2.5 0.8 0.8 
Total Worksite Division health and life NAP$11.4 $12.7 $13.3 $16.1 $53.5 $11.3 $4.0 $5.9 
Total NAP (both divisions)
Health products:
Supplemental health$21.9 $24.9 $26.1 $37.5 $110.4 $28.4 $8.8 $21.3 
Medicare supplement12.4 14.5 14.2 17.2 58.3 9.7 8.9 11.0 
Long-term care5.8 6.4 6.4 8.0 26.6 5.9 4.3 7.1 
Total health NAP40.1 45.8 46.7 62.7 195.3 44.0 22.0 39.4 
Life products:
Interest sensitive life 8.0 9.6 8.3 9.8 35.7 8.1 5.9 6.6 
Traditional life 31.7 29.8 29.0 25.1 115.6 33.0 41.5 37.7 
Total life NAP39.7 39.4 37.3 34.9 151.3 41.1 47.4 44.3 
Total NAP$79.8 $85.2 $84.0 $97.6 $346.6 $85.1 $69.4 $83.7 

Page 11

CNO FINANCIAL GROUP, INC.
Computation of Weighted Average Shares Outstanding
(Shares in thousands)


1Q2Q3Q4QYTD1Q2Q3Q
201920192019201920192020 (a)20202020
Basic
Shares outstanding, beginning of period162,201.7 159,955.2 156,768.0 152,183.5 162,201.7 148,084.2 143,610.0 141,718.6 
Weighted average shares issued during the period:
Shares repurchased(1,485.6)(1,238.1)(2,585.5)(2,157.3)(6,906.9)(2,444.0)(227.2)(835.9)
Amounts related to employee benefit plans320.9 127.3 76.6 114.9 974.0 287.5 42.7 19.3 
Shares withheld for the payment of the exercise price and taxes related to employee benefit plans(88.7)(28.3)(2.1)(2.8)(228.9)(98.3)(4.0)(1.8)
Weighted average basic shares outstanding during the period160,948.3 158,816.1 154,257.0 150,138.3 156,039.9 145,829.4 143,421.5 140,900.2 
Basic shares outstanding, end of period159,955.2 156,768.0 152,183.5 148,084.2 148,084.2 143,610.0 141,718.6 138,931.4 
Diluted
Weighted average basic shares outstanding160,948.3 158,816.1 154,257.0 150,138.3 156,039.9 145,829.4 143,421.5 140,900.2 
Common stock equivalent shares related to:
Employee benefit plans1,240.7 918.7 1,002.7 1,268.8 1,107.7 — 519.1 830.2 
Weighted average diluted shares outstanding during the period162,189.0 159,734.8 155,259.7 151,407.1 157,147.6 145,829.4 143,940.6 141,730.4 
Diluted shares outstanding, end of period161,123.2 157,662.5 153,242.8 149,580.7 149,580.7 143,936.2 142,410.1 139,972.2 

___________
(a)     Equivalent common shares of 768.4 were not included in the diluted weighted average shares outstanding due to the net loss recognized in 1Q20.





Page 12

CNO FINANCIAL GROUP, INC.
Annuities - Account Value Rollforwards
(Dollars in millions)
(Unaudited)

1Q2Q3Q4QYTD1Q2Q3Q
20192019201920192019202020202020
Fixed index annuities
Balance as of the beginning of the period$6,433.9 $6,594.7 $6,787.5 $6,956.9 $6,433.9 $7,133.1 $7,280.3 $7,394.1 
Gross deposits300.1 325.4 311.1 305.2 1,241.8 281.7 231.5 277.2 
Withdrawals(156.9)(156.5)(154.1)(179.8)(647.3)(185.8)(148.0)(133.2)
Returns reinvested17.6 23.9 12.4 50.8 104.7 51.3 30.3 29.1 
Balance as of the end of the period$6,594.7 $6,787.5 $6,956.9 $7,133.1 $7,133.1 $7,280.3 $7,394.1 $7,567.2 
Fixed interest annuities
Balance as of the beginning of the period$2,509.3 $2,425.8 $2,345.2 $2,273.0 $2,509.3 $2,217.5 $2,147.4 $2,089.4 
Gross deposits13.6 14.3 11.8 17.1 56.8 9.3 9.0 6.8 
Withdrawals(113.4)(110.9)(99.8)(88.0)(412.1)(94.3)(81.1)(66.1)
Returns reinvested16.3 16.0 15.8 15.4 63.5 14.9 14.1 14.2 
Balance as of the end of the period$2,425.8 $2,345.2 $2,273.0 $2,217.5 $2,217.5 $2,147.4 $2,089.4 $2,044.3 
Total annuities
Balance as of the beginning of the period$8,943.2 $9,020.5 $9,132.7 $9,229.9 $8,943.2 $9,350.6 $9,427.7 $9,483.5 
Gross deposits313.7 339.7 322.9 322.3 1,298.6 291.0 240.5 284.0 
Withdrawals(270.3)(267.4)(253.9)(267.8)(1,059.4)(280.1)(229.1)(199.3)
Returns reinvested33.9 39.9 28.2 66.2 168.2 66.2 44.4 43.3 
Balance as of the end of the period$9,020.5 $9,132.7 $9,229.9 $9,350.6 $9,350.6 $9,427.7 $9,483.5 $9,611.5 

Page 13

CNO FINANCIAL GROUP, INC.
Statutory Information - Consolidated Basis (13)
(Dollars in millions)
(Unaudited)


1Q2Q3Q4QYTD1Q2Q3Q
2019201920192019 (a)2019 (a)2020 (b)20202020 (c)
Net gain from operations before interest expense and federal income taxes$97.8 $86.0 $62.1 $66.2 $312.1 $33.3 $99.5 $135.1 
Interest expense on surplus debentures held by parent company12.6 12.3 22.7 12.3 59.9 12.1 12.1 21.0 
Net gain from operations before federal income taxes85.2 73.7 39.4 53.9 252.2 21.2 87.4 114.1 
Federal income tax expense (benefit)1.9 (5.4)(4.5)(47.8)(55.8)(113.0)(6.8)(16.1)
Net gain from operations before net realized capital gains (losses)83.3 79.1 43.9 101.7 308.0 134.2 94.2 130.2 
Net realized capital losses(9.9)(3.6)(0.1)(3.0)(16.6)(3.3)(7.8)0.4 
Net income $73.4 $75.5 $43.8 $98.7 $291.4 $130.9 $86.4 $130.6 
Capital and surplus$1,717.4 $1,698.5 $1,695.3 $1,696.6 $1,696.6 $1,750.3 $1,771.1 $1,868.1 
Asset valuation reserve (AVR)248.0 254.5 261.0 295.9 295.9 236.4 226.7 269.9 
Capital, surplus and AVR1,965.4 1,953.0 1,956.3 1,992.5 1,992.5 1,986.7 1,997.8 2,138.0 
Interest maintenance reserve (IMR)418.3 415.4 415.1 420.1 420.1 408.2 410.6 408.2 
Total statutory capital, surplus, AVR & IMR$2,383.7 $2,368.4 $2,371.4 $2,412.6 $2,412.6 $2,394.9 $2,408.4 $2,546.2 
Risk-based capital ratio416 %409 %405 %408 %408 %406 %405 %428 %

___________
(a)      The federal income tax benefit recognized in such periods reflects a $46.0 million tax sharing payment due from the holding
company that will be returned to the holding company in the form of a dividend. There is no capital and surplus impact related
to these transactions.
(b)    The federal income tax benefit and capital and surplus were favorably impacted by $99 million and $53 million, respectively, related to certain provisions included in the Coronavirus Aid, Relief, and Economic Security (“CARES”) Act.
(c)    Such amounts are preliminary as the statutory basis financial statements of our insurance subsidiaries for 3Q20 will be filed with the respective insurance regulators on or about November 16, 2020.



Page 14

CNO FINANCIAL GROUP, INC.
Investment Income Not Allocated to Product Lines (9)
(Dollars in millions)
(Unaudited)


1Q2Q3Q4QYTD1Q2Q3Q
20192019201920192019202020202020
Net investment income$355.8 $334.5 $299.5 $373.1 $1,362.9 $169.6 $318.8 $343.5 
Allocated to product lines:
Annuity(115.8)(114.8)(116.5)(117.3)(464.4)(117.4)(116.6)(115.6)
Health(69.5)(69.8)(70.1)(70.5)(279.9)(70.4)(70.1)(70.9)
Life(34.5)(34.8)(34.6)(34.4)(138.3)(34.3)(34.7)(35.2)
Equity returns credited to policyholder account balances(43.6)(23.1)(3.6)(83.4)(153.7)136.5 (50.7)(46.0)
Amounts allocated to product lines and credited to policyholder account balances(263.4)(242.5)(224.8)(305.6)(1,036.3)(85.6)(272.1)(267.7)
Amount related to variable interest entities and other non-operating items(19.2)(16.0)(13.7)(12.7)(61.6)(11.6)(9.6)(9.8)
Interest expense on debt(12.1)(12.6)(13.9)(13.8)(52.4)(13.6)(13.6)(13.6)
Interest expense on investment borrowings(12.4)(12.3)(11.4)(10.1)(46.2)(9.1)(5.8)(3.4)
Less amounts credited to deferred compensation plans (offsetting investment income)(5.4)(2.8)(1.4)(4.7)(14.3)7.7 (9.5)(5.3)
Total adjustments(49.1)(43.7)(40.4)(41.3)(174.5)(26.6)(38.5)(32.1)
Investment income not allocated to product lines$43.3 $48.3 $34.3 $26.2 $152.1 $57.4 $8.2 $43.7 




Page 15

CNO FINANCIAL GROUP, INC.
Investment Income Not Allocated to Product Lines (9)
(Dollars in millions)
(Unaudited)


1Q2Q3Q4QYTD1Q2Q3Q
20192019201920192019202020202020
Investment income not allocated:
Excluding variable components:
From general account assets$28.7 $30.2 $26.2 $20.8 $105.9 $23.3 $26.5 $24.6 
Other investment income1.4 0.8 1.5 1.0 4.7 0.5 0.1 0.1 
Spread income from Federal Home Loan Bank investment program:
Investment income on matched assets19.0 18.5 16.0 16.6 70.1 13.5 10.9 10.9 
Investment borrowing expenses(12.4)(12.3)(11.4)(10.1)(46.2)(9.1)(5.8)(3.4)
Net spread income6.6 6.2 4.6 6.5 23.9 4.4 5.1 7.5 
Interest expense on corporate debt(12.1)(12.6)(13.9)(13.8)(52.4)(13.6)(13.6)(13.6)
Total excluding variable components 24.6 24.6 18.4 14.5 82.1 14.6 18.1 18.6 
Variable components:
Net income from Corporate Owned Life Insurance ("COLI") supporting agent deferred compensation plan
Change in value of COLI investments14.4 5.0 3.1 (0.2)22.3 3.2 6.4 3.1 
Increase in liability for agent deferred compensation plan(1.5)(1.5)(1.5)(1.8)(6.3)(1.6)(1.6)(1.6)
Net COLI income (loss)12.9 3.5 1.6 (2.0)16.0 1.6 4.8 1.5 
Other variable components:
Hedge variance related to fixed index products(0.8)(0.6)(0.1)(0.2)(1.7)(0.1)3.2 (1.0)
Trading account4.0 2.3 1.5 1.1 8.9 17.3 6.0 2.6 
Other (a)2.6 18.5 12.9 12.8 46.8 24.0 (23.9)22.0 
Total variable components18.7 23.7 15.9 11.7 70.0 42.8 (9.9)25.1 
Total investment income not allocated to product lines $43.3 $48.3 $34.3 $26.2 $152.1 $57.4 $8.2 $43.7 

___________
(a)    Includes income (loss) on alternative investments, prepayment and call income, impacts of changes in projected cash flows and other investment income.

Page 16

CNO FINANCIAL GROUP, INC.
Investment Income Allocated to Product Lines (5)
(Dollars in millions)
(Unaudited)
1Q2Q3Q4QYTD1Q2Q3Q
20192019201920192019202020202020
Average net insurance liabilities (11)
Annuity:
Fixed index annuities$6,193.8 $6,388.9 $6,587.5 $6,751.0 $6,480.3 $6,921.4 $7,056.3 $7,173.9 
Fixed interest annuities2,417.3 2,337.9 2,263.4 2,204.3 2,305.7 2,146.2 2,088.2 2,041.6 
Other annuities575.7 574.4 569.8 565.0 571.2 551.5 533.5 524.0 
Total annuity average net insurance liabilities (11)9,186.8 9,301.2 9,420.7 9,520.3 9,357.2 9,619.1 9,678.0 9,739.5 
Health:
Supplemental health2,743.3 2,779.9 2,815.0 2,849.8 2,797.0 2,887.1 2,935.7 2,988.1 
Medicare supplement99.0 94.7 89.9 97.5 95.3 102.5 111.6 116.9 
Long-term care2,372.2 2,421.8 2,471.0 2,502.0 2,441.7 2,482.8 2,464.2 2,477.7 
Total health average net insurance liabilities (11)5,214.5 5,296.4 5,375.9 5,449.3 5,334.0 5,472.4 5,511.5 5,582.7 
Life:
Interest sensitive852.0 860.7 869.2 883.4 866.3 900.1 913.5 926.7 
Traditional1,793.0 1,813.3 1,834.9 1,859.0 1,825.1 1,872.5 1,883.5 1,905.9 
Total life average net insurance liabilities (11)2,645.0 2,674.0 2,704.1 2,742.4 2,691.4 2,772.6 2,797.0 2,832.6 
Total average net insurance liabilities (11)$17,046.3 $17,271.6 $17,500.7 $17,712.0 $17,382.6 $17,864.1 $17,986.5 $18,154.8 
Average yield on allocated investments
Annuity:
Fixed index annuities4.86 %4.76 %4.78 %4.78 %4.79 %4.74 %4.70 %4.63 %
Fixed interest annuities5.43 %5.34 %5.34 %5.26 %5.34 %5.24 %5.13 %5.04 %
Other annuities5.35 %5.29 %5.34 %5.45 %5.36 %5.22 %5.17 %5.19 %
Average yield on investments allocated to annuities5.04 %4.94 %4.95 %4.93 %4.96 %4.88 %4.82 %4.75 %
Health:
Supplemental health5.10 %4.99 %4.89 %4.86 %4.96 %4.84 %4.76 %4.75 %
Medicare supplement4.53 %4.56 %4.48 %4.39 %4.49 %4.41 %4.34 %4.33 %
Long-term care5.62 %5.62 %5.62 %5.56 %5.60 %5.53 %5.52 %5.52 %
Average yield on investments allocated to health products5.33 %5.27 %5.22 %5.17 %5.25 %5.15 %5.09 %5.08 %
Life:
Interest sensitive5.45 %5.44 %5.38 %5.30 %5.39 %5.20 %5.12 %5.14 %
Traditional5.11 %5.10 %4.99 %4.88 %5.02 %4.83 %4.88 %4.89 %
Average yield on investments allocated to life products5.22 %5.21 %5.12 %5.02 %5.14 %4.95 %4.96 %4.97 %
Total average yield5.16 %5.08 %5.06 %5.02 %5.08 %4.97 %4.92 %4.88 %
Allocated investment income
Annuity:
Fixed index annuities$75.3 $76.0 $78.7 $80.6 $310.6 $82.1 $82.9 $83.1 
Fixed interest annuities32.8 31.2 30.2 29.0 123.2 28.1 26.8 25.7 
Other annuities7.7 7.6 7.6 7.7 30.6 7.2 6.9 6.8 
Total investment income allocated to annuities115.8 114.8 116.5 117.3 464.4 117.4 116.6 115.6 
Health:
Supplemental health35.0 34.7 34.4 34.6 138.7 34.9 34.9 35.5 
Medicare supplement1.2 1.1 1.0 1.1 4.4 1.2 1.2 1.2 
Long-term care33.3 34.0 34.7 34.8 136.8 34.3 34.0 34.2 
Total investment income allocated to health products69.5 69.8 70.1 70.5 279.9 70.4 70.1 70.9 
Life:
   Interest sensitive11.6 11.7 11.7 11.7 46.7 11.7 11.7 11.9 
Traditional22.9 23.1 22.9 22.7 91.6 22.6 23.0 23.3 
Total investment income allocated to life products34.5 34.8 34.6 34.4 138.3 34.3 34.7 35.2 
Total allocated investment income$219.8 $219.4 $221.2 $222.2 $882.6 $222.1 $221.4 $221.7 

Page 17

CNO FINANCIAL GROUP, INC.
Investment Income Not Allocated to Product Lines (9)
(Dollars in millions)
(Unaudited)

1Q2Q3Q4QYTD1Q2Q3Q
20192019201920192019202020202020
General account assets investment income$268.8 $284.9 $274.1 $270.2 $1,098.0 $280.3 $231.7 $276.9 
Policyholder and other special purpose portfolio investment income87.0 49.6 25.4 102.9 264.9 (110.7)87.1 66.6 
Less equity returns credited to policyholders:
Annuity(37.9)(20.2)(3.0)(74.0)(135.1)119.9 (44.9)(39.3)
Life(5.7)(2.9)(0.6)(9.4)(18.6)16.6 (5.8)(6.7)
Less amount related to variable interest entities(19.2)(16.0)(13.7)(12.7)(61.6)(11.6)(9.6)(9.8)
Less amounts credited to deferred compensation plans(5.4)(2.9)(1.4)(4.8)(14.5)7.7 (9.5)(5.3)
Other special purpose portfolio investment income18.8 7.6 6.7 2.0 35.1 21.9 17.3 5.5 
Adjusted net investment income287.6 292.5 280.8 272.2 1,133.1 302.2 249.0 282.4 
Less amounts allocated to product lines
Annuity(115.8)(114.8)(116.5)(117.3)(464.4)(117.4)(116.6)(115.6)
Health(69.5)(69.8)(70.1)(70.5)(279.9)(70.4)(70.1)(70.9)
Life(34.5)(34.8)(34.6)(34.4)(138.3)(34.3)(34.7)(35.2)
Total investment income allocated to product lines(219.8)(219.4)(221.2)(222.2)(882.6)(222.1)(221.4)(221.7)
Less interest expense on investment borrowings(12.4)(12.3)(11.4)(10.0)(46.1)(9.1)(5.8)(3.4)
Less interest expense on debt(12.1)(12.5)(13.9)(13.8)(52.3)(13.6)(13.6)(13.6)
Investment income not allocated to product lines43.3 48.3 $34.3 26.2 152.1 57.4 8.2 $43.7 

Other Investment Data

1Q2Q3Q4Q1Q2Q3Q
2019201920192019202020202020
Average invested assets and cash$21,848.9 $21,990.3 $22,188.4 $22,394.2 $22,597.5 $22,731.9 $22,945.9 
Net investment income from general account investments268.8 284.9 274.1 270.2 280.3 231.7 276.9 
New money rate (14)4.38 %4.58 %4.66 %4.08 %4.46 %4.49 %4.08 %
Book yield5.15 %5.08 %5.03 %4.97 %4.90 %4.88 %4.85 %
Earned yield5.07 %5.35 %5.16 %5.02 %5.19 %4.27 %5.06 %
Pre-pay/call/make-whole income$2.5 $6.6 $3.0 $4.6 $8.9 $0.1 $2.6 
Alternative investment income5.5 17.1 17.7 12.9 17.2 (12.5)27.1 
Impairments2.2 — 3.4 6.8 8.1 — — 

Page 18

CNO FINANCIAL GROUP, INC.
2Q20 Significant Items
(Dollars in millions, except per share amounts)
(Unaudited)



The table below summarizes the financial impact of significant items on our 2Q20 net operating income. Management believes that identifying the impact of these items enhances the understanding of our operating results.

Three months ended
June 30, 2020
Actual resultsSignificant itemsExcluding significant
items
Insurance product margin (4)
Annuity margin$123.8 $40.0 (a)$72.3 
(91.5)(a)
Health margin95.5 — 95.5 
Life margin36.1 5.6 (a)41.7 
Total insurance product margin255.4 (45.9)209.5 
Allocated expenses(128.1)— (128.1)
Income from insurance products (5)127.3 (45.9)81.4 
Fee income5.2 — 5.2 
Investment income not allocated to product lines (9)8.2 — 8.2 
Expenses not allocated to product lines(38.5)23.5 (b)(15.0)
Operating earnings before taxes102.2 (22.4)79.8 
Income tax (expense) benefit on operating income(22.8)4.7 (18.1)
Net operating income (10)$79.4 $(17.7)$61.7 
Net operating income per diluted share$0.55 $(0.12)$0.43 
___________
(a)Given our expectation that interest rates will remain low for the long-term, we performed an actuarial unlocking exercise in the second quarter of 2020 to reflect our assumption that average new money rates will remain flat at 4 percent forever. This change and the related impacts to persistency assumptions had a $45.6 million unfavorable impact on pre-tax earnings. As part of the actuarial unlocking exercise, we also changed our assumptions related to the future option costs we incur in providing benefits on fixed index annuities which had a favorable impact on pre-tax earnings of $91.5 million. The impact of these changes in assumptions is summarized below (dollars in millions):
Line of business
Fixed index annuitiesFixed interest annuitiesInterest- sensitive lifeTotal
Favorable (unfavorable)
Impacts of an average new money rate assumption of 4 percent
Insurance policy benefits$(5.0)$— $(7.4)$(12.4)
Amortization(25.6)(9.4)1.8 (33.2)
Subtotal(30.6)(9.4)(5.6)(45.6)
Impacts of changes in future option costs
Insurance policy benefits104.8 — — 104.8 
Amortization(13.3)— — (13.3)
Subtotal91.5 — — 91.5 
Impact on pre-tax income$60.9 $(9.4)$(5.6)$45.9 

This actuarial unlocking exercise does not replace our comprehensive annual review of all assumptions for our insurance products, which we plan to complete in the fourth quarter of this year. Additional adjustments may be identified based on the results of the comprehensive annual review.
(b)We increased our liability for claims and interest pursuant to the previously disclosed Global Resolution Agreement entered into in November 2018. Pursuant to this agreement, a third-party auditor is acting on behalf of 41 states and the District of Columbia for the purpose of identifying deceased insureds and contract holders where benefits are payable pursuant to unclaimed property laws. The third-party auditor has provided information that we have processed and verified allowing us to more accurately estimate the ultimate liability pursuant to this agreement.
Page 19

CNO FINANCIAL GROUP, INC.
4Q19 Significant Items
(Dollars in millions, except per share amounts)
(Unaudited)



The table below summarizes the financial impact of significant items on our 4Q19 net operating income. Management believes that identifying the impact of these items enhances the understanding of our operating results.

Three months ended
December 31, 2019
Actual resultsSignificant itemsExcluding significant
items
Insurance product margin (4)
Annuity margin$60.5 $0.3 (a)$60.8 
Health margin93.0 — 93.0 
Life margin46.7 9.7 (a)56.4 
Total insurance product margin200.2 10.0 210.2 
Allocated expenses(140.6)— (140.6)
Income from insurance products (5)59.6 10.0 69.6 
Fee income11.7 — 11.7 
Investment income not allocated to product lines (9)26.2 — 26.2 
Expenses not allocated to product lines2.8 (20.0)(b)(17.2)
Operating earnings before taxes100.3 (10.0)90.3 
Income tax (expense) benefit on operating income(21.7)2.1 (19.6)
Net operating income (10)$78.6 $(7.9)$70.7 
Net operating income per diluted share$0.52 $(0.05)$0.47 
___________
(a)Adjustments arising from our comprehensive annual actuarial review of assumptions.
(b)$20.0 million of the net favorable impact from legal and regulatory matters.


Page 20


Notes

(1)Excludes accumulated other comprehensive income. Management believes this non-GAAP measure is useful because it removes the volatility that arises from changes in the unrealized appreciation (depreciation) of our investments.

(2)Shareholders' equity divided by common shares outstanding.

(3)Book value per diluted share reflects the potential dilution that could occur if outstanding stock options were exercised and restricted stock and performance units were vested. The dilution from options, restricted shares and performance units is calculated using the treasury stock method. Under this method, we assume the proceeds from the exercise of the options (or the unrecognized compensation expense with respect to restricted stock and performance units) will be used to purchase shares of our common stock at the closing market price on the last day of the period.

(4)Insurance margin is management’s measure of profitability of its annuity, health and life product lines’ performance and consists of premiums plus allocated investment income less insurance policy benefits, interest credited, commissions, advertising expense and amortization of acquisition costs. Income from insurance products is the sum of the insurance margins of the annuity, health and life product lines, less expenses allocated to the insurance lines. It excludes the income from our fee income business, net expenses not allocated to product lines (primarily holding company expenses) and income taxes. Management believes this information helps provide a better understanding of the business and a more meaningful analysis of results of our insurance product lines. Income from insurance products, a non-GAAP measure, is a component of net operating income, which is reconciled to net income on page 5 of this Quarterly Financial Supplement.

(5)Investment income is allocated to the product lines using the book yield of investments backing the block of business, which is applied to the average net insurance liabilities for the block in each period. See note (11) for definition of net insurance liabilities.

(6)Excludes the change in market values of the underlying options supporting the fixed index annuity products and corresponding amount credited to policyholder account liabilities. Such amounts were $37.9 million, $20.2 million, $3.0 million, $74.0 million, $(119.9) million, $44.9 million and $39.3 million in 1Q19, 2Q19, 3Q19, 4Q19, 1Q20, 2Q20 and 3Q20, respectively.

(7)Excludes the change in market values of the underlying options supporting the fixed index life products and corresponding amount credited to policyholder account liabilities. Such amounts were $5.7 million, $2.9 million, $.6 million, $9.4 million, $(16.6) million, $5.8 million and $6.7 million in 1Q19, 2Q19, 3Q19, 4Q19, 1Q20, 2Q20 and 3Q20, respectively.

(8)Income from insurance products is the sum of the insurance margins of the annuity, health and life product lines, less expenses allocated to the insurance lines. It excludes the income from our fee income business, investment income not allocated to product lines, net expenses not allocated to product lines (primarily holding company expenses) and income taxes. Management believes this information helps provide a better understanding of the business and a more meaningful analysis of results of our insurance product lines. Income from insurance products, a non-GAAP measure, is a component of net operating income, which is reconciled to net income on page 5 of this Quarterly Financial Supplement.

(9)Investment income not allocated to product lines is defined as net investment income less: (i) equity returns credited to policyholder account balances; (ii) the investment income allocated to our product lines; (iii) interest expense on notes payable and investment borrowings; and (iv) certain expenses related to benefit plans that are offset by special-purpose investment income. Investment income not allocated to product lines includes investment income on investments in excess of average net insurance liabilities, investments held by our holding companies, the spread we earn from the Federal Home Loan Bank investment borrowing program and variable components of investment income (including call and prepayment income, adjustments to returns on structured securities due to cash flow changes, income from company-owned life insurance ("COLI") and variations in income from alternative investments), net of interest expense.

(10)Management believes that an analysis of Net income applicable to common stock before: (i) net realized investment gains or losses from sales, impairments and change in allowance for credit losses, net of related amortization and taxes; (ii) net change in market value of investments recognized in earnings, net of taxes; (iii) fair value changes due to fluctuations in the interest rates used to discount embedded derivative liabilities related to our fixed index annuities, net of related amortization and taxes; (iv) fair value changes related to the agent deferred compensation plan, net of taxes; (v) loss related to reinsurance transaction, net of taxes; (vi) loss on extinguishment of debt, net of taxes; (vii) changes in the valuation allowance for deferred tax assets and other tax items; and (viii) other non-operating items consisting primarily of earnings attributable to variable interest entities, net of taxes (“Net operating income,” a non-GAAP financial measure) is important to evaluate the financial performance of the company, and is a key measure commonly used in the life insurance industry. Management uses this measure to evaluate performance because the items excluded from net operating income can be affected by events that are unrelated to the company's underlying fundamentals.

(11)Net insurance liabilities are equal to total insurance liabilities less: (i) amounts related to reinsured business; (ii) deferred acquisition costs; (iii) present value of future profits; and (iv) the value of unexpired options credited to insurance liabilities.

(12)Margin/average net insurance liabilities for quarterly periods is calculated by annualizing the quarters' margin divided by the average net insurance liabilities.

(13)Based on statutory accounting practices prescribed or permitted by regulatory authorities for CNO Financial's insurance subsidiaries after appropriate elimination of intercompany accounts among such subsidiaries. Such accounting practices differ from GAAP.

(14)The new money rate is for the investments purchased during the period to support our insurance products and capital. It excludes the new money rate on investments purchased with investment borrowings under our Federal Home Loan Bank program and investments purchased by the variable interest entities.

Page 21
Exhibit 99.3 Third Quarter 2020 Financial and operating results for the period ended September 30, 2020 November 2, 2020 Unless otherwise specified, comparisons in this presentation are between 3Q19 and 3Q20.

 
Important Legal Information Forward-Looking Statements Certain statements made in this presentation should be considered forward-looking statements as defined in the Private Securities Litigation Reform Act of 1995. These include statements about future results of operations and capital plans. We caution investors that these forward-looking statements are not guarantees of future performance, and actual results may differ materially. Investors should consider the important risks and uncertainties that may cause actual results to differ, including those included in our press release issued on November 2, 2020, our Quarterly Reports on Form 10-Q, our Annual Report on Form 10-K and other filings we make with the Securities and Exchange Commission. We assume no obligation to update this presentation, which speaks as of today’s date. Non-GAAP Measures This presentation contains financial measures that differ from the comparable measures under Generally Accepted Accounting Principles (GAAP). Reconciliations between those non-GAAP measures and the comparable GAAP measures are included in the Appendix, or on the page such measure is presented. While management believes the measures are useful to enhance understanding and comparability of our financial results, these non-GAAP measures should not be considered substitutes for the most directly comparable GAAP measures. Additional information concerning non-GAAP measures is included in our periodic filings with the Securities and Exchange Commission that are available in the “Investors – SEC Filings” section of CNO’s website, CNOinc.com. CNO Financial Group | Third Quarter 2020 Earnings | November 2, 2020 2

 
CNO Financial Group | Third Quarter 2020 Earnings | November 2, 2020 3

 
Quarter in Review Operating results reflect favorable health margins, strong NII and expense discipline • Operating income1 up 63%; operating income per share1 up 76% Strong • Insurance product margin up 22% • Continued sequential improvement in key production/distribution Operational metrics Performance • Net investment income up 3.8% • Allocated / Non-allocated expenses down $5.5 million, or 4% • Statutory capital and surplus of $1.87 billion; RBC of 428% Building on • Returned $67 million to shareholders; $50 million in share buybacks Track Record • Weighted average shares down 9% of Execution • Book value per diluted share, excl. AOCI1, up 16% • Operating ROE1 of 12.9% 1 A non-GAAP measure. See the Appendix for a reconciliation to the corresponding GAAP measure. CNO Financial Group | Third Quarter 2020 Earnings | November 2, 2020 4

 
Growth Scorecard Strong collected premium, fee revenue and client assets; sales recovery on track (dollars in millions) 2019 2020 % Change 3Q 4Q TY 1Q 2Q 3Q Y/Y New Annualized Premium 1 Life $37.3 $34.9 $151.3 $41.1 $47.4 $44.3 18.8% Health 46.7 62.7 195.3 44.0 22.0 39.4 -15.6% Total Life and Health $84.0 $97.6 $346.6 $85.1 $69.4 $83.7 -0.4% Collected Premiums Life $203.5 $206.3 $811.2 $207.7 $206.1 $213.3 4.8% Drive Growth Health 420.6 442.2 1,708.2 419.1 419.2 431.7 2.6% Total Life and Health $624.1 $648.5 $2,519.40 $626.8 $625.3 $645.0 3.3% Annuity Collected Premiums $325.2 $324.3 $1,306.4 $292.2 $242.7 $285.1 -12.3% Client Assets in BD and Advisory 2 $1,362.7 $1,515.0 $1,515.0 $1,358.7 $1,524.0 $1,593.5 16.9% the Right 3 Expand to Fee Revenue $16.3 $30.2 $87.5 $28.5 $20.5 $19.6 20.2% 1 Measured as 100% of new life and health annualized premiums, except for single premium whole life deposits, which are measured at 10% of annualized premium. 2 Client assets include cash and securities in brokerage and managed advisory accounts. 3 Represents fee revenue from the sales of third-party insurance products; services provided by WBD; fees generated by our broker-dealer and registered investment advisor. CNO Financial Group | Third Quarter 2020 Earnings | November 2, 2020 5

 
Consumer Division Update Strong direct-to-consumer/Life sales; Health, Annuity and agent metrics rebounding Key Initiatives Third Quarter Highlights • Life sales up 25%; D2C sales up 23%; Exclusive agent Life Maintain growth sales up 29% momentum • Sequential improvement in Health and Annuity sales Optimize • Continued improvement in producing agent count • Agent recruiting momentum and retention gains distribution • Financial Representative1 count up 7% • Web/digital Life sales up 111% • Steady growth in Broker/Dealer client assets Expand reach • Launched myHealthPolicy.com • Multiple health products now supported by digital/tele/field 1 Financial representatives are agents who are licensed to sell certain securities brokerage products and services. CNO Financial Group | Third Quarter 2020 Earnings | November 2, 2020 6

 
Worksite Division Update Stable in force block; sequential improvement in sales; expanding digital enablement Key Initiatives Third Quarter Highlights • 48% sequential improvement in sales Restore growth • Stable premium collection Evolve digital • ~30% of sales completed virtually capabilities • Launched online enrollment capability using WBD • Group critical illness product expanded to 24 states Enhance portfolio • Group term life launching in 4Q20 CNO Financial Group | Third Quarter 2020 Earnings | November 2, 2020 7

 
Excess Capital Allocation Strategy Disciplined and opportunistic approach to maximize shareholder value Organic investments to sustain and grow the core businesses Return capital to shareholders • $50 million in share repurchases in 3Q20; $163 million YTD • Growing capacity to repurchase shares as conditions permit Opportunistic transactions • Highly selective M&A to expand productivity offerings or enhance distribution CNO Financial Group | Third Quarter 2020 Earnings | November 2, 2020 8

 
Financial Highlights GAAP EPS up 237%; Operating EPS up record 76%; Health margins, NII and expense control key drivers Third Quarter 2020 Earnings Results (dollars in millions, except where noted) 1 • Operating EPS of $0.79, up 76% from $0.45 in 3Q19 $0.91 • $0.23 net COVID impact $0.79 • EPS of $0.91, up 237% YoY • Weighted average share count down 9% YoY Net operating earnings per share1 $0.45 • Disciplined expense management Net earnings per $0.27 • Allocated expenses down $1 million, or 1% share • Non-allocated expenses down $4.5 million, or 25% 3Q19 3Q20 • Operating ROE1 of 12.9%, as adjusted 11.9% 1 • Statutory operating income estimated to be $130 Net Operating Income $69.2 $112.6 million Net Income $42.0 $129.2 • Statutory capital and surplus of $1.87 billion • Consolidated RBC of 428%; Holdco liquidity of $236 Weighted Average Shares 155.3 141.7 million Outstanding (in millions) 1 A non-GAAP measure. See the Appendix for a reconciliation to the corresponding GAAP measure. CNO Financial Group | Third Quarter 2020 Earnings | November 2, 2020 9

 
Insurance Product Margin Underlying margin remains strong; favorable net COVID financial impact (dollars in millions) Insurance Product Margin1 Highlights1 3Q19 4Q19 1Q20 2Q20 3Q20 • Total margin up $45 million or 22% • $42 million favorable COVID impact Annuity $72.3 $56.2 $60.8 $59.5 $45.3 • Annuity margin down $11 million or 19% Margin / average net 2.39% 2.54% 2.47% 2.99% 1.86% insurance liabilities • $7 million related to higher persistency attributed to economic impacts of COVID Health $89.3 $93.0 $86.9 $95.5 $152.2 Margin / insurance policy • Health margin up $63 million or 70%; favorable 21% 22% 20% 22% 36% income COVID impact of $58 million Life $54.6 $56.4 $44.3 $41.7 $47.3 • Medicare Supplement up $38.6 million: ISL: Margin / average net 0.55% 0.68% 0.67% 0.44% .30% insurance liabilities • Favorable claims/deferral of care ISL: Underwriting margin / 45% 26% 42% 42% 43% • Supplemental health up $7.2 million: insurance policy income Trad: Margin / insurance • Favorable claims/deferral of care 24% 23% 17% 16% 18% policy income • Long-term care up $17.1 million: Trad: Margin ex. Adv. Exp. / 35% 32% 30% 26% 27% insurance policy income • Lower new claims, higher claim terminations Total Margin $200.1 $210.2 $190.7 $209.5 $244.8 • Life margin down $7 million or 13% • $9 million COVID mortality impact 1 Excluding significant items. CNO Financial Group | Third Quarter 2020 Earnings | November 2, 2020 10

 
Investment Results Alternative outperformance drove increase in total NII (dollars in millions) Investment Income Allocated to Investment Income Not Product Lines Allocated to Product Lines Total Net Investment Income1 $400.0 $400.0 $400.0 $300.0 $300.0 $300.0 $255.5 $265.4 $221.2 $221.7 $200.0 $200.0 $200.0 $100.0 $100.0 $100.0 $34.3 $43.7 $- $- $- 3Q 2019 3Q 2020 3Q 2019 3Q 2020 3Q 2019 3Q 2020 Annuity Health Life Annuity Health Life Not Allocated • Invested assets up 3% • Investment Income Not Allocated to Product Lines up $9 million YoY due to favorable alternatives results • New money rate of 4.08% • Alts are predominantly reported on one quarter lag • Investment Income Allocated to Product Lines essentially flat due to lower interest rates • $582 million new money investments had average rating of A-, average duration of 12 years • Average yield on allocated investments was 4.88% compared to 5.06% in 3Q19 1 Reflects sum of allocated and non-allocated investment income. Refer to pages 15-18 of the financial supplement for more information on the components of net investment income. CNO Financial Group | Third Quarter 2020 Earnings | November 2, 2020 11

 
Portfolio Composition High quality; well-positioned for uncertain environment $26 billion of Invested Assets Highlights (Fair Value as of 9/30/2020) Mortgage HY Corporates, • 64% of portfolio in corporate and government bonds Loans, 5.7% 2.9% Non-Agency RMBS, 8.5% • 41% BBBs; consistent with June 30 CMBS, • $22.2 billion of assets with high degree of liquidity 7.9% Municipals, 9.9% • ~$13.3 billion public corporate bonds • ~$5.9 billion structured securities Govts/Agency, • ~$3.0 billion municipal, political subdivisions, ABS, 4.3% 1.6% and US and foreign government bonds CLO, 1.7% IG Corporates, • Strong credit risk profile across portfolio 49.9% Equities, 0.2% Other Invested • Generally underweight COVID-19 impacted Assets, 1.9% Alternatives, 2.2% sectors • 96% rated NAIC 1 / 2 Policy Loans, 0.5% Cash, 3.0% • Diversified commercial and residential mortgages with low LTVs General Approach • Significant credit enhancement in structured • Positioned for stable performance across credit cycles products • Emphasizing quality • Alternative investments emphasizing current • Lower than average allocation to most higher risk categories • Low impairments through multiple cycles cash flows and comparatively predictable results CNO Financial Group | Third Quarter 2020 Earnings | November 2, 2020 12

 
Cash Flow Profile Strong free cash flow generation and conversion (dollars in millions) For the Quarter Trailing Twelve Months 3Q19 3Q20 3Q19 3Q20 Net Operating Income1 $ 69.2 $ 112.6 $ 271.2 $ 354.9 Holding Company Cash Flows: Dividends from Subsidiaries$ 39.4 $ 50.5 $ 292.7 $ 231.9 Management Fees 29.9 29.0 113.6 113.9 Surplus Debenture Interest 22.7 20.9 59.9 57.4 Earnings on Corporate Investments 2.8 2.8 13.7 29.1 Tax Refund - - 5.8 - Other 13.4 22.4 25.2 22.2 Holding Company Sources of Cash2 108.2 125.6 510.9 454.5 Holding Company Expenses and Other (17.8) (23.6) (83.4) (114.8) Interest Payments - (0.2) (44.3) (52.3) Excess Cash Flow to Holding Company2 90.4 94.7 383.2 280.3 Net Proceeds from New Debt - - 64.9 - Share Repurchases (77.3) (50.0) (217.7) (238.0) Dividend Payments to Stockholders (16.8) (16.8) (67.0) (66.8) Acquisition - - (68.8) - Net Change in Holding Company Cash and Investments (3.7) 27.9 94.6 (24.5) Non-Cash Changes in Investment Balances - - (0.1) - Cash and Investments, Beginning of Period 264.1 208.0 165.9 260.4 Cash and Investments, End of Period$ 260.4 $ 235.9 $ 260.4 $ 235.9 1 A non-GAAP measure. See the Appendix for a reconciliation to the corresponding GAAP measure. 2 Cash flows exclude capital contributions to insurance subsidiaries, acquisitions, dividend payments, stock repurchases, and financing transactions. CNO Financial Group | Third Quarter 2020 Earnings | November 2, 2020 13

 
Capital and Liquidity Overview Conservative approach to capital structure; strong liquidity (dollars in millions) Consolidated Risk Based Capital (“RBC”) Ratio1 393% 408% 406% 405% 428%  Targeted consolidated RBC ratio of 375-400%  Excess due to intentional conservative positioning  RBC variability can be expected in periods of market volatility 2018 2019 1Q 2020 2Q 2020 3Q 2020 Debt to Capital2 22.3% 23.0% 23.8% 23.6% 23.2%  Target leverage of 22.5 – 25.0%  Debt covenant ceiling of 35%  Debt capacity within limit of target leverage $104 million 2018 2019 1Q 2020 2Q 2020 3Q 2020 x Holding Company Liquidity $220.4 $208.0 $235.9 $186.7 $168.1  Minimum targeted holding company liquidity of $150 million  Liquidity bolstered by $250 million undrawn revolver  No outstanding debt maturities until 2025 2018 2019 1Q 2020 2Q 2020 3Q 2020 1 The ratio of the combined capital of the insurance companies to the minimum amount of capital appropriate to support the overall business operations, as determined based on the methodology developed by the National Association of Insurance Commissioners. 2 Excluding accumulated other comprehensive income (a non-GAAP measure). See the Appendix for a reconciliation to the corresponding GAAP measure. CNO Financial Group | Third Quarter 2020 Earnings | November 2, 2020 14

 
Outlook Modest net favorable 4Q financial impact from COVID Scenario modeling – 2020 COVID impacts Prior (August) projections Current (October) base case scenario • Mortality • Mortality • 150k – 400k U.S. COVID deaths • Assume approximately 120k U.S. deaths • $20M – $52M net mortality impact in 4Q • $130k per 1,000 deaths • $68k mortality impact per 1,000 U.S. • Morbidity deaths • Favorable in 2Q20; net neutral impact in • COVID vaccine available mid 2021; 2H20 with potential upside if deferred Infections persist through early 2022 healthcare and LTC treatments become • Morbidity permanent • Very favorable in 3Q20 driven by • Premium deferral / Shock lapse continued deferral of care; less favorable • Potential for modestly positive impact in 4Q20 as claims return to more normal given favorable persistency observed in levels 2Q20 • Premium deferral / Shock lapse • Persistency higher through 3Q; assume neutral impact going forward • Extended grace periods generally ended Other Key Outputs of Modeling • 4Q20 modestly favorable net COVID impacts • 2H20 expenses in total flat to prior year, excluding significant items in 4Q19, consistent with prior guidance • Adverse scenario free cash flow supports continued share repurchase capacity CNO Financial Group | Third Quarter 2020 Earnings | November 2, 2020 15

 
Delivering On Our Commitments Balancing focus on COVID response with acceleration of strategic priorities Pivot to Optimize Long- Turnaround / COVID-19 De-risking Growth term Value Pre 2017 2017-2019 2020 2021 and Beyond • Reinsured life block (2009) • Completed Senior Leadership • Balancing capital return with • Customer-centric business • Recapitalized company (2012) additions investments in growth realignment • Initiated dividend (2012) • Reinsured LTC block • Conservative capital structure • Omnichannel delivery model • Sold Legacy Life Insurance Block • Achieved investment grade • Enhance growth and margin credit ratings • Defensive portfolio profile (2014) positioning • Migrated ratings upwards–within • Up-in-quality portfolio • Maximize distributable cash non-investment grade ratings repositioning • Benefiting from diverse flow classes • Sustainable momentum in product portfolio and strong • Accelerate pace of capital recruiting and sales retention deployment • Successfully pivoting to new • Reduced risk and volatility sales approaches • Leverage technology • Accelerating integration of D2C and exclusive agents • Expanding D2C offerings • Reimagining workplace of the future CNO Financial Group | Third Quarter 2020 Earnings | November 2, 2020 16

 
Investment Highlights Well-positioned in Favorable Highly Sustainable Strong balance underserved senior demographic differentiated growth initiatives sheet; robust middle-income tailwinds business model in place free cash flow market generation CNO Financial Group | Third Quarter 2020 Earnings | November 2, 2020 17

 
Questions and Answers CNO Financial Group | Third Quarter 2020 Earnings | November 2, 2020 18

 
Appendix 1: Quarter in Review Strong Operational Performance • Broker-Dealer/Registered Investment Advisor Slide 20 • Agent Counts Slide 21 Building on Strong Track Record of Execution • Retained LTC Insurance Slide 22 • New Money Summary Slide 23 • Portfolio Overview Slides 24-27 • Tax Asset Summary Slide 28 CNO Financial Group | Third Quarter 2020 Earnings | November 2, 2020 19

 
Broker-Dealer/Registered Investment Advisor Account values up YoY; $1.6 billion in client assets (dollars in millions) 2019 2020 3Q 4Q 1Q 2Q 3Q Net New Client Assets in Brokerage $13.4 $17.4 $15.3 -$26.7 -$31.5 Brokerage and Advisory1 Advisory 29.9 45.4 65.7 38.6 23.5 Total $43.3 $62.8 $81.0 $11.9 -$8.0 Client Assets in Brokerage and Brokerage $913.7 $982.9 $842.3 $905.3 $918.4 Advisory1 at end of period Advisory 449.0 532.1 516.4 618.7 675.1 Total $1,362.7 $1,515.0 $1,358.7 $1,524.0 $1,593.5 1 Client assets include cash and securities in brokerage and managed advisory accounts. Net new client assets includes total inflows of cash and securities into brokerage and managed advisory accounts less outflows. Inflows include interest and dividends and exclude changes due to market fluctuations. Bankers Life is the marketing brand of various affiliated companies of CNO Financial Group including, Bankers Life and Casualty Company, Bankers Life Securities, Inc., and Bankers Life Advisory Services, Inc. Non-affiliated insurance products are offered through Bankers Life General Agency, Inc. (dba BL General Insurance Agency, Inc., AK, AL, CA, NV, PA). Agents who are financial advisors are registered with Bankers Life Securities, Inc. Securities and variable annuity products and services are offered by Bankers Life Securities, Inc. Member FINRA/SIPC, (dba BL Securities, Inc., AL, GA, IA, IL, MI, NV, PA). Advisory products and services are offered by Bankers Life Advisory Services, Inc. SEC Registered Investment Adviser (dba BL Advisory Services, Inc., AL, GA, IA, MT, NV, PA). Home Office: 111 East Wacker Drive, Suite 1900, Chicago, IL 60601 CNO Financial Group | Third Quarter 2020 Earnings | November 2, 2020 20

 
Agent Counts 2019 2020 % Change Consumer 3Q 4Q 1Q 2Q 3Q Q/Q Total Quarterly Average Producing Agents1,3 4,579 4,709 4,531 4,066 4,448 -2.9% Quarterly Average Financial Representatives2,3 596 596 591 602 637 6.9% Worksite Total Quarterly Average Producing Agents1,3 420 453 421 225 242 -42.4% 1 Producing agents are agents that have submitted at least one policy in the month. 2 Financial representatives are agents who are licensed to sell certain securities brokerage products and services. 3 Quarterly average agent and advisor counts represent the average of the last 3 months. CNO Financial Group | Third Quarter 2020 Earnings | November 2, 2020 21

 
Retained Long-Term Care Insurance Highly differentiated in-force block; prudently managed . New sales (~$25 million annually) focused on short duration products – 98% of new sales for policies with 2 years or less in benefits – Average benefit period of 11 months – New business 25% reinsured since 2008 . Reserve assumptions informed by historical experience – No morbidity improvement – No mortality improvement – Minimal future rate increases – New money rate lowered to reflect a level rate throughout the projection horizon . Favorable economic profile – Loss Recognition Testing margin reflecting a level new money rate is $207 million or ~9% of Net GAAP Liabilities – Statutory reserves ~$160 million higher than GAAP net liabilities – Total LTC is just 13% of overall CNO reserves – Potential adverse impact from severe stress scenarios is significantly reduced CNO Financial Group | Third Quarter 2020 Earnings | November 2, 2020 22

 
New Money Summary Emphasis on high quality investments during third quarter Third Quarter Investments Average Average HY Corporates, 5% Direct Investments, 4% Allocation $ Allocation% Yield Rating Duration IG Corporates 258 44.4% 4.05% BBB+ 13.0 Structured Securities, 14% Municipals 189 32.5% 3.50% A+ 17.0 IG Corporates, 44% Structured Securities 80 13.8% 4.09% BBB+ 4.8 Municipals, 33% HY Corporates 32 5.4% 5.42% BB- 4.4 Direct Investments 23 3.9% 7.44% NR - 91% Investment Grade Allocation Total 582 100% 4.08% A- 12.2 CNO Financial Group | Third Quarter 2020 Earnings | November 2, 2020 23

 
Portfolio Overview – Sector Breakdown Generally underweight COVID-19 impacted sectors (dollars in millions) Book Market Unrealized Average Sector Value Value Gain Loss Portfolio% NAIC Over|Underweight Airlines 32.9 34.3 1.4 0.13% 1.5 Underweight Aircraft Lease Securitizations 33.3 30.7 (2.6) 0.12% 1.3 Underweight Energy 706.2 784.0 77.8 2.96% 1.9 Underweight Gaming 0.0 - - - - Underweight Hotels 36.1 37.7 1.6 0.14% 2.6 Underweight Retail ex Grocery 81.6 98.5 16.8 0.37% 1.9 Underweight Restaurants 19.1 23.1 3.9 0.09% 2.8 Underweight Whole Business Securitizations 393.6 398.4 4.8 1.50% 2.1 Overweight CMBS 1,993.4 2,081.3 87.9 7.86% 1.0 Overweight CNO Financial Group | Third Quarter 2020 Earnings | November 2, 2020 24

 
Portfolio Overview: CLO Debt Significant cushion against stress scenarios Ratings Composition A+ % of Rating Downgrade Watch 1.5% AA Portfolio Portfolio Index 49.0% AAA 13.1% - - AA 51.3% - - A 32.0% 100% A 35.6% - - AAA AA+ AAA-A BBB - N/A 5.0% 13.1% 2.4% A- BB - N/A 3.0% 2.2% Key Portfolio Metrics Cumulative loss scenarios versus Break Points AAA AA A 38.0% Credit Support Portfolio 37% 25% 17% 32.1% Market 37% 25% 19% 23.6% WARF Portfolio 3,150 3,177 3,167 14.4% 14.7% 15.9% 14.9% 12.2% 12.3% 12.5% 11.8% Market 3,127 3,145 3,163 10.7% Diversity Score Portfolio 79 78 82 Market 77 75 75 AAA AA A WAPx Portfolio 91.0 90.7 92.4 Base Case NAIC Stress GFC Break Point Market 92.0 91.9 91.7 CNO Financial Group | Third Quarter 2020 Earnings | November 2, 2020 25

 
Portfolio Overview: CMBS We have excess credit support to offset collateral delinquencies or losses Key Portfolio Facts Book Market Market/ Credit Delinq. $2.0 billion of net invested assets Rating Value Value Book Support Rate Hotel% Retail% AAA 582 615 106% 37.4% 7.9% 12.4% 22.4% AA 298 315 106% 28.0% 5.1% 9.6% 16.3% A 793 810 102% 22.3% 4.1% 12.5% 11.8% 85.0% 61% 2.10x BBB 258 278 108% 11.0% 0.0% 1.0% 3.2% Rated Weighted Weighted AAA-A Avg LTV¹ DSCR¹ BB 63 63 101% 2.7% - - - 1,993 2,081 104% 25.5% 4.7% 10.1% 14.1% Underlying Property Type SASB versus Conduit Zero forbearance or delinquencies in SASB portfolio SASB Office Agency 30.6% Multifamily Multifamily 24.4% $317 mm, 16% DSCR 2.3x Conduit $1.1 B, 52% LTV 39% SASB $649 Industrial mm, 32% Retail 8.3% 14.1% Hotel % 6.20% Mixed Use Hotels 12.3% 10.1% Retail % 2.80% 1 LTV based on appraisal at loan origination, DSCR as of year 2019 operating statements CNO Financial Group | Third Quarter 2020 Earnings | November 2, 2020 26

 
Portfolio Overview: Commercial Mortgage Loans Very conservatively underwritten; loss resistant, no COVID related delinquencies or forbearances Key Portfolio Facts Portfolio Geography $1.5 billion of net invested assets Pacific 17.3% East 24.4% Mountain 8.5% 100% 99.5% 49% 2.00x Central First Rated Weighted Weighted 13.4% Mortgage CM1-2 Avg LTV¹ DSCR¹ South 36.4% Underlying Property Type Ratings Composition Industrial Other 22.9% 11.8% CM1 Office 77.7% 17.0% Multifamily CM2 29.4% 21.8% Retail 18.9% 1 LTV and DSCR as of year 2019 operating statements CM7 0.5% CNO Financial Group | Third Quarter 2020 Earnings | November 2, 2020 27

 
Tax Asset Summary Value of NOLs and deferred tax assets Details (DTAs) related to tax strategy (dollars in millions) $465 • Total estimated economic value of NOLs and DTAs related to tax strategy of DTAs related to tax strategy approximately $380 million @ 10% $92 discount rate ($2.71 on per share basis) • Life NOLs have been fully utilized. Non- life NOLs are expected to offset 100% of non-life taxable income and 35% of the Non-life NOLs remaining life taxable income not offset $373 by life NOLs through 2023. CNO Financial Group | Third Quarter 2020 Earnings | November 2, 2020 28

 
Appendix 2: Financial Exhibits • Non-GAAP Financial Measures Slides 30-44 CNO Financial Group | Third Quarter 2020 Earnings | November 2, 2020 29

 
2Q20 Significant Items The table below summarizes the financial impact of significant items on our 2Q20 net operating income. Management believes that identifying the impact of these items enhances the understanding of our operating results. (dollars in millions, except per-share amounts) Three months ended June 30, 2020 Excluding significant Actual results Significant items items Insurance product margin Annuity$ 123.8 $ 40.0 (1) $ 72.3 (91.5) (1) Health 95.5 - 95.5 Life 36.1 5.6 (1) 41.7 Total insurance product margin 255.4 (45.9) 209.5 Allocated expenses (128.1) - (128.1) Income from insurance products 127.3 (45.9) 81.4 Fee income 5.2 - 5.2 Investment income not allocated to product lines 8.2 - 8.2 Expenses not allocated to product lines (38.5) 23.5 (2) (15.0) Operating earnings before taxes 102.2 (22.4) 79.8 Income tax expense on operating income (22.8) 4.7 (18.1) Net operating income (3)$ 79.4 $ (17.7) $ 61.7 Net operating income per diluted share (3) $0.55$ (0.12) $ 0.43 The footnotes to the above table are on the following page. CNO Financial Group | Third Quarter 2020 Earnings | November 2, 2020 30

 
2Q20 Significant Items (Continued from the previous page) (1) Given our expectation that interest rates will remain low for the long-term, we performed an actuarial unlocking exercise in the second quarter of 2020 to reflect our assumption that average new money rates will remain flat at 4 percent forever. This change and the related impacts to persistency assumptions had a $45.6 million unfavorable impact on pre-tax earnings. As part of the actuarial unlocking exercise, we also changed our assumptions related to the future option costs we incur in providing benefits on fixed index annuities which had a favorable impact on pre-tax earnings of $91.5 million. The impact of these changes in assumptions is summarized below (dollars in millions): Line of business Fixed index Fixed interest Interest- annuities annuities sensitive life Total Favorable (unfavorable) Impacts of an average new money rate assumption of 4 percent Insurance policy benefits $ (5.0) $ — $ (7.4) $ (12.4) Amortization (25.6) (9.4) 1.8 (33.2) Subtotal (30.6) (9.4) (5.6) (45.6) Impacts of changes in future option costs Insurance policy benefits 104.8 — — 104.8 Amortization (13.3) — — (13.3) Subtotal 91.5 — — 91.5 Impact on pre-tax income $ 60.9 $ (9.4) $ (5.6) $ 45.9 This actuarial unlocking exercise does not replace our comprehensive annual review of all assumptions for our insurance products, which we we plan to complete in the fourth quarter of this year. Additional adjustments may be identified based on the results of the comprehensive annual review. (2) We increased our liability for claims and interest pursuant to the previously disclosed Global Resolution Agreement entered into in November 2018. Pursuant to this agreement, a third-party auditor is acting on behalf of 41 states and the District of Columbia for the purpose of identifying deceased insureds and contract holders where benefits are payable pursuant to unclaimed property laws. The third-party auditor has provided information that we have processed and verified allowing us to more accurately estimate the ultimate liability pursuant to this agreement. (3) A non-GAAP measure. See pages 33 and 35 for a reconciliation to the corresponding GAAP measure. CNO Financial Group | Third Quarter 2020 Earnings | November 2, 2020 31

 
4Q19 Significant Items The table below summarizes the financial impact of significant items on our 4Q19 net operating income. Management believes that identifying the impact of these items enhances the understanding of our operating results. (dollars in millions, except per-share amounts) Three months ended December 31, 2019 Excluding significant Actual results Significant items items Insurance product margin Annuity$ 60.5 $ 0.3 (1) $ 60.8 Health 93.0 - 93.0 Life 46.7 9.7 (1) 56.4 Total insurance product margin 200.2 10.0 210.2 Allocated expenses (140.6) - (140.6) Income from insurance products 59.6 10.0 69.6 Fee income 11.7 - 11.7 Investment income not allocated to product lines 26.2 - 26.2 Expenses not allocated to product lines 2.8 (20.0) (2) (17.2) Operating earnings before taxes 100.3 (10.0) 90.3 Income tax expense on operating income (21.7) 2.1 (19.6) Net operating income (3)$ 78.6 $ (7.9) $ 70.7 Net operating income per diluted share (3)$ 0.52 $ (0.05) $ 0.47 (1) Adjustments arising from our comprehensive annual actuarial review of assumptions. (2) $20.0 million of the net favorable impact from legal and regulatory matters. (3) A non-GAAP measure. See pages 33 and 35 for a reconciliation to the corresponding GAAP measure. CNO Financial Group | Third Quarter 2020 Earnings | November 2, 2020 32

 
Quarterly Earnings (dollars in millions) 3Q19 4Q19 1Q20 2Q20 3Q20 Insurance product margin Annuity$ 56.2 $ 60.5 $ 59.5 $ 123.8 $ 45.3 Health 89.3 93.0 86.9 95.5 152.2 Life 54.6 46.7 44.3 36.1 47.3 Total insurance product margin 200.1 200.2 190.7 255.4 244.8 Allocated expenses (131.3) (140.6) (136.6) (128.1) (130.3) Income from insurance products 68.8 59.6 54.1 127.3 114.5 Fee income 3.0 11.7 7.8 5.2 0.8 Investment income not allocated to product lines 34.3 26.2 57.4 8.2 43.7 Expenses not allocated to product lines (18.2) 2.8 (13.8) (38.5) (13.7) Operating earnings before taxes 87.9 100.3 105.5 102.2 145.3 Income tax expense on operating income (18.7) (21.7) (21.2) (22.8) (32.7) Net operating income 69.2 78.6 84.3 79.4 112.6 Net realized investment gains (losses) from sales, impairments and change in allowance for credit losses (net of related amortization) (2.6) 7.1 (63.7) 12.3 7.7 Net change in market value of investments recognized in earnings 4.7 (2.6) (48.4) 31.2 8.5 Fair value changes in embedded derivative liabilities (net of related amortization) (29.3) 13.4 (66.7) (27.1) (1.6) Fair value changes related to agent deferred compensation plan (6.0) 2.5 - (13.2) - Other (1.2) (13.3) 2.3 - 6.5 Non-operating income (loss) before taxes (34.4) 7.1 (176.5) 3.2 21.1 Income tax expense (benefit): On non-operating income (loss) (7.2) 1.4 (37.0) 0.6 4.5 Valuation allowance for deferred tax assets and other tax items - (193.7) (34.0) - - Net non-operating income (loss) (27.2) 199.4 (105.5) 2.6 16.6 Net income (loss)$ 42.0 $ 278.0 $ (21.2) $ 82.0 $ 129.2 *Management believes that an analysis of earnings before net realized investment gains (losses) from sales, impairments and change in allowance for credit losses, net change in market value of investments recognized in earnings, fair value changes in embedded derivative liabilities, fair value changes related to the agent deferred compensation plan, loss on extinguishment of debt, other non-operating items, corporate interest expense and taxes (“Adjusted EBIT,” a non-GAAP financial measure) provides a clearer comparison of the operating results of the company quarter-over-quarter because it excludes: (1) net realized investment gains (losses) from sales, impairments and change in allowance for credit losses; (2) net change in market value of investments recognized in earnings; (3) fair value changes due to fluctuations in the interest rates used to discount embedded derivative liabilities related to our fixed index annuities that are unrelated to the company’s underlying fundamentals; (4) loss on extinguishment of debt; (5) fair value changes related to the agent deferred compensation plan; (6) charges in the valuation allowance for deferred tax assets and other tax items; and (7) other non-operating items consisting primarily of earnings attributable to variable interest entities. The table above provides a reconciliation of Adjusted EBIT to net income. CNO Financial Group | Third Quarter 2020 Earnings | November 2, 2020 33

 
Information Related to Certain Non-GAAP Financial Measures The following provides additional information regarding certain non-GAAP measures used in this presentation. A non-GAAP measure is a numerical measure of a company’s performance, financial position, or cash flows that excludes or includes amounts that are normally excluded or included in the most directly comparable measure calculated and presented in accordance with GAAP. While management believes these measures are useful to enhance understanding and comparability of our financial results, these non-GAAP measures should not be considered as substitutes for the most directly comparable GAAP measures. Additional information concerning non-GAAP measures is included in our periodic filings with the Securities and Exchange Commission that are available in the “Investors – SEC Filings” section of CNO’s website, www.CNOinc.com. Operating earnings measures Management believes that an analysis of net income applicable to common stock before net realized investment gains or losses from sales, impairments and change in allowance for credit losses, net change in market value of investments recognized in earnings, fair value changes due to fluctuations in the interest rates used to discount embedded derivative liabilities related to our fixed index annuities, fair value changes related to the agent deferred compensation plan, loss on extinguishment of debt, changes in the valuation allowance for deferred tax assets and other tax items and other non-operating items consisting primarily of earnings attributable to variable interest entities (“net operating income,” a non- GAAP financial measure) is important to evaluate the financial performance of the Company and is a key measure commonly used in the life insurance industry. Management uses this measure to evaluate performance because the items excluded from net operating income can be affected by events that are unrelated to the Company’s underlying fundamentals. CNO Financial Group | Third Quarter 2020 Earnings | November 2, 2020 34

 
Information Related to Certain Non-GAAP Financial Measures A reconciliation of net income (loss) applicable to common stock to net operating income (and related per-share amounts) is as follows: (dollars in millions, except per-share amounts) 3Q19 4Q19 1Q20 2Q20 3Q20 Net income (loss) applicable to common stock $ 42.0 $ 278.0 $ (21.2) $ 82.0 $ 129.2 Non-operating items: Net realized investment (gains) losses from sales and impairments, net of related amortization 2.6 (7.1) 63.7 (12.3) (7.7) Net change in market value of investments recognized in earnings (4.7) 2.6 48.4 (31.2) (8.5) Fair value changes in embedded derivative liabilities, net of related amortization 29.3 (13.4) 66.7 27.1 1.6 Fair value changes related to the agent deferred compensation plan 6.0 (2.5) - 13.2 - Other 1.2 13.3 (2.3) - (6.5) Non-operating (income) loss before taxes 34.4 (7.1) 176.5 (3.2) (21.1) Income tax (expense) benefit On non-operating (income) loss 7.2 (1.4) 37.0 (0.6) (4.5) Valuation allowance for deferred tax assets and other tax items - 193.7 34.0 - - Net non-operating (income) loss 27.2 (199.4) 105.5 (2.6) (16.6) Net operating income (a non-GAAP financial measure) $ 69.2 $ 78.6 $ 84.3 $ 79.4 $ 112.6 Per diluted share: Net income (loss) $ 0.27 $ 1.84 $ (0.15) $ 0.57 $ 0.91 Net realized investment (gains) losses from sales and impairments (net of related amortization and taxes) 0.01 (0.04) 0.35 (0.07) (0.04) Net change in market value of investments recognized in earnings (net of taxes) (0.02) 0.01 0.26 (0.17) (0.05) Fair value changes in embedded derivative liabilities (net of related amortization and taxes) 0.15 (0.07) 0.36 0.15 0.01 Fair value changes related to the agent deferred compensation plan (net of taxes) 0.03 (0.01) - 0.07 - Valuation allowance for deferred tax assets and other tax items - (1.28) (0.23) - - Other 0.01 0.07 (0.01) - (0.04) Net operating income (a non-GAAP financial measure) $ 0.45 $ 0.52 $ 0.58 $ 0.55 $ 0.79 CNO Financial Group | Third Quarter 2020 Earnings | November 2, 2020 35

 
Information Related to Certain Non-GAAP Financial Measures A reconciliation of operating income and shares used to calculate basic and diluted operating earnings per share is as follows: (dollars in millions, except per-share amounts, and shares in thousands) 3Q19 4Q19 1Q20 (a) 2Q20 3Q20 Operating income$ 69.2 $ 78.6 $ 84.3 $ 79.4 $ 112.6 Weighted average shares outstanding for basic earnings per share 154,257 150,138 145,829 143,422 140,900 Effect of dilutive securities on weighted average shares: Stock options, restricted stock and performance units 1,003 1,269 - 519 830 Weighted average shares outstanding for diluted earnings per share 155,260 151,407 145,829 143,941 141,730 Net operating income per diluted share$ 0.45 $ 0.52 $ 0.58 $ 0.55 $ 0.79 (a) Equivalent common shares of 768 were not included in the diluted weighted average shares outstanding due to the net less recognized in 1Q20. CNO Financial Group | Third Quarter 2020 Earnings | November 2, 2020 36

 
Information Related to Certain Non-GAAP Financial Measures Book value per diluted share Book value per diluted share reflects the potential dilution that could occur if outstanding stock options were exercised, restricted stock and performance units were vested and convertible securities were converted. The dilution from options, restricted shares and performance units is calculated using the treasury stock method. Under this method, we assume the proceeds from the exercise of the options (or the unrecognized compensation expense with respect to restricted stock and performance units) will be used to purchase shares of our common stock at the closing market price on the last day of the period. In addition, the calculation of this non-GAAP measure differs from the corresponding GAAP measure because accumulated other comprehensive income (loss) has been excluded from the value of capital used to determine this measure. Management believes this non-GAAP measure is useful because it removes the volatility that arises from changes in the unrealized appreciation (depreciation) of our investments. A reconciliation from book value per share to book value per diluted share, excluding accumulated other comprehensive income (loss) is as follows: (dollars in millions, except per-share amounts) 3Q19 4Q19 1Q20 2Q20 3Q20 Total shareholders' equity$ 4,553.3 $ 4,677.0 $ 3,765.8 $ 4,731.2 $ 5,083.9 Shares outstanding for the period 152,183,491 148,084,178 143,610,046 141,718,570 138,931,352 Book value per share$ 29.92 $ 31.58 $ 26.22 $ 33.38 $ 36.59 Total shareholders' equity$ 4,553.3 $ 4,677.0 $ 3,765.8 $ 4,731.2 $ 5,083.9 Less accumulated other comprehensive income (1,442.9) (1,372.5) (595.2) (1,520.2) (1,801.6) Adjusted shareholders' equity excluding AOCI$ 3,110.4 $ 3,304.5 $ 3,170.6 $ 3,211.0 $ 3,282.3 Shares outstanding for the period 152,183,491 148,084,178 143,610,046 141,718,570 138,931,352 Dilutive common stock equivalents related to: Stock options, restricted stock and performance units 1,059,278 1,496,546 326,110 691,574 1,040,861 Diluted shares outstanding 153,242,769 149,580,724 143,936,156 142,410,144 139,972,213 Book value per diluted share (a non-GAAP measure)$ 20.30 $ 22.09 $ 22.03 $ 22.55 $ 23.45 CNO Financial Group | Third Quarter 2020 Earnings | November 2, 2020 37

 
Information Related to Certain Non-GAAP Financial Measures Operating return measures Management believes that an analysis of net income applicable to common stock before net realized investment gains or losses from sales, impairments and change in allowance for credit losses, net change in market value of investments recognized in earnings, fair value changes due to fluctuations in the interest rates used to discount embedded derivative liabilities related to our fixed index annuities, fair value changes related to the agent deferred compensation plan, loss on extinguishment of debt, changes in the valuation allowance for deferred tax assets and other tax items, loss on extinguishment of debt and other non-operating items consisting primarily of earnings attributable to variable interest entities (“net operating income,” a non-GAAP financial measure) is important to evaluate the financial performance of the Company and is a key measure commonly used in the life insurance industry. Management uses this measure to evaluate performance because the items excluded from net operating income can be affected by events that are unrelated to the Company’s underlying fundamentals. Management also believes that an operating return, excluding significant items, is important as the impact of these items enhances the understanding of our operating results. This non-GAAP financial measure also differs from return on equity because accumulated other comprehensive income (loss) has been excluded from the value of equity used to determine this ratio. Management believes this non-GAAP financial measure is useful because it removes the volatility that arises from changes in accumulated other comprehensive income (loss). Such volatility is often caused by changes in the estimated fair value of our investment portfolio resulting from changes in general market interest rates rather than the business decisions made by management. In addition, our equity includes the value of significant net operating loss carryforwards (included in income tax assets). In accordance with GAAP, these assets are not discounted, and accordingly will not provide a return to shareholders (until after it is realized as a reduction to taxes that would otherwise be paid). Management believes that excluding this value from the equity component of this measure enhances the understanding of the effect these non-discounted assets have on operating returns and the comparability of these measures from period-to-period. Operating return measures are used in measuring the performance of our business units and are used as a basis for incentive compensation. CNO Financial Group | Third Quarter 2020 Earnings | November 2, 2020 38

 
Information Related to Certain Non-GAAP Financial Measures The calculations of: (i) operating return on equity, excluding accumulated other comprehensive income (loss) and net operating loss carryforwards (a non-GAAP financial measure); (ii) operating return, excluding significant item, on equity, excluding accumulated other comprehensive income (loss) and net operating loss carryforwards (a non-GAAP financial measure); and (iii) return on equity are as follows: (dollars in millions) Trailing Twelve Months Ended 3Q19 4Q19 1Q20 2Q20 3Q20 Operating income$ 271.2 $ 290.0 $ 308.5 $ 311.5 $ 354.9 Operating income, excluding significant items$ 286.3 $ 282.1 $ 300.6 $ 285.9 $ 329.3 Net income$ 159.7 $ 409.4 $ 336.4 $ 380.8 $ 468.0 Average common equity, excluding accumulated other comprehensive income (loss) and net operating loss carryforwards (a non-GAAP financial measure) $ 2,697.2 $ 2,703.9 $ 2,713.0 $ 2,722.9 $ 2,760.6 Avearge common shareholders' equity$ 3,886.9 $ 4,166.8 $ 4,321.1 $ 4,372.0 $ 4,498.2 Operating return on equity, excluding accumulated other comprehensive income (loss) and net operating loss carryforwards (a non-GAAP financial measure) 10.1% 10.7% 11.4% 11.4% 12.9% Operating return, excluding significant items, on equity, excluding accumulated other comprehensive income (loss) and net operating loss carryforwards (a non-GAAP financial measure) 10.6% 10.4% 11.1% 10.5% 11.9% Return on equity 4.1% 9.8% 7.8% 8.7% 10.4% (Continued on next page) CNO Financial Group | Third Quarter 2020 Earnings | November 2, 2020 39

 
Information Related to Certain Non-GAAP Financial Measures The following summarizes: (i) operating earnings; (ii) significant items; (iii) operating earnings, excluding significant items; and (iv) net income (loss): (dollars in millions) Net operating Net operating income, income, excluding excluding significant Net income Net operating Significant significant items - trailing Net income (loss) - trailing income items (a) items four quarters (loss) four quarters 4Q18$ 59.8 $ 15.1 $ 74.9 $ 317.3 $ 28.3 $ (315.0) 1Q19 65.8 - 65.8 310.1 51.8 (347.5) 2Q19 76.4 - 76.4 304.6 37.6 (412.1) 3Q19 69.2 - 69.2 286.3 42.0 159.7 4Q19 78.6 (7.9) 70.7 282.1 278.0 409.4 1Q20 84.3 - 84.3 300.6 (21.2) 336.4 2Q20 79.4 (17.7) 61.7 285.9 82.0 380.8 3Q20 112.6 - 112.6 329.3 129.2 468.0 (a) The significant items have been discussed in prior press releases. (Continued on next page) CNO Financial Group | Third Quarter 2020 Earnings | November 2, 2020 40

 
Information Related to Certain Non-GAAP Financial Measures The calculations of: (i) operating return on equity, excluding accumulated other comprehensive income (loss) and net operating loss carryforwards (a non-GAAP financial measure); (ii) operating return, excluding significant item, on equity, excluding accumulated other comprehensive income (loss) and net operating loss carryforwards (a non-GAAP financial measure); and (iii) return on equity are as follows: (dollars in millions) Twelve Months Ended 3Q19 4Q19 1Q20 2Q20 3Q20 Pretax operating earnings (a non-GAAP financial measure)$ 341.2 $ 368.3 $ 390.4 $ 395.9 $ 453.3 Income tax expense (70.0) (78.3) (81.9) (84.4) (98.4) Operating return 271.2 290.0 308.5 311.5 354.9 Non-operating items: Net realized investment gains (losses) from sales and impairments, net of related amortization (15.5) 2.1 (60.9) (46.9) (36.6) Net change in market value of investments recognized in earnings 0.6 25.5 (39.5) (15.1) (11.3) Fair value changes in embedded derivative liabilities, net of related amortization (95.6) (81.4) (118.5) (109.7) (82.0) Fair value changes and amendment related to the agent deferred compensation plan (22.0) (20.4) (15.1) (16.7) (10.7) Loss on extinguishment of debt (7.3) (7.3) (7.3) - - Other 2.5 (12.6) (11.5) (12.2) (4.5) Non-operating loss before taxes (137.3) (94.1) (252.8) (200.6) (145.1) Income tax expense (benefit): On non-operating loss (28.8) (19.8) (53.0) (42.2) (30.5) Valuation allowance for deferred tax assets and other tax items 3.0 (193.7) (227.7) (227.7) (227.7) Net non-operating income (loss) (111.5) 119.4 27.9 69.3 113.1 Net income$ 159.7 $ 409.4 $ 336.4 $ 380.8 $ 468.0 (Continued on next page) CNO Financial Group | Third Quarter 2020 Earnings | November 2, 2020 41

 
Information Related to Certain Non-GAAP Financial Measures A reconciliation of consolidated capital, excluding accumulated other comprehensive income (loss) and net operating loss carryforwards (a non-GAAP financial measure) to common shareholders’ equity, is as follows: (dollars in millions) 1Q17 2Q17 3Q17 4Q17 Consolidated capital, excluding accumulated other comprehensive income (loss) and net operating loss carryforwards (a non-GAAP financial measure)$ 3,236.6 $ 3,263.2 $ 3,335.0 $ 3,225.6 Net operating loss carryforwards 640.6 621.6 613.1 409.8 Accumulated other comprehensive income 729.6 894.5 933.6 1,212.1 Common shareholders' equity$ 4,606.8 $ 4,779.3 $ 4,881.7 $ 4,847.5 1Q18 2Q18 3Q18 4Q18 Consolidated capital, excluding accumulated other comprehensive income (loss) and net operating loss carryforwards (a non-GAAP financial measure)$ 3,318.7 $ 3,366.0 $ 2,705.8 $ 2,687.3 Net operating loss carryforwards 404.2 388.7 510.6 505.9 Accumulated other comprehensive income 894.3 700.2 403.5 177.7 Common shareholders' equity$ 4,617.2 $ 4,454.9 $ 3,619.9 $ 3,370.9 1Q19 2Q19 3Q19 4Q19 Consolidated capital, excluding accumulated other comprehensive income (loss) and net operating loss carryforwards (a non-GAAP financial measure)$ 2,703.4 $ 2,702.9 $ 2,685.0 $ 2,761.9 Net operating loss carryforwards 479.6 451.1 425.4 542.6 Accumulated other comprehensive income 654.9 1,098.2 1,442.9 1,372.5 Common shareholders' equity$ 3,837.9 $ 4,252.2 $ 4,553.3 $ 4,677.0 1Q20 2Q20 3Q20 Consolidated capital, excluding accumulated other comprehensive income (loss) and net operating loss carryforwards (a non-GAAP financial measure)$ 2,701.2 $ 2,784.2 $ 2,905.1 Net operating loss carryforwards 469.4 426.8 377.2 Accumulated other comprehensive income 595.2 1,520.2 1,801.6 Common shareholders' equity$ 3,765.8 $ 4,731.2 $ 5,083.9 CNO Financial Group | Third Quarter 2020 Earnings | November 2, 2020 42

 
Information Related to Certain Non-GAAP Financial Measures A reconciliation of consolidated capital, excluding accumulated other comprehensive income (loss) and net operating loss carryforwards (a non-GAAP financial measure) to common shareholders’ equity, is as follows: (dollars in millions) Trailing Four Quarter Average 3Q19 4Q19 1Q20 2Q20 3Q20 Consolidated capital, excluding accumulated other comprehensive income (loss) and net operating loss carryforwards (a non-GAAP financial measure)$ 2,697.2 $ 2,703.9 $ 2,713.0 $ 2,722.9 $ 2,760.6 Net operating loss carryforwards 476.2 470.1 473.4 469.1 460.0 Accumulated other comprehensive income 713.5 992.8 1,134.7 1,180.0 1,277.6 Common shareholders' equity$ 3,886.9 $ 4,166.8 $ 4,321.1 $ 4,372.0 $ 4,498.2 CNO Financial Group | Third Quarter 2020 Earnings | November 2, 2020 43

 
Information Related to Certain Non-GAAP Financial Measures Debt to capital ratio, excluding accumulated other comprehensive income (loss) The debt to capital ratio, excluding accumulated other comprehensive income (loss), differs from the debt to capital ratio because accumulated other comprehensive income (loss) has been excluded from the value of capital used to determine this measure. Management believes this non-GAAP financial measure is useful because it removes the volatility that arises from changes in accumulated other comprehensive income (loss). Such volatility is often caused by changes in the estimated fair value of our investment portfolio resulting from changes in general market interest rates rather than the business decisions made by management. A reconciliation of these ratios is as follows: (dollars in millions) 4Q18 4Q19 1Q20 2Q20 3Q20 Corporate notes payable$ 916.8 $ 989.1 $ 989.4 $ 989.7 $ 990.1 Total shareholders' equity 3,370.9 4,677.0 3,765.8 4,731.2 5,083.9 Total capital$ 4,287.7 $ 5,666.1 $ 4,755.2 $ 5,720.9 $ 6,074.0 Corporate debt to capital 21.4% 17.5% 20.8% 17.3% 16.3% Corporate notes payable$ 916.8 $ 989.1 $ 989.4 $ 989.7 $ 990.1 Total shareholders' equity 3,370.9 4,677.0 3,765.8 4,731.2 5,083.9 Less accumulated other comprehensive income (177.7) (1,372.5) (595.2) (1,520.2) (1,801.6) Total capital$ 4,110.0 $ 4,293.6 $ 4,160.0 $ 4,200.7 $ 4,272.4 Debt to total capital ratio, excluding AOCI (a non-GAAP financial measure) 22.3% 23.0% 23.8% 23.6% 23.2% CNO Financial Group | Third Quarter 2020 Earnings | November 2, 2020 44