8-K - CNO - Equibles

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): August 4, 2020

CNO Financial Group, Inc.

(Exact Name of Registrant as Specified in Charter)

Delaware	001-31792	75-3108137
(State or Other<br><br>Jurisdiction of Incorporation)	(Commission File Number)	(I.R.S. Employer<br><br>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 class	Trading Symbol	Name of each exchange on which registered
Common Stock, par value $0.01 per share	CNO	New York Stock Exchange
Rights to purchase Series D Junior Participating Preferred Stock		New 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 August 4, 2020, CNO Financial Group, Inc. (the "Company") issued: (i) a press release announcing its financial results for the quarter ended June 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 June 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 June 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	Press release dated August 4, 2020 related to financial results for the quarter ended June 30, 2020.
99.2	Quarterly Financial Supplement - 2Q2020.
99.3	Second Quarter 2020 Financial and Operating Results for the period ended June 30, 2020.

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: August 4, 2020
	By:	/s/ John R. Kline
		John R. Kline
		Senior Vice President and<br><br>Chief Accounting Officer

		Exhibit

Exhibit 99.1

News

For Immediate Release

CNO Financial Group Reports Second Quarter 2020 Results

Solid second quarter with earnings per share up 138%; capital and liquidity remain strong

Carmel, Ind., August 4, 2020 - CNO Financial Group, Inc. (NYSE: CNO) today announced that for the quarter ending June 30, 2020, net income was $82.0 million, or $0.57 per diluted share compared to net income of $37.6 million, or $0.24 per diluted share in 2Q19. Net operating income (1) in 2Q20 was $79.4 million, or $0.55 per diluted share, compared to $76.4 million, or $0.48 per diluted share in 2Q19.

"I am very pleased with the solid second quarter results we delivered in the face of a highly challenging environment," said Gary C. Bhojwani, chief executive officer. "We experienced improving sales trends across the enterprise and finished the quarter with robust levels of capital and liquidity. The resiliency of our business model continues to enable CNO to navigate the COVID-19 pandemic from a position of strength."

"CNO remains well positioned as we enter the second half of this unprecedented year. During these difficult times, our middle-income consumers need the financial guidance and protection products we offer more than ever. I am very proud of the unwavering hard work and commitment of our associates and agents as they continue to pull together to support our customers and communities."

Highlights

•	Net income of $82.0 million up 118% from 2Q19
•	Operating (1) EPS increased 15% from 2Q19 to $0.55
---	---
•	Insurance product margin up 28% from 2Q19
---	---
•	Direct-to-consumer sales up 52% from 2Q19, to a record $29.7 million
---	---
•	Continued strong cash flow generation, reflecting 114% net operating income conversion
---	---
•	Returned $47.4 million to shareholders in the form of share repurchases ($30.0 million) and dividends ($17.4 million); reduced weighted average share count by 10% since 2Q19
---	---
•	Generated return on equity (ROE) of 8.7%; operating ROE, as adjusted (6), of 11.4%
---	---
•	Operating (1) EPS and insurance product margin positively impacted by significant items summarized in note (7)
---	---

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 ended								Quarter ended
	June 30,								June 30,
	2020			2019			% change		2020			2019			% change
Income from insurance products^(b)^	$	0.88		$	0.40		120		$	127.3		$	63.9		99
Fee income	0.04			0.03			33		5.2			4.4			18
Investment income not allocated to product lines^(c)^	0.06			0.30			(80	)	8.2			48.3			(83	)
Expenses not allocated to product lines	(0.27		)	(0.12		)	(125	)	(38.5		)	(19.9		)	(93	)
Operating earnings before taxes	0.71			0.61					102.2			96.7
Income tax expense on operating income	(0.16		)	(0.13		)	(23	)	(22.8		)	(20.3		)	(12	)
Net operating income (1)	0.55			0.48			15		79.4			76.4			4
Net realized investment gains (losses) from sales, impairments and change in allowance for credit losses (net of related amortization)	0.09			(0.01		)			12.3			(1.7		)
Net change in market value of investments recognized in earnings	0.21			0.04					31.2			6.8
Fair value changes in embedded derivative liabilities (net of related amortization)	(0.19		)	(0.22		)			(27.1		)	(35.9		)
Loss on extinguishment of debt	—			(0.04		)			—			(7.3		)
Other	(0.09		)	(0.07		)			(13.2		)	(10.9		)
Non-operating income (loss) before taxes	0.02			(0.30		)			3.2			(49.0		)
Income tax expense (benefit) on non-operating income (loss)	—			(0.06		)			0.6			(10.2		)
Net non-operating income (loss)	0.02			(0.24		)			2.6			(38.8		)
Net income	$	0.57		$	0.24				$	82.0		$	37.6
Weighted average diluted shares outstanding	143.9			159.7
(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, life and long-term care 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, life and long-term care 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.
---	---

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
	June 30,
	2020			2019
Trailing twelve months return on equity^(a)^	8.7		%	(10.9		)%
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)	10.5		%	10.9		%
Shareholders’ equity	$	4,731.2		$	4,252.2
Accumulated other comprehensive income	(1,520.2		)	(1,098.2		)
Shareholders’ equity, excluding accumulated other comprehensive income	3,211.0			3,154.0
Net operating loss carryforwards	(426.8		)	(451.1		)
Shareholders' equity, excluding accumulated other comprehensive income and net operating loss carryforwards	$	2,784.2		$	2,702.9
Book value per diluted share	$	33.22		$	26.97
Accumulated other comprehensive income	(10.67		)	(6.97		)
Book value per diluted share, excluding accumulated other comprehensive income (a non-GAAP financial measure) (2)	$	22.55		$	20.00

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

CONTINUING INSURANCE OPERATIONS

Comparing 2Q2020 with 2Q2019

Annuity products accounted for 49 percent of the Company’s margin for the quarter.

Annuity premiums collected decreased 29 percent, reflecting pricing discipline and current market conditions, while annuity account values increased 4 percent.

Health products accounted for 32 percent of CNO’s insurance margin for the quarter and 58 percent of insurance policy income.

Life products accounted for 14 percent of the Company’s insurance margin for the quarter and 31 percent of insurance policy income.

Long-term care products accounted for 5 percent of CNO’s insurance margin for the quarter and 11 percent of insurance policy income.

Sales of health products decreased by 55 percent, sales of life products were up 20 percent and sales of long-term care products were down 33 percent.

ANNUITY COLLECTED PREMIUMS

(Dollars in millions)

(Unaudited)

	Quarter ended June 30,
	2020		2019		% change
Annuity collected premiums	$	242.7	$	341.2	(29	)

INSURANCE POLICY INCOME

(Dollars in millions)

(Unaudited)

	Quarter ended June 30,
	2020		2019		% change
Annuity riders	$	4.5	$	4.2	7
Health	360.1		358.1		1
Life	194.3		189.0		3
Long-term care	66.4		67.0		(1	)
Total insurance policy income	$	625.3	$	618.3	1

SALES MEASURED AS NEW ANNUALIZED PREMIUMS FOR

LIFE AND HEALTH PRODUCTS

(Dollars in millions)

(Unaudited)

	Quarter ended June 30,
	2020		2019		% change
Health	$	17.7	$	39.4	(55	)
Life	47.4		39.4		20
Long-term care	4.3		6.4		(33	)
Total new annualized premiums (4)	$	69.4	$	85.2	(19	)

INSURANCE MARGIN

(Amounts in millions, except per share data)

(Unaudited)

Insurance margin is management’s measure of profitability of its annuity, health, life and long-term care 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, life and long-term care segments, less allocated insurance administrative expenses. It excludes the fee income segment, excess investment income, parent company expenses 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
	June 30, <br>2020			% of insurance policy income	June 30, <br>2019			% of insurance policy income	% change
Margin
Annuity interest margin	$	123.8			$	57.2			116
Life insurance interest margin	11.7				16.6				(30	)
Total interest-sensitive margin	135.5				73.8				84
Insurance margin
Health	82.3			23	78.3			22	5
Life (a)	24.4			16	35.1			23	(30	)
Long-term care	13.2			20	11.9			18	11
Total other insurance margin	119.9			21	125.3			22	(4	)
Total insurance margin	255.4				199.1
Allocated expenses	(128.1		)		(135.2		)
Income from insurance products	$	127.3			$	63.9
Per diluted share	$	0.88			$	0.40
Weighted average diluted shares	143.9				159.7
(a)	Net of $16.2 million and $15.0 million of non-deferred television advertising expense related to our direct distribution channel in the 2020 and 2019 periods, respectively.
---	---

Total allocated expenses were $128.1 million, down 5 percent from the year-ago quarter.

ANNUITY RESULTS BY PRODUCT TYPE

(Dollars in millions)

(Unaudited)

Annuity margin
	Quarter ended
	June 30,
	2020		2019
Fixed index annuities	$	111.7	$	41.5
Fixed interest annuities	0.8		12.5
Other annuities	11.3		3.2
Total	$	123.8	$	57.2
Annuity collected premiums
---	---	---	---	---
	Quarter ended
	June 30,
	2020		2019
Annuity collected premiums	$	242.7	$	341.2
Average net insurance liabilities (5)
---	---	---	---	---
	Quarter ended
	June 30,
	2020		2019
Fixed index annuities	$	7,056.3	$	6,388.9
Fixed interest annuities	2,088.2		2,337.9
Other annuities	533.5		574.4
Total	$	9,678.0	$	9,301.2
Margin/average net insurance liabilities ^(a)^
---	---	---	---	---
	Quarter ended
	June 30,
	2020		2019
Fixed index annuities	6.33	%	2.60	%
Fixed interest annuities	0.15	%	2.14	%
Other annuities	8.47	%	2.23	%
Total	5.12	%	2.46	%
(a)	Defined as annualized quarterly annuity margin divided by average net insurance liabilities (5).
---	---

HEALTH INSURANCE RESULTS BY PRODUCT TYPE

(Dollars in millions)

(Unaudited)

Health margin
	Quarter ended
	June 30,
	2020			2019
	Amount		% of insurance policy income	Amount		% of insurance policy income	% change
Supplemental health and other health	$	40.4	24	$	42.4	26	(5	)
Medicare supplement	41.9		22	35.9		19	17
Total	$	82.3	23	$	78.3	22	5
Health insurance policy income
---	---	---	---	---	---	---
	Quarter ended
	June 30,
	2020		2019		% change
Supplemental health and other health	$	169.8	$	164.4	3
Medicare supplement	190.3		193.7		(2	)
Total	$	360.1	$	358.1	1
Health NAP (4)
---	---	---	---	---	---	---
	Quarter ended
	June 30,
	2020		2019		% change
Supplemental health and other health	$	8.8	$	24.9	(65	)
Medicare supplement	8.9		14.5		(39	)
Total	$	17.7	$	39.4	(55	)

LIFE INSURANCE RESULTS BY PRODUCT TYPE

(Dollars in millions)

(Unaudited)

Life margin
	Quarter ended
	June 30,
	2020			2019
	Amount		% of insurance policy income	Amount		% of insurance policy income	% change
Life insurance interest margin	$	1.0		$	1.3		(23	)
Life insurance margin:
Traditional life	24.4		16	35.1		23	(30	)
Interest sensitive life	10.7		28	15.3		41	(30	)
Subtotal	35.1		18	50.4		27	(30	)
Total margin	$	36.1		$	51.7		(30	)
Life insurance policy income
---	---	---	---	---	---
	Quarter ended
	June 30,
	2020		2019		% change
Traditional life	$	155.6	$	151.7	3
Interest sensitive life	38.7		37.3		4
Total	$	194.3	$	189.0	3
Life NAP (4)
---	---	---	---	---	---	---
	Quarter ended
	June 30,
	2020		2019		% change
Traditional life	$	41.5	$	29.8	39
Interest sensitive life	5.9		9.6		(39	)
Total	$	47.4	$	39.4	20
Average net insurance liabilities (5) and interest margin
---	---	---	---	---	---	---	---	---
	Quarter ended
	June 30,
	2020			2019			% change
Interest sensitive life products	$	913.5		$	860.7		6
Interest margin/average net insurance liabilities (5)	0.44		%	0.60		%	(27	)

LONG-TERM CARE RESULTS

(Dollars in millions)

(Unaudited)

Long-term care margin
	Quarter ended
	June 30,
	2020			2019
	Amount		% of insurance policy income	Amount		% of insurance policy income	% change
Long-term care	$	13.2	20	$	11.9	18	11
Long-term care insurance policy income
---	---	---	---	---	---	---
	Quarter ended
	June 30,
	2020		2019		% change
Long-term care	$	66.4	$	67.0	(1	)
Long-term care NAP (4)
---	---	---	---	---	---	---
	Quarter ended
	June 30,
	2020		2019		% change
Long-term care	$	4.3	$	6.4	(33	)

QUARTERLY AVERAGE PRODUCING AGENTS

	Average Producing Agent Count
	Quarter ended
	June 30,		%
	2020	2019	change
Consumer
Producing agents	4,066	4,602	(12	)
Financial representatives	602	595	1
Worksite	225	417	(46	)

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 June 30,
	2020			2019			% change
Net investment income	$	318.8		$	334.5		(5	)
Allocated to product lines:
Annuity	(116.6		)	(114.8		)	2
Health	(36.1		)	(35.8		)	1
Life	(34.7		)	(34.8		)	—
Long-term care	(34.0		)	(34.0		)	—
Equity returns credited to policyholder account balances	(50.7		)	(23.1		)	119
Amounts allocated to product lines and credited to policyholder account balances	(272.1		)	(242.5		)	12
Amount related to variable interest entities and other non-operating items	(9.6		)	(16.0		)	(40	)
Interest expense on corporate debt	(13.6		)	(12.6		)	8
Interest expense on investment borrowings	(5.8		)	(12.3		)	(53	)
Less amounts credited to deferred compensation plans (offsetting investment income)	(9.5		)	(2.8		)	239
Total adjustments	(38.5		)	$	(43.7	)
Investment income not allocated to product lines	$	8.2		$	48.3		(83	)
Per share diluted share	$	0.06		$	0.30

INVESTMENT PORTFOLIO

(Dollars in millions)

The composition of the investment portfolio at June 30, 2020 is as follows:

		% of total
Fixed maturities, available for sale, at fair value		85
Equity securities at fair value	60.5	—
Mortgage loans	1,459.9	6
Policy loans	124.3	—
Trading securities	240.6	1
Investments held by variable interest entities	1,137.4	4
Other invested assets	993.8	4
Total investment portfolio		100

All values are in US Dollars.

Fixed maturities, available for sale, at amortized cost by asset class as of June 30, 2020 are as follows:

	Investment grade		Below investment grade			Total
Corporate securities	$	10,908.4	$	742.8		$	11,651.2
United States Treasury securities and obligations of the United States government and agencies	151.3		—			151.3
States and political subdivisions	2,161.5		12.9			2,174.4
Debt securities issued by foreign governments	85.6		—			85.6
Asset-backed securities	1,084.6		87.8			1,172.4
Agency residential mortgage-backed securities	67.8		—			67.8
Non-agency residential mortgage-backed securities	907.9		1,092.4		(a)	2,000.3
Collateralized loan obligations	457.6		—			457.6
Commercial mortgage-backed securities	1,810.8		70.2			1,881.0
Total	$	17,635.5	$	2,006.1		$	19,641.6

____________________

(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 $22.2 billion compared with an amortized cost of $19.6 billion. Net unrealized gains were comprised of gross unrealized gains of $2.7 billion and gross unrealized losses of $151 million. The allowance for credit losses was $10.8 million at June 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 $2.2 billion. Comparable information for acquisitions of fixed maturity investments is as follows:

	Fixed maturity acquisitions
	Quarter ended
	June 30,
	2020		2019
Total fixed maturity acquisitions	$	2,178.3	$	1,644.6
Annual effective yield	3.74		4.19
Average rating	BBB+		A-
Average life (in years)	4.6		7.0

Non-Operating Items

Net realized investment gains in 2Q20 were $12.3 million (net of related amortization) including the favorable change in the allowance for credit losses of $15.9 million which were recorded in earnings. Net realized investment losses in 2Q19 were $1.7 million (net of related amortization). There were no other-than-temporary impairment losses recognized in 2Q19.

During 2Q20 and 2Q19, we recognized an increase in earnings of $31.2 million and $6.8 million, respectively, due to the net change in market value of investments recognized in earnings.

During 2Q20 and 2Q19, we recognized a decrease in earnings of $27.1 million and $35.9 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 2Q20 and 2Q19, we recognized a decrease in earnings of $13.2 million and $11.6 million, respectively, 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.

The results for 2Q19 include a $7.3 million loss on the extinguishment of debt related to the completion of our previously announced debt refinancing transaction.

Statutory (based on non-GAAP measures) and GAAP Capital Information

Our consolidated statutory risk-based capital ratio was estimated at 405% at June 30, 2020, reflecting estimated 2Q20 statutory operating income of $94 million (and $228 million in the first six months of 2020) and the payment of insurance company dividends to the holding company of $62.5 million during 2Q20 and $130.3 million during the first six 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 six months of 2020.

During the second quarter of 2020, we repurchased $30.0 million of common stock under our securities repurchase program. We repurchased 2.0 million common shares at an average cost of $15.24 per share. As of June 30, 2020, we had 141.7 million shares outstanding and had authority to repurchase up to an additional $419.3 million of our common stock. During 2Q20, dividends paid on common stock totaled $17.4 million.

Unrestricted cash and investments held by our holding company were $208 million at June 30, 2020, compared to $187 million at December 31, 2019.

Book value per common share was $33.38 at June 30, 2020 compared to $31.58 at December 31, 2019. Book value per diluted share, excluding accumulated other comprehensive income (loss) (2), was $22.55 at June 30, 2020, compared to $22.09 at December 31, 2019.

The debt-to-capital ratio was 17.3 percent and 17.5 percent at June 30, 2020 and December 31, 2019, respectively. Our debt-to-total capital ratio, excluding accumulated other comprehensive income (3) was 23.6 percent at June 30, 2020 compared to 23.0 percent at December 31, 2019.

Return on equity for the trailing four quarters ended June 30, 2020 and 2019, was 8.7% and (10.9)%, 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 June 30, 2020 and 2019, was 10.5% and 10.9%, 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.

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 August 5, 2020 at 10:00 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/1997748. 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.

CNO FINANCIAL GROUP, INC. AND SUBSIDIARIES

CONSOLIDATED BALANCE SHEET

(Dollars in millions)

(unaudited)

	June 30, <br>2020		December 31, 2019
ASSETS
Investments:
Fixed maturities, available for sale, at fair value (net of allowance for credit losses of $10.8 at June 30, 2020; amortized cost: June 30, 2020 - $19,641.6; December 31, 2019 - $19,179.5)	$	22,167.9	$	21,295.2
Equity securities at fair value (cost: June 30, 2020 - $68.5; December 31, 2019 - $44.2)	60.5		44.1
Mortgage loans (net of allowance for credit losses of $11.6 at June 30, 2020)	1,459.9		1,566.1
Policy loans	124.3		124.5
Trading securities	240.6		243.9
Investments held by variable interest entities (net of allowance for credit losses of $27.7 at June 30, 2020; amortized cost: June 30, 2020 - $1,223.7; December 31, 2019 - $1,206.3)	1,137.4		1,188.6
Other invested assets	993.8		1,118.5
Total investments	26,184.4		25,580.9
Cash and cash equivalents - unrestricted	521.1		580.0
Cash and cash equivalents held by variable interest entities	36.8		74.7
Accrued investment income	205.3		205.9
Present value of future profits	263.4		275.4
Deferred acquisition costs	1,120.9		1,215.5
Reinsurance receivables (net of allowance for credit losses of $4.0 at June 30, 2020)	4,712.6		4,785.7
Income tax assets, net	428.8		432.6
Assets held in separate accounts	3.7		4.2
Other assets	502.5		476.0
Total assets	$	33,979.5	$	33,630.9
LIABILITIES AND SHAREHOLDERS' EQUITY
Liabilities:
Liabilities for insurance products:
Policyholder account liabilities	$	12,171.3	$	12,132.3
Future policy benefits	11,767.5		11,498.5
Liability for policy and contract claims	488.6		522.3
Unearned and advanced premiums	243.6		260.5
Liabilities related to separate accounts	3.7		4.2
Other liabilities	788.3		750.2
Investment borrowings	1,643.4		1,644.3
Borrowings related to variable interest entities	1,152.2		1,152.5
Notes payable – direct corporate obligations	989.7		989.1
Total liabilities	29,248.3		28,953.9
Commitments and Contingencies
Shareholders' equity:
Common stock ($0.01 par value, 8,000,000,000 shares authorized, shares issued and outstanding: June 30, 2020 – 141,718,570; December 31, 2019 – 148,084,178)	1.4		1.5
Additional paid-in capital	2,664.3		2,767.3
Accumulated other comprehensive income	1,520.2		1,372.5
Retained earnings	545.3		535.7
Total shareholders' equity	4,731.2		4,677.0
Total liabilities and shareholders' equity	$	33,979.5	$	33,630.9

CNO FINANCIAL GROUP, INC. AND SUBSIDIARIES

CONSOLIDATED STATEMENT OF OPERATIONS

(Dollars in millions, except per share data)

(unaudited)

	Three months ended				Six months ended
	June 30,				June 30,
	2020		2019		2020			2019
Revenues:
Insurance policy income	$	625.3	$	618.3	$	1,254.0		$	1,237.6
Net investment income:
General account assets	231.7		284.9		512.0			553.7
Policyholder and other special-purpose portfolios	87.1		49.6		(23.6		)	136.6
Realized investment gains (losses):
Net realized investment gains (losses)	27.9		5.3		(32.2		)	23.6
Change in allowance for credit losses and other-than-temporary impairment losses (a)	15.9		—		(39.5		)	(2.2		)
Total realized gains (losses)	43.8		5.3		(71.7		)	21.4
Fee revenue and other income	26.3		21.7		60.7			53.5
Total revenues	1,014.2		979.8		1,731.4			2,002.8
Benefits and expenses:
Insurance policy benefits	540.3		610.4		1,031.1			1,233.9
Interest expense	28.4		38.6		61.8			79.6
Amortization	88.5		46.2		138.7			104.4
Loss on extinguishment of debt	—		7.3		—			7.3
Other operating costs and expenses	251.6		229.6		465.4			464.3
Total benefits and expenses	908.8		932.1		1,697.0			1,889.5
Income before income taxes	105.4		47.7		34.4			113.3
Income tax expense (benefit):
Tax expense on period income	23.4		10.1		7.6			23.9
Valuation allowance for deferred tax assets and other tax items	—		—		(34.0		)	—
Net income	$	82.0	$	37.6	$	60.8		$	89.4
Earnings per common share:
Basic:
Weighted average shares outstanding	143,421,000		158,816,000		144,625,000			159,882,000
Net income	$	.57	$	.24	$	.42		$	.56
Diluted:
Weighted average shares outstanding	143,941,000		159,735,000		145,269,000			160,962,000
Net income	$	.57	$	.24	$	.42		$	.56

______________

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

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, 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. 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):
---	---

		Trailing twelve months ended
		2Q20			2Q19
Net operating income		$	311.5		$	289.5
Net operating income, excluding significant items		$	285.9		$	304.6
Net income (loss)		$	380.8		$	(412.1	)
Average common equity, excluding accumulated other
	comprehensive income (loss) and net operating loss
	carryforwards (a non-GAAP financial measure)	$	2,722.9		$	2,782.7
Average common shareholders' equity		$	4,372.0		$	3,795.5
Operating return on equity, excluding accumulated other
	comprehensive income (loss) and net operating loss
	carryforwards (a non-GAAP financial measure)	11.4		%	10.4		%
Operating return, excluding significant items, on equity, excluding
	accumulated other comprehensive income (loss) and net
	operating loss carryforwards (a non-GAAP financial measure)	10.5		%	10.9		%
Return on equity		8.7		%	(10.9		)%

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					Net
						excluding		significant					income (loss) -
		Significant				significant		items - trailing		Net			trailing
		items				items		four quarters		income (loss)			four quarters
3Q18	87.5	$	—			$	87.5	$	321.8	$	(529.8	)	$	(414.2	)
4Q18		15.1			(a)	74.9		317.3		28.3			(315.0		)
1Q19		—				65.8		310.1		51.8			(347.5		)
2Q19		—				76.4		304.6		37.6			(412.1		)
3Q19		—				69.2		286.3		42.0			159.7
4Q19		(7.9		)	(b)	70.7		282.1		278.0			409.4
1Q20		—				84.3		300.6		(21.2		)	336.4
2Q20		(17.7		)	(c)	61.7		285.9		82.0			380.8
(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.

All values are in US Dollars.

A reconciliation of pretax operating earnings (a non-GAAP financial measure) to net income (loss) is as follows (dollars in millions):

	Twelve months ended
	2Q20			2Q19
Pretax operating earnings (a non-GAAP financial measure)	$	395.9		$	362.3
Income tax expense	(84.4		)	(72.8		)
Net operating income	311.5			289.5
Non-operating items:
Net realized investment gains (losses) from sales and impairments, net of related amortization	(46.9		)	24.1
Net change in market value of investments recognized in earnings	(15.1		)	(9.4		)
Fair value changes in embedded derivative liabilities, net of related amortization	(109.7		)	(43.4		)
Fair value changes related to the agent deferred compensation plan	(16.7		)	(16.0		)
Loss on reinsurance transaction	—			(704.2		)
Loss on extinguishment of debt	—			(7.3		)
Other	(12.2		)	4.5
Non-operating loss before taxes	(200.6		)	(751.7		)
Income tax expense (benefit):
On non-operating loss	(42.2		)	(157.9		)
Valuation allowance for deferred tax assets and other tax items	(227.7		)	107.8
Net non-operating income (loss)	69.3			(701.6		)
Net income (loss)	$	380.8		$	(412.1	)

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):

		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
Consolidated capital, excluding accumulated other comprehensive
	income (loss) and net operating loss carryforwards
	(a non-GAAP financial measure)	$	2,701.2	$	2,784.2
Net operating loss carryforwards		469.4		426.8
Accumulated other comprehensive income		595.2		1,520.2
Common shareholders' equity		$	3,765.8	$	4,731.2

		Trailing four quarter average
		2Q20		2Q19
Consolidated capital, excluding accumulated other comprehensive
	income (loss) and net operating loss carryforwards
	(a non-GAAP financial measure)	$	2,722.9	$	2,782.7
Net operating loss carryforwards		469.1		479.0
Accumulated other comprehensive income		1,180.0		533.8
Common shareholders' equity		$	4,372.0	$	3,795.5
(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 results			Significant items				Excluding significant<br>items
Insurance product margin
Annuity margin	$	123.8		$	40.0		(a)	$	72.3
				(91.5		)	(a)
Health margin	82.3			—				82.3
Life margin	36.1			5.6			(a)	41.7
Long-term care margin	13.2			—				13.2
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			(b)	(15.0		)
Operating earnings before taxes	102.2			(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 annuities			Fixed interest annuities			Interest- 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 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.

For further information: CNO News Media, Valerie Dolenga, (312) 396-7688, Valerie.Dolenga@CNOinc.com; CNO Investor Relations, Jennifer Childe, (312) 396-7755, Jennifer.Childe@CNOinc.com

		Exhibit

Exhibit 99.2

Quarterly Financial Supplement - 2Q2020
August 4, 2020

Page 1

Table of Contents	Page
Consolidated balance sheet	3
Consolidated statement of operations	4
Financial summary	5
Insurance operations	6
Margin from insurance products	7-10
Collected premiums from annuity and interest sensitive life products and insurance policy income	11
Health and life new annualized premiums	12
Computation of weighted average shares outstanding	13
Annuities - account value rollforwards	14
Statutory information	15
Investment income not allocated to product lines and investment income allocated to product lines	16-19
Other investment data	19
Significant items	20-21
Notes	22

Page 2

CNO FINANCIAL GROUP, INC.

CONSOLIDATED BALANCE SHEET

(Dollars in millions)

(Unaudited)

	Mar-19		Jun-19		Sep-19		Dec-19		Mar-20		Jun-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
Equity securities at fair value	40.8		38.8		39.3		44.1		50.1		60.5
Mortgage loans	1,626.1		1,596.5		1,561.7		1,566.1		1,484.1		1,459.9
Policy loans	121.3		121.6		122.8		124.5		124.7		124.3
Trading securities	237.9		248.3		247.3		243.9		227.8		240.6
Investments held by variable interest entities	1,241.4		1,215.2		1,204.2		1,188.6		1,038.1		1,137.4
Other invested assets	943.3		1,018.8		1,070.9		1,118.5		953.3		993.8
Total investments	23,679.2		24,676.4		25,335.4		25,580.9		24,257.2		26,184.4
Cash and cash equivalents - unrestricted	621.6		557.4		760.3		580.0		482.0		521.1
Cash and cash equivalents held by variable interest entities	69.7		50.5		61.7		74.7		68.5		36.8
Accrued investment income	214.8		211.2		212.7		205.9		213.0		205.3
Present value of future profits	333.6		299.3		284.0		275.4		282.2		263.4
Deferred acquisition costs	1,289.1		1,253.2		1,138.8		1,215.5		1,398.6		1,120.9
Reinsurance receivables	4,879.7		4,829.4		4,802.4		4,785.7		4,727.5		4,712.6
Income tax assets, net	479.9		348.3		241.5		432.6		703.2		428.8
Assets held in separate accounts	4.9		4.9		4.2		4.2		3.2		3.7
Other assets	741.9		485.4		438.8		476.0		599.6		502.5
Total assets	$	32,314.4	$	32,716.0	$	33,279.8	$	33,630.9	$	32,735.0	$	33,979.5
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
Future policy benefits	11,234.2		11,314.3		11,423.2		11,498.5		11,429.9		11,767.5
Liability for policy and contract claims	521.0		517.8		508.9		522.3		510.7		488.6
Unearned and advanced premiums	255.9		248.1		242.8		260.5		251.0		243.6
Liabilities related to separate accounts	4.9		4.9		4.2		4.2		3.2		3.7
Other liabilities	804.0		740.2		762.0		750.2		850.7		788.3
Investment borrowings	1,645.5		1,645.2		1,644.8		1,644.3		1,643.9		1,643.4
Borrowings related to variable interest entities	1,416.8		1,153.6		1,153.0		1,152.5		1,152.3		1,152.2
Notes payable - direct corporate obligations	917.3		988.3		988.7		989.1		989.4		989.7
Total liabilities	28,476.5		28,463.8		28,726.5		28,953.9		28,969.2		29,248.3
Shareholders' equity
Common stock	1.6		1.6		1.5		1.5		1.4		1.4
Additional paid-in capital	2,952.2		2,903.2		2,834.6		2,767.3		2,688.5		2,664.3
Retained earnings	229.2		249.2		274.3		535.7		480.7		545.3
Total shareholders' equity before accumulated other comprehensive income	3,183.0		3,154.0		3,110.4		3,304.5		3,170.6		3,211.0
Accumulated other comprehensive income	654.9		1,098.2		1,442.9		1,372.5		595.2		1,520.2
Total shareholders' equity	3,837.9		4,252.2		4,553.3		4,677.0		3,765.8		4,731.2
Total liabilities and shareholders' equity	$	32,314.4	$	32,716.0	$	33,279.8	$	33,630.9	$	32,735.0	$	33,979.5
	Mar-19		Jun-19		Sep-19		Dec-19		Mar-20		Jun-20
Book value per common share	$	23.99	$	27.12	$	29.92	$	31.58	$	26.22	$	33.38
Book value per common share, excluding accumulated other comprehensive income (1) (2)	$	19.90	$	20.12	$	20.44	$	22.32	$	22.08	$	22.66
Book value per diluted share (1) (3)	$	19.76	$	20.00	$	20.30	$	22.09	$	22.03	$	22.55

Page 3

CNO FINANCIAL GROUP, INC.

CONSOLIDATED STATEMENT OF OPERATIONS

(Dollars in millions)

(Unaudited)

	1Q			2Q		3Q			4Q			YTD			1Q			2Q
	2019			2019		2019			2019			2019			2020			2020
Revenues
Insurance policy income	$	619.3		$	618.3	$	620.0		$	623.2		$	2,480.8		$	628.7		$	625.3
Net investment income:
General account assets	268.8			284.9		274.1			270.2			1,098.0			280.3			231.7
Policyholder and other special-purpose portfolios	87.0			49.6		25.4			102.9			264.9			(110.7		)	87.1
Realized investment gains (losses):
Net realized investment gains (losses)	18.3			5.3		5.7			11.3			40.6			(60.1		)	27.9
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
Total realized gains (losses)	16.1			5.3		2.3			4.5			28.2			(115.5		)	43.8
Fee revenue and other income	31.8			21.7		22.2			68.2			143.9			34.4			26.3
Total revenues	1,023.0			979.8		944.0			1,069.0			4,015.8			717.2			1,014.2
Benefits and expenses
Insurance policy benefits	623.5			610.4		582.8			600.3			2,417.0			490.8			540.3
Interest expense	41.0			38.6		37.5			35.2			152.3			33.4			28.4
Amortization	58.2			46.2		51.6			76.1			232.1			50.2			88.5
Loss on extinguishment of debt	—			7.3		—			—			7.3			—			—
Other operating costs and expenses	234.7			229.6		218.6			250.0			932.9			213.8			251.6
Total benefits and expenses	957.4			932.1		890.5			961.6			3,741.6			788.2			908.8
Income (loss) before income taxes	65.6			47.7		53.5			107.4			274.2			(71.0		)	105.4
Income tax expense (benefit) on period income	13.8			10.1		11.5			23.1			58.5			(15.8		)	23.4
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

______________

(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)

	1Q			2Q			3Q			4Q			YTD			1Q			2Q
	2019			2019			2019			2019			2019			2020			2020
Insurance product margin (4)
Annuity margin	$	56.2		$	57.2		$	56.2		$	60.5		$	230.1		$	59.5		$	123.8
Health margin	78.9			78.3			77.0			79.0			313.2			73.6			82.3
Life margin	43.1			51.7			54.6			46.7			196.1			44.3			36.1
Long-term care margin	11.5			11.9			12.3			14.0			49.7			13.3			13.2
Total insurance product margin	189.7			199.1			200.1			200.2			789.1			190.7			255.4
Allocated expenses	(135.9		)	(135.2		)	(131.3		)	(140.6		)	(543.0		)	(136.6		)	(128.1		)
Income from insurance products (5)	53.8			63.9			68.8			59.6			246.1			54.1			127.3
Fee income	4.4			4.4			3.0			11.7			23.5			7.8			5.2
Investment income not allocated to product lines (9)	43.3			48.3			34.3			26.2			152.1			57.4			8.2
Expenses not allocated to product lines	(18.1		)	(19.9		)	(18.2		)	2.8			(53.4		)	(13.8		)	(38.5		)
Operating earnings before taxes	83.4			96.7			87.9			100.3			368.3			105.5			102.2
Income tax expense on operating income	(17.6		)	(20.3		)	(18.7		)	(21.7		)	(78.3		)	(21.2		)	(22.8		)
Net operating income (10)	65.8			76.4			69.2			78.6			290.0			84.3			79.4
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
Net change in market value of investments recognized in earnings	16.6			6.8			4.7			(2.6		)	25.5			(48.4		)	31.2
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		)
Loss on extinguishment of debt	—			(7.3		)	—			—			(7.3		)	—			—
Other	1.2			0.7			(1.2		)	(13.3		)	(12.6		)	2.3			—
Net non-operating income (loss) before taxes	(17.8		)	(49.0		)	(34.4		)	7.1			(94.1		)	(176.5		)	3.2
Income tax expense (benefit) on non-operating income (loss)	(3.8		)	(10.2		)	(7.2		)	1.4			(19.8		)	(37.0		)	0.6
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
Net income (loss)	$	51.8		$	37.6		$	42.0		$	278.0		$	409.4		$	(21.2	)	$	82.0
Per diluted share
Net operating income	$	0.41		$	0.48		$	0.45		$	0.52		$	1.85		$	0.58		$	0.55
Net non-operating income (loss)	(0.09		)	(0.24		)	(0.18		)	1.32			0.76			(0.73		)	0.02
Net income (loss)	$	0.32		$	0.24		$	0.27		$	1.84		$	2.61		$	(0.15	)	$	0.57

Page 5

CNO FINANCIAL GROUP, INC.

Insurance Operations

(Dollars in millions)

(Unaudited)

	1Q			2Q			3Q			4Q			YTD			1Q			2Q
	2019			2019			2019			2019			2019			2020			2020
Insurance product margin (4)
Annuity:
Insurance policy income	$	6.6		$	4.2		$	5.1		$	5.2		$	21.1		$	5.6		$	4.5
Net investment income (5) (6)	115.8			114.8			116.5			117.3			464.4			117.4			116.6
Insurance policy benefits	(7.9		)	(5.1		)	(7.3		)	7.5			(12.8		)	(5.5		)	107.7
Interest credited (6)	(43.2		)	(41.6		)	(42.0		)	(40.1		)	(166.9		)	(42.0		)	(43.6		)
Amortization and non-deferred commissions	(15.1		)	(15.1		)	(16.1		)	(29.4		)	(75.7		)	(16.0		)	(61.4		)
Annuity margin	56.2			57.2			56.2			60.5			230.1			59.5			123.8
Health:
Insurance policy income	358.2			358.1			358.1			359.0			1,433.4			362.1			360.1
Net investment income (5)	36.2			35.8			35.4			35.7			143.1			36.1			36.1
Insurance policy benefits	(264.9		)	(272.7		)	(274.2		)	(271.3		)	(1,083.1		)	(269.6		)	(274.7		)
Amortization and non-deferred commissions	(50.6		)	(42.9		)	(42.3		)	(44.4		)	(180.2		)	(55.0		)	(39.2		)
Health margin	78.9			78.3			77.0			79.0			313.2			73.6			82.3
Life:
Insurance policy income	187.2			189.0			189.6			192.3			758.1			194.1			194.3
Net investment income (5) (7)	34.5			34.8			34.6			34.4			138.3			34.3			34.7
Insurance policy benefits	(130.8		)	(126.2		)	(121.4		)	(135.2		)	(513.6		)	(131.9		)	(147.8		)
Interest credited (7)	(10.2		)	(10.6		)	(10.7		)	(10.4		)	(41.9		)	(10.3		)	(10.9		)
Amortization and non-deferred commissions	(20.9		)	(20.3		)	(21.4		)	(19.9		)	(82.5		)	(21.9		)	(18.0		)
Advertising expense	(16.7		)	(15.0		)	(16.1		)	(14.5		)	(62.3		)	(20.0		)	(16.2		)
Life margin	43.1			51.7			54.6			46.7			196.1			44.3			36.1
Long-term care:
Insurance policy income	67.3			67.0			67.2			66.7			268.2			66.9			66.4
Net investment income (5)	33.3			34.0			34.7			34.8			136.8			34.3			34.0
Insurance policy benefits	(85.5		)	(85.7		)	(86.2		)	(84.4		)	(341.8		)	(84.2		)	(84.3		)
Amortization and non-deferred commissions	(3.6		)	(3.4		)	(3.4		)	(3.1		)	(13.5		)	(3.7		)	(2.9		)
Long-term care margin	11.5			11.9			12.3			14.0			49.7			13.3			13.2
Total insurance product margin	189.7			199.1			200.1			200.2			789.1			190.7			255.4
Allocated expenses:
Branch office expenses	(22.3		)	(16.3		)	(18.3		)	(18.9		)	(75.8		)	(18.9		)	(15.1		)
Other allocated expenses	(113.6		)	(118.9		)	(113.0		)	(121.7		)	(467.2		)	(117.7		)	(113.0		)
Income from insurance products (8)	53.8			63.9			68.8			59.6			246.1			54.1			127.3
Fee income	4.4			4.4			3.0			11.7			23.5			7.8			5.2
Investment income not allocated to product lines (9)	43.3			48.3			34.3			26.2			152.1			57.4			8.2
Expenses not allocated to product lines	(18.1		)	(19.9		)	(18.2		)	2.8			(53.4		)	(13.8		)	(38.5		)
Operating earnings before taxes	83.4			96.7			87.9			100.3			368.3			105.5			102.2
Income tax expense on operating income	(17.6		)	(20.3		)	(18.7		)	(21.7		)	(78.3		)	(21.2		)	(22.8		)
Net operating income (10)	$	65.8		$	76.4		$	69.2		$	78.6		$	290.0		$	84.3		$	79.4

Page 6

CNO FINANCIAL GROUP, INC.

Margin from Annuity Products

(Dollars in millions)

(Unaudited)

	1Q			2Q			3Q			4Q			YTD			1Q			2Q
	2019			2019			2019			2019			2019			2020			2020
Annuity margin (4):
Fixed index annuities
Insurance policy income	$	3.1		$	2.8		$	2.9		$	2.8		$	11.6		$	3.3		$	2.6
Net investment income (5) (6)	75.3			76.0			78.7			80.6			310.6			82.1			82.9
Insurance policy benefits	0.5			(0.5		)	(1.1		)	15.3			14.2			(1.0		)	104.1
Interest credited (6)	(25.7		)	(24.7		)	(25.4		)	(24.0		)	(99.8		)	(26.2		)	(28.3		)
Amortization and non-deferred commissions	(12.1		)	(12.1		)	(12.9		)	(20.1		)	(57.2		)	(13.8		)	(49.6		)
Margin from fixed index annuities	$	41.1		$	41.5		$	42.2		$	54.6		$	179.4		$	44.4		$	111.7
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
Margin/average net insurance liabilities (12)	2.65		%	2.60		%	2.56		%	3.24		%	2.77		%	2.57		%	6.33		%
Fixed interest annuities
Insurance policy income	$	0.5		$	0.4		$	0.4		$	0.2		$	1.5		$	0.3		$	0.1
Net investment income (5)	32.8			31.2			30.2			29.0			123.2			28.1			26.8
Insurance policy benefits	(0.1		)	(0.1		)	—			(0.2		)	(0.4		)	(0.1		)	—
Interest credited	(16.4		)	(16.0		)	(15.7		)	(15.2		)	(63.3		)	(14.9		)	(14.4		)
Amortization and non-deferred commissions	(3.0		)	(3.0		)	(3.2		)	(9.2		)	(18.4		)	(2.1		)	(11.7		)
Margin from fixed interest annuities	$	13.8		$	12.5		$	11.7		$	4.6		$	42.6		$	11.3		$	0.8
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
Margin/average net insurance liabilities (12)	2.28		%	2.14		%	2.07		%	0.83		%	1.85		%	2.11		%	0.15		%
Other annuities
Insurance policy income	$	3.0		$	1.0		$	1.8		$	2.2		$	8.0		$	2.0		$	1.8
Net investment income (5)	7.7			7.6			7.6			7.7			30.6			7.2			6.9
Insurance policy benefits	(8.3		)	(4.5		)	(6.2		)	(7.6		)	(26.6		)	(4.4		)	3.6
Interest credited	(1.1		)	(0.9		)	(0.9		)	(0.9		)	(3.8		)	(0.9		)	(0.9		)
Amortization and non-deferred commissions	—			—			—			(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
Average net insurance liabilities (11)	$	575.7		$	574.4		$	569.8		$	565.0		$	571.2		$	551.5		$	533.5
Margin/average net insurance liabilities (12)	0.90		%	2.23		%	1.61		%	0.92		%	1.42		%	2.76		%	8.47		%
Total annuity margin	$	56.2		$	57.2		$	56.2		$	60.5		$	230.1		$	59.5		$	123.8
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
Margin/average net insurance liabilities (12)	2.45		%	2.46		%	2.39		%	2.54		%	2.46		%	2.47		%	5.12		%

Page 7

CNO FINANCIAL GROUP, INC.

Margin from Health Products

(Dollars in millions)

(Unaudited)

	1Q			2Q			3Q			4Q			YTD			1Q			2Q
	2019			2019			2019			2019			2019			2020			2020
Health margin (4):
Supplemental health
Insurance policy income	$	163.2		$	164.4		$	165.3		$	167.5		$	660.4		$	169.8		$	169.8
Net investment income (5)	35.0			34.7			34.4			34.6			138.7			34.9			34.9
Insurance policy benefits	(123.1		)	(128.9		)	(128.2		)	(126.9		)	(507.1		)	(132.9		)	(138.1		)
Amortization and non-deferred commissions	(27.6		)	(27.8		)	(27.6		)	(28.3		)	(111.3		)	(29.6		)	(26.2		)
Margin from supplemental health	$	47.5		$	42.4		$	43.9		$	46.9		$	180.7		$	42.2		$	40.4
Margin/insurance policy income	29		%	26		%	27		%	28		%	27		%	25		%	24		%
Medicare supplement
Insurance policy income	$	195.0		$	193.7		$	192.8		$	191.5		$	773.0		$	192.3		$	190.3
Net investment income (5)	1.2			1.1			1.0			1.1			4.4			1.2			1.2
Insurance policy benefits	(141.8		)	(143.8		)	(146.0		)	(144.4		)	(576.0		)	(136.7		)	(136.6		)
Amortization and non-deferred commissions	(23.0		)	(15.1		)	(14.7		)	(16.1		)	(68.9		)	(25.4		)	(13.0		)
Margin from Medicare supplement	$	31.4		$	35.9		$	33.1		$	32.1		$	132.5		$	31.4		$	41.9
Margin/insurance policy income	16		%	19		%	17		%	17		%	17		%	16		%	22		%
Total health margin	$	78.9		$	78.3		$	77.0		$	79.0		$	313.2		$	73.6		$	82.3
Margin/insurance policy income	22		%	22		%	22		%	22		%	22		%	20		%	23		%

Page 8

CNO FINANCIAL GROUP, INC.

Margin from Life Products

(Dollars in millions)

(Unaudited)

	1Q			2Q			3Q			4Q			YTD			1Q			2Q
	2019			2019			2019			2019			2019			2020			2020
Life margin (4):
Interest sensitive life
Insurance policy income	$	36.2		$	37.3		$	37.1		$	38.0		$	148.6		$	39.6		$	38.7
Net investment income (5) (7)	11.6			11.7			11.7			11.7			46.7			11.7			11.7
Insurance policy benefits	(15.9		)	(14.9		)	(13.6		)	(23.2		)	(67.6		)	(15.7		)	(23.2		)
Interest credited (7)	(10.0		)	(10.4		)	(10.5		)	(10.2		)	(41.1		)	(10.2		)	(10.7		)
Amortization and non-deferred commissions	(7.0		)	(7.1		)	(6.7		)	(5.0		)	(25.8		)	(7.4		)	(4.8		)
Margin from interest sensitive life	$	14.9		$	16.6		$	18.0		$	11.3		$	60.8		$	18.0		$	11.7
Average net insurance liabilities (11)	$	852.0		$	860.7		$	869.2		$	883.4		$	866.3		$	900.1		$	913.5
Interest margin	$	1.6		$	1.3		$	1.2		$	1.5		$	5.6		$	1.5		$	1.0
Interest margin/average net insurance liabilities (12)	0.75		%	0.60		%	0.55		%	0.68		%	0.65		%	0.67		%	0.44		%
Underwriting margin	$	13.3		$	15.3		$	16.8		$	9.8		$	55.2		$	16.5		$	10.7
Underwriting margin/insurance policy income	37		%	41		%	45		%	26		%	37		%	42		%	28		%
Traditional life
Insurance policy income	$	151.0		$	151.7		$	152.5		$	154.3		$	609.5		$	154.5		$	155.6
Net investment income (5)	22.9			23.1			22.9			22.7			91.6			22.6			23.0
Insurance policy benefits	(114.9		)	(111.3		)	(107.8		)	(112.0		)	(446.0		)	(116.2		)	(124.6		)
Interest credited	(0.2		)	(0.2		)	(0.2		)	(0.2		)	(0.8		)	(0.1		)	(0.2		)
Amortization and non-deferred commissions	(13.9		)	(13.2		)	(14.7		)	(14.9		)	(56.7		)	(14.5		)	(13.2		)
Advertising expense	(16.7		)	(15.0		)	(16.1		)	(14.5		)	(62.3		)	(20.0		)	(16.2		)
Margin from traditional life	$	28.2		$	35.1		$	36.6		$	35.4		$	135.3		$	26.3		$	24.4
Margin/insurance policy income	19		%	23		%	24		%	23		%	22		%	17		%	16		%
Margin excluding advertising expense/insurance policy income	30		%	33		%	35		%	32		%	32		%	30		%	26		%
Total life margin	$	43.1		$	51.7		$	54.6		$	46.7		$	196.1		$	44.3		$	36.1

Page 9

CNO FINANCIAL GROUP, INC.

Margin from Long-Term Care Products

(Dollars in millions)

(Unaudited)

	1Q			2Q			3Q			4Q			YTD			1Q			2Q
	2019			2019			2019			2019			2019			2020			2020
Long-term care margin (4):
Insurance policy income	$	67.3		$	67.0		$	67.2		$	66.7		$	268.2		$	66.9		$	66.4
Net investment income (5)	33.3			34.0			34.7			34.8			136.8			34.3			34.0
Insurance policy benefits	(85.5		)	(85.7		)	(86.2		)	(84.4		)	(341.8		)	(84.2		)	(84.3		)
Amortization and non-deferred commissions	(3.6		)	(3.4		)	(3.4		)	(3.1		)	(13.5		)	(3.7		)	(2.9		)
Margin from long-term care	$	11.5		$	11.9		$	12.3		$	14.0		$	49.7		$	13.3		$	13.2
Margin/insurance policy income	17		%	18		%	18		%	21		%	19		%	20		%	20		%

Page 10

CNO FINANCIAL GROUP, INC.

Collected Premiums From Annuity and Interest Sensitive Life Products

and Insurance Policy Income

(Dollars in millions)

(Unaudited)

	1Q		2Q		3Q		4Q		YTD		1Q		2Q
	2019		2019		2019		2019		2019		2020		2020
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
Interest-sensitive life	47.5		51.9		51.1		50.8		201.3		53.1		51.3
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
Insurance policy income:
Annuity products
Fixed index annuities	$	3.1	$	2.8	$	2.9	$	2.8	$	11.6	$	3.3	$	2.6
Fixed interest annuities	0.5		0.4		0.4		0.2		1.5		0.3		0.1
Other annuities	3.0		1.0		1.8		2.2		8.0		2.0		1.8
Total annuity insurance policy income	6.6		4.2		5.1		5.2		21.1		5.6		4.5
Health products
Supplemental health	163.2		164.4		165.3		167.5		660.4		169.8		169.8
Medicare supplement	195.0		193.7		192.8		191.5		773.0		192.3		190.3
Total health insurance policy income	358.2		358.1		358.1		359.0		1,433.4		362.1		360.1
Life products
Interest-sensitive life	36.2		37.3		37.1		38.0		148.6		39.6		38.7
Traditional life	151.0		151.7		152.5		154.3		609.5		154.5		155.6
Total life insurance policy income	187.2		189.0		189.6		192.3		758.1		194.1		194.3
Long-term care	67.3		67.0		67.2		66.7		268.2		66.9		66.4
Total insurance policy income	$	619.3	$	618.3	$	620.0	$	623.2	$	2,480.8	$	628.7	$	625.3

Page 11

CNO FINANCIAL GROUP, INC.

Health and Life

New Annualized Premiums ("NAP")

(Dollars in millions)

(Unaudited)

	1Q		2Q		3Q		4Q		YTD		1Q		2Q
	2019		2019		2019		2019		2019		2020		2020
Consumer Division
Health products:
Supplemental health	$	13.6	$	14.8	$	15.4	$	25.7	$	69.5	$	19.6	$	5.6
Medicare supplement	12.4		14.5		14.2		17.2		58.3		9.7		8.9
Total Consumer Division health NAP	26.0		29.3		29.6		42.9		127.8		29.3		14.5
Life products:
Interest sensitive life	4.9		7.0		5.7		5.5		23.1		5.6		5.1
Traditional life	31.7		29.8		29.0		25.1		115.6		33.0		41.5
Total Consumer Division life NAP	36.6		36.8		34.7		30.6		138.7		38.6		46.6
Long-term care	5.8		6.4		6.4		8.0		26.6		5.9		4.3
Total Consumer Division health and life NAP	$	68.4	$	72.5	$	70.7	$	81.5	$	293.1	$	73.8	$	65.4
Worksite Division
Health products:
Supplemental health	$	8.3	$	10.1	$	10.7	$	11.8	$	40.9	$	8.8	$	3.2
Life products:
Interest sensitive life	3.1		2.6		2.6		4.3		12.6		2.5		0.8
Total Worksite Division health and life NAP	$	11.4	$	12.7	$	13.3	$	16.1	$	53.5	$	11.3	$	4.0
Total NAP (both divisions)
Health products:
Supplemental health	$	21.9	$	24.9	$	26.1	$	37.5	$	110.4	$	28.4	$	8.8
Medicare supplement	12.4		14.5		14.2		17.2		58.3		9.7		8.9
Total health NAP	34.3		39.4		40.3		54.7		168.7		38.1		17.7
Life products:
Interest sensitive life	8.0		9.6		8.3		9.8		35.7		8.1		5.9
Traditional life	31.7		29.8		29.0		25.1		115.6		33.0		41.5
Total life NAP	39.7		39.4		37.3		34.9		151.3		41.1		47.4
Long-term care	5.8		6.4		6.4		8.0		26.6		5.9		4.3
Total NAP	$	79.8	$	85.2	$	84.0	$	97.6	$	346.6	$	85.1	$	69.4

Page 12

CNO FINANCIAL GROUP, INC.

Computation of Weighted Average Shares Outstanding

(Shares in thousands)

	1Q		2Q		3Q		4Q		YTD		1Q		2Q
	2019		2019		2019		2019		2019		2020 (a)		2020
Basic
Shares outstanding, beginning of period	162,201.7		159,955.2		156,768.0		152,183.5		162,201.7		148,084.2		143,610.0
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	)
Amounts related to employee benefit plans	320.9		127.3		76.6		114.9		974.0		287.5		42.7
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	)
Weighted average basic shares outstanding during the period	160,948.3		158,816.1		154,257.0		150,138.3		156,039.9		145,829.4		143,421.5
Basic shares outstanding, end of period	159,955.2		156,768.0		152,183.5		148,084.2		148,084.2		143,610.0		141,718.6
Diluted
Weighted average basic shares outstanding	160,948.3		158,816.1		154,257.0		150,138.3		156,039.9		145,829.4		143,421.5
Common stock equivalent shares related to:
Employee benefit plans	1,240.7		918.7		1,002.7		1,268.8		1,107.7		—		519.1
Weighted average diluted shares outstanding during the period	162,189.0		159,734.8		155,259.7		151,407.1		157,147.6		145,829.4		143,940.6
Diluted shares outstanding, end of period	161,123.2		157,662.5		153,242.8		149,580.7		149,580.7		143,936.2		142,410.1

___________

(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 13

CNO FINANCIAL GROUP, INC.

Annuities - Account Value Rollforwards

(Dollars in millions)

(Unaudited)

	1Q			2Q			3Q			4Q			YTD			1Q			2Q
	2019			2019			2019			2019			2019			2020			2020
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
Gross deposits	300.1			325.4			311.1			305.2			1,241.8			281.7			231.5
Withdrawals	(156.9		)	(156.5		)	(154.1		)	(179.8		)	(647.3		)	(185.8		)	(148.0		)
Returns reinvested	17.6			23.9			12.4			50.8			104.7			51.3			30.3
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
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
Gross deposits	13.6			14.3			11.8			17.1			56.8			9.3			9.0
Withdrawals	(113.4		)	(110.9		)	(99.8		)	(88.0		)	(412.1		)	(94.3		)	(81.1		)
Returns reinvested	16.3			16.0			15.8			15.4			63.5			14.9			14.1
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
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
Gross deposits	313.7			339.7			322.9			322.3			1,298.6			291.0			240.5
Withdrawals	(270.3		)	(267.4		)	(253.9		)	(267.8		)	(1,059.4		)	(280.1		)	(229.1		)
Returns reinvested	33.9			39.9			28.2			66.2			168.2			66.2			44.4
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

Page 14

CNO FINANCIAL GROUP, INC.

Statutory Information - Consolidated Basis (13)

(Dollars in millions)

(Unaudited)

	1Q			2Q			3Q			4Q			YTD			1Q			2Q
	2019			2019			2019			2019 (a)			2019 (a)			2020 (b)			2020 (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
Interest expense on surplus debentures held by parent company	12.6			12.3			22.7			12.3			59.9			12.1			12.1
Net gain from operations before federal income taxes	85.2			73.7			39.4			53.9			252.2			21.2			87.4
Federal income tax expense (benefit)	1.9			(5.4		)	(4.5		)	(47.8		)	(55.8		)	(113.0		)	(6.8		)
Net gain from operations before net realized capital gains (losses)	83.3			79.1			43.9			101.7			308.0			134.2			94.2
Net realized capital losses	(9.9		)	(3.6		)	(0.1		)	(3.0		)	(16.6		)	(3.3		)	(7.8		)
Net income	$	73.4		$	75.5		$	43.8		$	98.7		$	291.4		$	130.9		$	86.4
Capital and surplus	$	1,717.4		$	1,698.5		$	1,695.3		$	1,696.6		$	1,696.6		$	1,750.3		$	1,771.1
Asset valuation reserve (AVR)	248.0			254.5			261.0			295.9			295.9			236.4			226.7
Capital, surplus and AVR	1,965.4			1,953.0			1,956.3			1,992.5			1,992.5			1,986.7			1,997.8
Interest maintenance reserve (IMR)	418.3			415.4			415.1			420.1			420.1			408.2			410.6
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
Risk-based capital ratio	416		%	409		%	405		%	408		%	408		%	406		%	405		%

___________

(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 2Q20 will be filed with the respective insurance regulators on or about August 17, 2020.
---	---

Page 15

CNO FINANCIAL GROUP, INC.

Investment Income Not Allocated to Product Lines (9)

(Dollars in millions)

(Unaudited)

	1Q			2Q			3Q			4Q			YTD			1Q			2Q
	2019			2019			2019			2019			2019			2020			2020
Net investment income	$	355.8		$	334.5		$	299.5		$	373.1		$	1,362.9		$	169.6		$	318.8
Allocated to product lines:
Annuity	(115.8		)	(114.8		)	(116.5		)	(117.3		)	(464.4		)	(117.4		)	(116.6		)
Health	(36.2		)	(35.8		)	(35.4		)	(35.7		)	(143.1		)	(36.1		)	(36.1		)
Life	(34.5		)	(34.8		)	(34.6		)	(34.4		)	(138.3		)	(34.3		)	(34.7		)
Long-term care	(33.3		)	(34.0		)	(34.7		)	(34.8		)	(136.8		)	(34.3		)	(34.0		)
Equity returns credited to policyholder account balances	(43.6		)	(23.1		)	(3.6		)	(83.4		)	(153.7		)	136.5			(50.7		)
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		)
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		)
Interest expense on debt	(12.1		)	(12.6		)	(13.9		)	(13.8		)	(52.4		)	(13.6		)	(13.6		)
Interest expense on investment borrowings	(12.4		)	(12.3		)	(11.4		)	(10.1		)	(46.2		)	(9.1		)	(5.8		)
Less amounts credited to deferred compensation plans (offsetting investment income)	(5.4		)	(2.8		)	(1.4		)	(4.7		)	(14.3		)	7.7			(9.5		)
Total adjustments	(49.1		)	(43.7		)	(40.4		)	(41.3		)	(174.5		)	(26.6		)	(38.5		)
Investment income not allocated to product lines	$	43.3		$	48.3		$	34.3		$	26.2		$	152.1		$	57.4		$	8.2

Page 16

CNO FINANCIAL GROUP, INC.

Investment Income Not Allocated to Product Lines (9)

(Dollars in millions)

(Unaudited)

	1Q			2Q			3Q			4Q			YTD			1Q			2Q
	2019			2019			2019			2019			2019			2020			2020
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
Other investment income	1.4			0.8			1.5			1.0			4.7			0.5			0.1
Spread income from Federal Home Loan Bank investment program:
Investment income on matched assets	19.0			18.5			16.0			16.6			70.1			13.5			10.9
Investment borrowing expenses	(12.4		)	(12.3		)	(11.4		)	(10.1		)	(46.2		)	(9.1		)	(5.8		)
Net spread income	6.6			6.2			4.6			6.5			23.9			4.4			5.1
Interest expense on corporate debt	(12.1		)	(12.6		)	(13.9		)	(13.8		)	(52.4		)	(13.6		)	(13.6		)
Total excluding variable components	24.6			24.6			18.4			14.5			82.1			14.6			18.1
Variable components:
Net income from Corporate Owned Life Insurance ("COLI") supporting agent deferred compensation plan
Change in value of COLI investments	14.4			5.0			3.1			(0.2		)	22.3			3.2			6.4
Increase in liability for agent deferred compensation plan	(1.5		)	(1.5		)	(1.5		)	(1.8		)	(6.3		)	(1.6		)	(1.6		)
Net COLI income (loss)	12.9			3.5			1.6			(2.0		)	16.0			1.6			4.8
Other variable components:
Hedge variance related to fixed index products	(0.8		)	(0.6		)	(0.1		)	(0.2		)	(1.7		)	(0.1		)	3.2
Trading account	4.0			2.3			1.5			1.1			8.9			17.3			6.0
Other (a)	2.6			18.5			12.9			12.8			46.8			24.0			(23.9		)
Total variable components	18.7			23.7			15.9			11.7			70.0			42.8			(9.9		)
Total investment income not allocated to product lines	$	43.3		$	48.3		$	34.3		$	26.2		$	152.1		$	57.4		$	8.2

___________

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

Page 17

CNO FINANCIAL GROUP, INC.

Investment Income Allocated to Product Lines (5)

(Dollars in millions)

(Unaudited)

	1Q			2Q			3Q			4Q			YTD			1Q			2Q
	2019			2019			2019			2019			2019			2020			2020
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
Fixed interest annuities	2,417.3			2,337.9			2,263.4			2,204.3			2,305.7			2,146.2			2,088.2
Other annuities	575.7			574.4			569.8			565.0			571.2			551.5			533.5
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
Health:
Supplemental health	2,743.3			2,779.9			2,815.0			2,849.8			2,797.0			2,887.1			2,935.7
Medicare supplement	99.0			94.7			89.9			97.5			95.3			102.5			111.6
Total health average net insurance liabilities (11)	2,842.3			2,874.6			2,904.9			2,947.3			2,892.3			2,989.6			3,047.3
Life:
Interest sensitive	852.0			860.7			869.2			883.4			866.3			900.1			913.5
Traditional	1,793.0			1,813.3			1,834.9			1,859.0			1,825.1			1,872.5			1,883.5
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
Long-term care average net insurance liabilities (11)	2,372.2			2,421.8			2,471.0			2,502.0			2,441.7			2,482.8			2,464.2
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
Average yield on allocated investments
Annuity:
Fixed index annuities	4.86		%	4.76		%	4.78		%	4.78		%	4.79		%	4.74		%	4.70		%
Fixed interest annuities	5.43		%	5.34		%	5.34		%	5.26		%	5.34		%	5.24		%	5.13		%
Other annuities	5.35		%	5.29		%	5.34		%	5.45		%	5.36		%	5.22		%	5.17		%
Average yield on investments allocated to annuities	5.04		%	4.94		%	4.95		%	4.93		%	4.96		%	4.88		%	4.82		%
Health:
Supplemental health	5.10		%	4.99		%	4.89		%	4.86		%	4.96		%	4.84		%	4.76		%
Medicare supplement	4.53		%	4.56		%	4.48		%	4.39		%	4.49		%	4.41		%	4.34		%
Average yield on investments allocated to health products	5.09		%	4.98		%	4.87		%	4.85		%	4.95		%	4.83		%	4.74		%
Life:
Interest sensitive	5.45		%	5.44		%	5.38		%	5.30		%	5.39		%	5.20		%	5.12		%
Traditional	5.11		%	5.10		%	4.99		%	4.88		%	5.02		%	4.83		%	4.88		%
Average yield on investments allocated to life products	5.22		%	5.21		%	5.12		%	5.02		%	5.14		%	4.95		%	4.96		%
Average yield on investments allocated to long-term care products	5.62		%	5.62		%	5.62		%	5.56		%	5.60		%	5.53		%	5.52		%
Total average yield	5.16		%	5.08		%	5.06		%	5.02		%	5.08		%	4.97		%	4.92		%
Allocated investment income
Annuity:
Fixed index annuities	$	75.3		$	76.0		$	78.7		$	80.6		$	310.6		$	82.1		$	82.9
Fixed interest annuities	32.8			31.2			30.2			29.0			123.2			28.1			26.8
Other annuities	7.7			7.6			7.6			7.7			30.6			7.2			6.9
Total investment income allocated to annuities	115.8			114.8			116.5			117.3			464.4			117.4			116.6
Health:
Supplemental health	35.0			34.7			34.4			34.6			138.7			34.9			34.9
Medicare supplement	1.2			1.1			1.0			1.1			4.4			1.2			1.2
Total investment income allocated to health products	36.2			35.8			35.4			35.7			143.1			36.1			36.1
Life:
Interest sensitive	11.6			11.7			11.7			11.7			46.7			11.7			11.7
Traditional	22.9			23.1			22.9			22.7			91.6			22.6			23.0
Total investment income allocated to life products	34.5			34.8			34.6			34.4			138.3			34.3			34.7
Total investment income allocated to long-term care products	33.3			34.0			34.7			34.8			136.8			34.3			34.0
Total allocated investment income	$	219.8		$	219.4		$	221.2		$	222.2		$	882.6		$	222.1		$	221.4

Page 18

CNO FINANCIAL GROUP, INC.

Investment Income Not Allocated to Product Lines (9)

(Dollars in millions)

(Unaudited)

	1Q			2Q			3Q			4Q			YTD			1Q			2Q
	2019			2019			2019			2019			2019			2020			2020
General account assets investment income	$	268.8		$	284.9		$	274.1		$	270.2		$	1,098.0		$	280.3		$	231.7
Policyholder and other special purpose portfolio investment income	87.0			49.6			25.4			102.9			264.9			(110.7		)	87.1
Less equity returns credited to policyholders:
Annuity	(37.9		)	(20.2		)	(3.0		)	(74.0		)	(135.1		)	119.9			(44.9		)
Life	(5.7		)	(2.9		)	(0.6		)	(9.4		)	(18.6		)	16.6			(5.8		)
Less amount related to variable interest entities	(19.2		)	(16.0		)	(13.7		)	(12.7		)	(61.6		)	(11.6		)	(9.6		)
Less amounts credited to deferred compensation plans	(5.4		)	(2.9		)	(1.4		)	(4.8		)	(14.5		)	7.7			(9.5		)
Other special purpose portfolio investment income	18.8			7.6			6.7			2.0			35.1			21.9			17.3
Adjusted net investment income	287.6			292.5			280.8			272.2			1,133.1			302.2			249.0
Less amounts allocated to product lines
Annuity	(115.8		)	(114.8		)	(116.5		)	(117.3		)	(464.4		)	(117.4		)	(116.6		)
Health	(36.2		)	(35.8		)	(35.4		)	(35.7		)	(143.1		)	(36.1		)	(36.1		)
Life	(34.5		)	(34.8		)	(34.6		)	(34.4		)	(138.3		)	(34.3		)	(34.7		)
Long-term care	(33.3		)	(34.0		)	(34.7		)	(34.8		)	(136.8		)	(34.3		)	(34.0		)
Total investment income allocated to product lines	(219.8		)	(219.4		)	(221.2		)	(222.2		)	(882.6		)	(222.1		)	(221.4		)
Less interest expense on investment borrowings	(12.4		)	(12.3		)	(11.4		)	(10.0		)	(46.1		)	(9.1		)	(5.8		)
Less interest expense on debt	(12.1		)	(12.5		)	(13.9		)	(13.8		)	(52.3		)	(13.6		)	(13.6		)
Investment income not allocated to product lines	43.3			$	48.3		34.3			26.2			152.1			57.4			$	8.2

Other Investment Data

	1Q			2Q			3Q			4Q			1Q			2Q
	2019			2019			2019			2019			2020			2020
Average invested assets and cash	$	21,848.9		$	21,990.3		$	22,188.4		$	22,394.2		$	22,597.5		$	22,731.9
Net investment income from general account investments	268.8			284.9			274.1			270.2			280.3			231.7
New money rate (14)	4.38		%	4.58		%	4.66		%	4.08		%	4.46		%	4.49		%
Book yield	5.15		%	5.08		%	5.03		%	4.97		%	4.90		%	4.88		%
Earned yield	5.07		%	5.35		%	5.16		%	5.02		%	5.19		%	4.27		%
Pre-pay/call/make-whole income	$	2.5		$	6.6		$	3.0		$	4.6		$	8.9		$	0.1
Alternative investment income	5.5			17.1			17.7			12.9			17.2			(12.5		)
Impairments	2.2			—			3.4			6.8			8.1			—

Page 19

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 results			Significant items				Excluding significant<br>items
Insurance product margin (4)
Annuity margin	$	123.8		$	40.0		(a)	$	72.3
				(91.5		)	(a)
Health margin	82.3			—				82.3
Life margin	36.1			5.6			(a)	41.7
Long-term care margin	13.2			—				13.2
Total insurance product margin	255.4			(45.9		)		209.5
Allocated expenses	(128.1		)	—				(128.1		)
Income from insurance products (5)	127.3			(45.9		)		81.4
Fee income	5.2			—				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 taxes	102.2			(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 annuities			Fixed interest annuities			Interest- 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

(b)

Page 20

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 results			Significant items				Excluding significant<br>items
Insurance product margin (4)
Annuity margin	$	60.5		$	0.3		(a)	$	60.8
Health margin	79.0			—				79.0
Life margin	46.7			9.7			(a)	56.4
Long-term care margin	14.0			—				14.0
Total insurance product margin	200.2			10.0				210.2
Allocated expenses	(140.6		)	—				(140.6		)
Income from insurance products (5)	59.6			10.0				69.6
Fee income	11.7			—				11.7
Investment income not allocated to product lines (9)	26.2			—				26.2
Expenses not allocated to product lines	2.8			(20.0		)	(b)	(17.2		)
Operating earnings before taxes	100.3			(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 21

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, life and long-term care 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, life and long-term care 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 and $44.9 million in 1Q19, 2Q19, 3Q19, 4Q19, 1Q20 and 2Q20, 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 and $5.8 million in 1Q19, 2Q19, 3Q19, 4Q19, 1Q20 and 2Q20, respectively.
---	---
(8)	Income from insurance products is the sum of the insurance margins of the annuity, health, life and long-term care 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 22

exhibit990306302020

Exhibit 99.3 Second Quarter 2020 Financial and operating results for the period ended June 30, 2020 August 4, 2020 Unless otherwise specified, comparisons in this presentation are between 2Q19 and 2Q20.

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 August 4, 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 | Second Quarter 2020 Earnings | August 4, 2020 2

CNO Financial Group | Second Quarter 2020 Earnings | August 4, 2020 3

Quarter in Review Operating results reflect strong retention, product and distribution diversity and expense discipline • Operating income1 up 4%; operating income per share1 up 15% Strong • Insurance policy income up 1%; insurance product margin up 28% Operational • Annuity account values up 4% • Fee income up 18% to $5.2 million Performance • Allocated expenses down $7.1 million / 5%; non-allocated expenses down $4.9 million / 25% excl. Global Resolution Agreement accrual • Statutory capital and surplus of $1.77 billion; RBC of 405% Building on • Returned $47 million to shareholders; $30 million in share buybacks Track Record • Weighted average shares down 10% of Execution • Continued success with Transformation initiatives • Operating ROE1 of 11.4% 1 A non-GAAP measure. See the Appendix for a reconciliation to the corresponding GAAP measure. CNO Financial Group | Second Quarter 2020 Earnings | August 4, 2020 4

Growth Scorecard Strong collected premium, fee revenue, & client assets; sales challenged by COVID environment (dollars in millions) 2019 2020 % Change 2Q 3Q 4Q TY 1Q 2Q Y/Y New Annualized Premium 1 Life $39.4 $37.3 $34.9 $151.3 $41.1 $47.4 20.3% Health 39.4 40.3 54.7 168.7 38.1 17.7 -55.1% Long-term Care 6.4 6.4 8.0 26.6 5.9 4.3 -32.8% Total Life, Health, and LTC $85.2 $84.0 $97.6 $346.6 $85.1 $69.4 -18.5% Collected Premiums Life $202.5 $203.5 $206.3 $811.2 $207.7 $206.1 1.8% Drive Growth Health 352.0 353.9 373.7 1439.1 353.9 353.2 0.3% Long-term Care 66.5 66.7 68.5 269.1 65.2 66.0 -0.8% Total Life, Health, and LTC $621.0 $624.1 $648.5 $2,519.4 $626.8 $625.3 0.7% Annuity Collected Premiums $341.2 $325.2 $324.3 $1,306.4 $292.2 $242.7 -28.9% Client Assets in BD and Advisory 2 $1,303.0 $1,362.7 $1,515.0 $1,515.0 $1,358.7 $1,524.0 17.0% the Right 3 Expand to Fee Revenue $15.6 $16.3 $30.2 $87.5 $28.5 $20.5 31.4% 1 Measured as 100% of new life, health, and LTC 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, our broker-dealer and registered investment advisor. CNO Financial Group | Second Quarter 2020 Earnings | August 4, 2020 5

Consumer Division Update Record direct-to-consumer sales; other sales / agent metrics rebounding Key Initiatives Second Quarter Highlights • D2C sales up 52% to record $30 million Maintain growth • Improving sales efficiency/productivity metrics momentum • Total Life sales up 27% • Health/LTC sales steadily improving from April lows • Producing agent count down 12% in 2Q20, down 6% in Optimize June • June/July recruiting up sharply distribution • Financial Representative1 count up 1%; 15% of agent force is dually licensed • Launched several new D2C initiatives Expand reach • Continued acceleration of lead sharing from D2C to exclusive agents 1 Financial representatives are agents who are licensed to sell certain securities brokerage products and services. CNO Financial Group | Second Quarter 2020 Earnings | August 4, 2020 6

Worksite Division Update Stable in force block; significant near-term sales headwinds remain Key Initiatives Second Quarter Highlights Continue growth • Total sales down ~$9 million or 69% in small employer • 25% of sales completed virtually market • Employer profiles translating to stable premium collection Expand to larger • WBD synergies progressing • Additional digital capabilities in 4Q20 small businesses • WBD revenue up 1%; up 5% YTD • Group critical illness product launched Enhance portfolio • Group term life offering to follow in 4Q20 CNO Financial Group | Second Quarter 2020 Earnings | August 4, 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 • Increased dividend 9% in 2Q20; 8th consecutive annual increase • $30 million in share repurchases in 2Q20; $113 million YTD • Capacity to continue modest share repurchases as conditions permit Opportunistic transactions • Highly selective M&A to expand productivity offerings or enhance distribution CNO Financial Group | Second Quarter 2020 Earnings | August 4, 2020 8

Financial Highlights Net operating EPS up 15% to $0.55; exercised rigorous expense control Second Quarter 2020 Earnings Results • Net operating EPS1 of $0.55, up 15% from $0.48 in 2Q19 (dollars in millions, except where noted) • Operating EPS excluding significant items1 down $0.55 $0.57 10%, due to decline in income from alternative $0.48 investments and calls/prepays $(0.12) $0.43 • Weighted average share count down 10% YoY Net operating income per share1 • Disciplined expense management $0.24 Net income per • Allocated expenses down $7.1 million / 5% share • Non-allocated expenses down $4.9 million / 25% Significant items excluding significant item • Up $18.6 million including expense 2Q19 2Q20 related to Global Resolution Agreement Net Operating Income1 $76.4 $79.4 • Operating ROE1 of 11.4% • 10.5% excluding significant items Net Operating Income $76.4 $61.7 Excluding Significant Items1 • Statutory operating income estimated to be $94 million • Statutory capital and surplus of $1.77 billion Net Income $37.6 $82.0 • Consolidated RBC of 405%; Holdco liquidity of $208 million Weighted Average Shares 159.7 143.9 Outstanding (in millions) 1 A non-GAAP measure. See the Appendix for a reconciliation to the corresponding GAAP measure. CNO Financial Group | Second Quarter 2020 Earnings | August 4, 2020 9

Insurance Product Margin Solid growth in Annuity, Health & LTC margins; Life reflects COVID impact (dollars in millions) Insurance Product Margin1 2Q19 3Q19 4Q19 1Q20 2Q20 Highlights1 Annuity $57.2 $56.2 $60.8 $59.5 $72.3 • Total margin up $10.4 million or 5% Margin / average net insurance liabilities 2.46% 2.39% 2.54% 2.47% 2.99% • Annuity margin up $15.1 million or 26% • Favorable mortality on other annuities Health $78.3 $77.0 $79.0 $73.6 $82.3 ($10M), favorable persistency ($5M) Margin / insurance policy 22% 22% 22% 20% 23% income • Health margin up $4 million or 5% • Medicare Supplement - favorable claims Life $51.7 $54.6 $56.4 $44.3 $41.7 due to deferral of care ISL: Margin / average net 0.60% 0.55% 0.68% 0.67% 0.44% insurance liabilities • Supplemental health - higher ISL: Underwriting margin / 41% 45% 26% 42% 42% insurance policy income persistency/reserve build more than Trad: Margin / insurance offset favorable claims 23% 24% 23% 17% 16% policy income • Life margin down $10 million or 19% Trad: Margin ex. Adv. Exp. / 33% 35% 32% 30% 26% insurance policy income • $14 million COVID mortality impact; Long-term Care $11.9 $12.3 $14.0 $13.3 $13.2 consistent with market share Margin / insurance policy 18% 18% 21% 20% 20% • Favorable persistency income • LTC margin up $1.3 million or 11% Total Margin $199.1 $200.1 $210.2 $190.7 $209.5 • Favorable claims/mortality partially offset by reserve build 1 Excluding significant items. CNO Financial Group | Second Quarter 2020 Earnings | August 4, 2020 10

Investment Results Steady NII allocated to products; negative VII returns impacted total NII, down 14% (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 $267.7 $219.4 $221.4 $229.6 $200.0 $200.0 $200.0 $100.0 $100.0 $100.0 $48.3 $8.2 $- $- $- 2Q 2019 2Q 2020 2Q 2019 2Q 2020 2Q 2019 2Q 2020 Annuity Health Life LTC Annuity Health Life LTC Not Allocated • Invested assets up 3% • Investment Income Not Allocated to Product Lines down $40.1 million due to unfavorable alternatives results and • New money rate of 4.49% lower prepayments / calls • Investment Income Allocated to Product Lines steady • Alts are reported on one quarter lag despite lower interest rates • $920 million new money investments had average rating of • Average yield on allocated investments was A, average duration of 8.8 years 4.92% compared to 5.08% in 2Q19 • Rating migration trends less impactful than forecast 1 Reflects sum of allocated and non-allocated investment income. Refer to pages 16-19 of the financial supplement for more information on the components of net investment income. CNO Financial Group | Second Quarter 2020 Earnings | August 4, 2020 11

Portfolio Composition High quality; well-positioned for current environment $26 billion of Invested Assets Highlights (Fair Value as of 6/30/2020) Mortgage • 65% of portfolio in corporate and government bonds Loans, 5.8% HY Corporates, 2.9% Non-Agency RMBS, 8.7% • 41% BBBs; consistent with March 31 CMBS, • $21.6 billion of assets with high degree of liquidity 7.9% Municipals, 9.7% • ~$12.9 billion public corporate bonds • ~$5.9 billion structured securities • ~$2.8 billion municipal, political subdivisions, Govts/Agency, ABS, 4.6% 1.6% and US and foreign government bonds IG Corporates, CLO, 1.7% • Strong credit risk profile across portfolio 50.3% Equities, 0.2% Other Invested • Underweight COVID-19 impacted sectors Assets, 1.8% Alternatives, 2.1% • 96% rated NAIC 1 / 2 • Diversified commercial and residential Policy Loans, 0.5% mortgages with low LTVs Cash, 2.2% • Significant credit enhancement in structured General Approach products • Positioned for stable performance across credit cycles • Alternative investments that avoid binary • Emphasizing quality outcomes • Lower than average allocation to most higher risk categories – all carefully calibrated • Low impairments through multiple cycles CNO Financial Group | Second Quarter 2020 Earnings | August 4, 2020 12

Cash Flow Profile Strong free cash flow generation and conversion (dollars in millions) For the Quarter Trailing Twelve Months 2Q19 2Q20 2Q19 2Q20 Net Operating Income1 $ 76.4 $ 79.4 $ 289.5 $ 311.5 Holding Company Cash Flows: Dividends from Subsidiaries$ 89.9 $ 77.6 $ 281.3 $ 220.8 Management Fees 28.3 27.0 111.4 114.8 Surplus Debenture Interest 12.3 12.1 59.0 59.2 Earnings on Corporate Investments 3.7 12.5 15.3 29.1 Tax Refund - - 5.8 - Other 15.4 21.0 20.0 13.2 Holding Company Sources of Cash2 149.6 150.2 492.8 437.1 Holding Company Expenses and Other (13.2) (33.0) (83.3) (109.0) Interest Payments (21.8) (26.4) (45.3) (52.1) Excess Cash Flow to Holding Company2 114.6 90.8 364.2 276.0 Net Proceeds from New Debt 64.9 - 64.9 - Share Repurchases (59.0) (30.0) (140.4) (265.3) Dividend Payments to Stockholders (17.4) (17.4) (66.7) (66.8) Contributions to Insurance Subsidiaries - - (265.0) - Acquisition (68.8) - (68.8) - Net Change in Holding Company Cash and Investments 34.3 43.4 (111.8) (56.1) Non-Cash Changes in Investment Balances - (3.5) (0.1) - Cash and Investments, Beginning of Period 229.8 168.1 376.0 264.1 Cash and Investments, End of Period$ 264.1 $ 208.0 $ 264.1 $ 208.0 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 | Second Quarter 2020 Earnings | August 4, 2020 13

Capital and Liquidity Overview Conservative approach to capital structure (dollars in millions) Consolidated Risk Based Capital (“RBC”) Ratio1 393% 408% 406% 405%  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 Debt to Capital2 22.3% 23.0% 23.8% 23.6%  Target leverage of 22.5 – 25.0%  Debt covenant ceiling of 35%  Debt capacity within limit of target leverage $80.7 million 2018 2019 1Q 2020 2Q 2020 x Holding Company Liquidity $220.4 $208.0 $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 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 | Second Quarter 2020 Earnings | August 4, 2020 14

2020 Outlook Less severe mortality impact; continued capacity to maintain modest buybacks Scenario modeling – 2020 COVID impacts Prior (May) projections Current (August) projections • Mortality • Mortality • 80k – 120k U.S. COVID deaths • 150k – 400k U.S. COVID deaths • $20M – $30M net mortality impact • $20M – $52M net mortality impact • $250k per 1,000 deaths • $130k per 1,000 deaths • Morbidity • Morbidity • Net neutral impact • Favorable in 2Q20; net neutral impact in 2H20, with potential upside, if deferred healthcare and LTC treatments become permanent • Premium deferral / Shock lapse • Premium deferral / Shock lapse • Potential for significant favorable impact • Potential for modestly positive impact given uncertainty regarding persistency given favorable persistency observed in 2Q20 Key Outputs of Modeling • Base case second half earnings down compared to prior year, driven primarily by COVID-19 mortality impacts • Expenses in total excluding significant items flat to prior year, despite accelerating investments to better position for the future • Investment income not allocated to product lines also generally flat • Adverse case free cash flow supports continued modest level of share repurchase CNO Financial Group | Second Quarter 2020 Earnings | August 4, 2020 15

Delivering On Our Commitments Shifting to a tactical approach while navigating COVID environment 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 cash conservation • Customer-centric business • Recapitalized company (2012) additions with 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 • Opportunistic capital flow classes • Sustainable momentum in deployment • Accelerate pace of capital recruiting and sales • Benefiting from diverse deployment product portfolio and strong • Reduced risk and volatility retention • Leverage technology • Successfully pivoting to new sales approaches • Accelerating integration of D2C and exclusive agents • Rethinking future office footprint CNO Financial Group | Second Quarter 2020 Earnings | August 4, 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 | Second Quarter 2020 Earnings | August 4, 2020 17

Questions and Answers CNO Financial Group | Second Quarter 2020 Earnings | August 4, 2020 18

Appendix 1: Quarter in Review Strong Operational Performance • COVID-19 Response Slide 20 • Broker-Dealer/Registered Investment Advisor Slide 21 • Agent Counts Slide 22 Building on Strong Track Record of Execution • Retained LTC Insurance Slide 23 • New Money Summary Slide 24 • Portfolio Overview Slides 25-28 • Tax Asset Summary Slide 29 CNO Financial Group | Second Quarter 2020 Earnings | August 4, 2020 19

COVID-19 Response: Committed to Key Stakeholders Embracing our obligations; rising to the challenge Supporting our Helping our Associates & Agents Customers Giving Back to Others • Committed to no COVID-19 • Call centers, claims • Committed to maintaining related layoffs in 2020 processing, other services 2020 annual budget for operating remotely corporate donations to our • Introduced agent financial philanthropic community support programs • Allowing deferral of premium partners payments of up to 90 days • Provided technology, training, • Engaged associates in virtual & other tools to support • Enhanced digital capabilities volunteering opportunities to effective working from home and servicing support local food banks and first responders • COVID-19 testing & treatment • Providing agents with tools to reimbursed at 100% support virtual sales and • Donated $300,000 to support servicing; digital applications funds for associates and • Expanded PTO policies agents impacted by COVID-19 • Continuing to provide products or other personal financial • Free LiveHealth tele-visits to protect the health and emergencies retirement needs of our • Employee Assistance customers programs offering 24/7 counseling CNO Financial Group | Second Quarter 2020 Earnings | August 4, 2020 20

Broker-Dealer/Registered Investment Advisor Account values up YoY; $1.5 billion in client assets (dollars in millions) 2019 2020 2Q 3Q 4Q 1Q 2Q Net New Client Assets in Brokerage $5.1 $13.4 $17.4 $15.3 -$26.7 Brokerage and Advisory1 Advisory 33.2 29.9 45.4 65.7 38.6 Total $38.3 $43.3 $62.8 $81.0 $11.9 Client Assets in Brokerage and Brokerage $886.0 $913.7 $982.9 $842.3 $905.3 Advisory1 at end of period Advisory 417.0 449.0 532.1 516.4 618.7 Total $1,303.0 $1,362.7 $1,515.0 $1,358.7 $1,524.0 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 | Second Quarter 2020 Earnings | August 4, 2020 21

Agent Counts 2019 2020 % Change Consumer 2Q 3Q 4Q 1Q 2Q Q/Q Total Quarterly Average Producing Agents1,3 4,602 4,579 4,709 4,531 4,066 -12% Quarterly Average Financial Representatives2,3 595 596 596 591 602 1% Worksite Total Quarterly Average Producing Agents1,3 417 420 453 421 225 -46% 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 | Second Quarter 2020 Earnings | August 4, 2020 22

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 | Second Quarter 2020 Earnings | August 4, 2020 23

New Money Summary Emphasis on high quality investments during second quarter Second Quarter Investments HY Corporates, 5.7% Direct Investments, 0.6% Average Average Allocation $ Allocation % Yield Rating Duration Structured Securities 372 40.8% 4.34% A 4.7 Municipals 241 26.5% 3.84% AA 15.4 IG Corporates, 26.4% Structured IG Corporates 241 26.4% 4.88% BBB 9.8 Securities, 40.8% HY Corporates 52 5.7% 6.16% BB 4.4 Municipals, 26.5% Direct Investments 5 0.6% 9.49% NR - Total 911 100% 4.49% A 8.8 94% Investment Grade Allocation CNO Financial Group | Second Quarter 2020 Earnings | August 4, 2020 24

Portfolio Overview – Sector Breakdown Underweight COVID-impacted sectors (dollars in millions) Book Market Unrealized Average Sector Value Value Gain Loss Portfolio% NAIC Over|Underweight Airlines 17.2 17.7 0.5 0.07% 1.5 Underweight Aircraft Lease Securitizations 33.9 30.2 (3.7) 0.12% 1.0 Underweight Energy 710.6 774.9 64.2 3.02% 1.9 Underweight Gaming 0.0 - - - - Underweight Hotels 36.1 36.7 0.6 0.14% 2.6 Underweight Retail ex Grocery 82.6 97.4 14.7 0.38% 1.8 Underweight Restaurants 19.1 22.6 3.5 0.09% 2.8 Underweight Whole Business Securitizations 399.5 397.1 (2.3) 1.55% 2.1 Overweight CMBS 2,003.6 2,020.7 17.1 7.89% 1.0 Overweight CNO Financial Group | Second Quarter 2020 Earnings | August 4, 2020 25

Portfolio Overview: CLO Debt Significant cushion against stress scenarios Ratings Composition A+ % of Rating Downgrade Watch 1.5% AA Portfolio Portfolio Index 49.6% AAA 11.3% - - AA 52.0% - 0.2% A 33.2% 100% A 36.7% - 4.2% AAA AAA-A BBB - N/A 35.8% AA+ 11.3% 2.4% A- BB - N/A 51.9% 1.8% Key Portfolio Metrics Cumulative Loss / Breakpoint Analysis AAA AA A Credit Support Portfolio 37% 25% 17% Market 37% 25% 19% WARF Portfolio 3,315 3,248 3,272 Market 3,233 3,258 3,272 Diversity Score Portfolio 79 78 82 Market 77 76 75 CDR at Break Point 54.7% 27.8% 17.2% EORP Portfolio 1.73 2.13 1.81 CDR at Base Case 4.5% 4.5% 4.5% Market 2.26 2.11 2.12 CDR at GFC 5.8% 5.8% 5.8% CNO Financial Group | Second Quarter 2020 Earnings | August 4, 2020 26

Portfolio Overview: Commercial Mortgage Loans Very conservatively underwritten; loss resistant Key Portfolio Facts Portfolio Geography Mountain $1.4 billion of net invested assets 10.0% South Central 32.7% 17.0% 100% 99.5% 51% 1.97x 0.5% First Rated Weighted Weighted Delinquency East Pacific Mortgage CM1-2 Avg LTV¹ DSCR¹ 23.6% 16.6% Underlying Property Type Ratings Composition Office Industrial 17.1% CM1 22.5% 77.2% Other 12.2% Apartment CM2 Retail 29.2% 22.3% 19.0% CM7 1 LTV and DSCR as of year-end 2019 operating statements. 0.5% CNO Financial Group | Second Quarter 2020 Earnings | August 4, 2020 27

Portfolio Overview: CMBS Very conservatively underwritten; loss resistant Key Portfolio Facts Book Market Market/ Credit Delinq. Rating Value Value Book Support Rate Hotel% Retail% $2.0 billion of net invested assets AAA 622 647 104% 38.4% 7.6% 12.4% 21.6% AA 369 374 102% 29.2% 6.9% 10.6% 17.9% A 606 588 97% 20.0% 5.1% 14.0% 13.0% 80.0% 60% 2.11x BBB 330 337 102% 12.0% 0.1% 0.8% 2.5% Rated Weighted Weighted AAA-A Avg LTV¹ DSCR¹ BB 77 74 96% 3.3% - - - 2,004 2,021 101% 25.5% 5.2% 10.2% 14.3% Underlying Property Type Ratings Composition Office AA Multifamily A 30.6% 18.4% 24.0% 30.3% Industrial Retail 8.1% 14.3% AAA BBB Mixed Use 31.0% 16.5% Hotels 12.9% BB 10.2% 3.8% 1 LTV based on appraisal at loan origination, DSCR as of year-end 2019 operating statements. CNO Financial Group | Second Quarter 2020 Earnings | August 4, 2020 28

Tax Asset Summary Value of NOLs and deferred tax assets Details (DTAs) related to tax strategy (dollars in millions) • Total estimated economic value of NOLs $495 and DTAs related to tax strategy of DTAs related to approximately $400 million @ 10% tax strategy discount rate ($2.80 on per share basis) $75 • Life NOLs have been fully utilized. Non- life NOLs are expected to offset 100% of non-life taxable income and 35% of the remaining life taxable income not offset Non-life NOLs $420 by life NOLs through 2023. CNO Financial Group | Second Quarter 2020 Earnings | August 4, 2020 29

Appendix 2: Financial Exhibits • Non-GAAP Financial Measures Slides 31-45 CNO Financial Group | Second Quarter 2020 Earnings | August 4, 2020 30

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 82.3 - 82.3 Life 36.1 5.6 (1) 41.7 Long-term care 13.2 - 13.2 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 | Second Quarter 2020 Earnings | August 4, 2020 31

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 34 and 36 for a reconciliation to the corresponding GAAP measure. CNO Financial Group | Second Quarter 2020 Earnings | August 4, 2020 32

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 79.0 - 79.0 Life 46.7 9.7 (1) 56.4 Long-term care 14.0 14.0 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 34 and 36 for a reconciliation to the corresponding GAAP measure. CNO Financial Group | Second Quarter 2020 Earnings | August 4, 2020 33

Quarterly Earnings (dollars in millions) 2Q19 3Q19 4Q19 1Q20 2Q20 Insurance product margin Annuity$ 57.2 $ 56.2 $ 60.5 $ 59.5 $ 123.8 Health 78.3 77.0 79.0 73.6 82.3 Life 51.7 54.6 46.7 44.3 36.1 Long-term care 11.9 12.3 14.0 13.3 13.2 Total insurance product margin 199.1 200.1 200.2 190.7 255.4 Allocated expenses (135.2) (131.3) (140.6) (136.6) (128.1) Income from insurance products 63.9 68.8 59.6 54.1 127.3 Fee income 4.4 3.0 11.7 7.8 5.2 Investment income not allocated to product lines 48.3 34.3 26.2 57.4 8.2 Expenses not allocated to product lines (19.9) (18.2) 2.8 (13.8) (38.5) Operating earnings before taxes 96.7 87.9 100.3 105.5 102.2 Income tax expense on operating income (20.3) (18.7) (21.7) (21.2) (22.8) Net operating income 76.4 69.2 78.6 84.3 79.4 Net realized investment gains (losses) from sales, impairments and change in allowance for credit losses (net of related amortization) (1.7) (2.6) 7.1 (63.7) 12.3 Net change in market value of investments recognized in earnings 6.8 4.7 (2.6) (48.4) 31.2 Fair value changes in embedded derivative liabilities (net of related amortization) (35.9) (29.3) 13.4 (66.7) (27.1) Fair value changes related to agent deferred compensation plan (11.6) (6.0) 2.5 - (13.2) Loss on extinguishment of debt (7.3) - - - - Other 0.7 (1.2) (13.3) 2.3 - Non-operating income (loss) before taxes (49.0) (34.4) 7.1 (176.5) 3.2 Income tax expense (benefit): On non-operating income (loss) (10.2) (7.2) 1.4 (37.0) 0.6 Valuation allowance for deferred tax assets and other tax items - - (193.7) (34.0) - Net non-operating income (loss) (38.8) (27.2) 199.4 (105.5) 2.6 Net income (loss)$ 37.6 $ 42.0 $ 278.0 $ (21.2) $ 82.0 *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, loss related to reinsurance transaction, 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) loss related to reinsurance transaction; (7) charges in the valuation allowance for deferred tax assets and other tax items; and (8) 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 | Second Quarter 2020 Earnings | August 4, 2020 34

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, loss related to reinsurance transaction, 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 | Second Quarter 2020 Earnings | August 4, 2020 35

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) 2Q19 3Q19 4Q19 1Q20 2Q20 Net income (loss) applicable to common stock $ 37.6 $ 42.0 $ 278.0 $ (21.2) $ 82.0 Non-operating items: Net realized investment (gains) losses from sales and impairments, net of related amortization 1.7 2.6 (7.1) 63.7 (12.3) Net change in market value of investments recognized in earnings (6.8) (4.7) 2.6 48.4 (31.2) Fair value changes in embedded derivative liabilities, net of related amortization 35.9 29.3 (13.4) 66.7 27.1 Fair value changes related to the agent deferred compensation plan 11.6 6.0 (2.5) - 13.2 Loss on extinguishment of debt 7.3 - - - - Other (0.7) 1.2 13.3 (2.3) - Non-operating (income) loss before taxes 49.0 34.4 (7.1) 176.5 (3.2) Income tax (expense) benefit On non-operating (income) loss 10.2 7.2 (1.4) 37.0 (0.6) Valuation allowance for deferred tax assets and other tax items - - 193.7 34.0 - Net non-operating (income) loss 38.8 27.2 (199.4) 105.5 (2.6) Net operating income (a non-GAAP financial measure) $ 76.4 $ 69.2 $ 78.6 $ 84.3 $ 79.4 Per diluted share: Net income (loss) $ 0.24 $ 0.27 $ 1.84 $ (0.15) $ 0.57 Net realized investment (gains) losses from sales and impairments (net of related amortization and taxes) 0.01 0.01 (0.04) 0.35 (0.07) Net change in market value of investments recognized in earnings (net of taxes) (0.04) (0.02) 0.01 0.26 (0.17) Fair value changes in embedded derivative liabilities (net of related amortization and taxes) 0.18 0.15 (0.07) 0.36 0.15 Fair value changes related to the agent deferred compensation plan (net of taxes) 0.06 0.03 (0.01) - 0.07 Loss on extinguishment of debt 0.03 - - - - Valuation allowance for deferred tax assets and other tax items - - (1.28) (0.23) - Other - 0.01 0.07 (0.01) - Net operating income (a non-GAAP financial measure) $ 0.48 $ 0.45 $ 0.52 $ 0.58 $ 0.55 CNO Financial Group | Second Quarter 2020 Earnings | August 4, 2020 36

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) 2Q19 3Q19 4Q19 1Q20 (a) 2Q20 Operating income$ 76.4 $ 69.2 $ 78.6 $ 84.3 $ 79.4 Weighted average shares outstanding for basic earnings per share 158,816 154,257 150,138 145,829 143,422 Effect of dilutive securities on weighted average shares: Stock options, restricted stock and performance units 919 1,003 1,269 - 519 Weighted average shares outstanding for diluted earnings per share 159,735 155,260 151,407 145,829 143,941 Net operating income per diluted share$ 0.48 $ 0.45 $ 0.52 $ 0.58 $ 0.55 (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 | Second Quarter 2020 Earnings | August 4, 2020 37

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) 2Q19 3Q19 4Q19 1Q20 2Q20 Total shareholders' equity$ 4,252.2 $ 4,553.3 $ 4,677.0 $ 3,765.8 $ 4,731.2 Shares outstanding for the period 156,768,002 152,183,491 148,084,178 143,610,046 141,718,570 Book value per share$ 27.12 $ 29.92 $ 31.58 $ 26.22 $ 33.38 Total shareholders' equity$ 4,252.2 $ 4,553.3 $ 4,677.0 $ 3,765.8 $ 4,731.2 Less accumulated other comprehensive income (1,098.2) (1,442.9) (1,372.5) (595.2) (1,520.2) Adjusted shareholders' equity excluding AOCI$ 3,154.0 $ 3,110.4 $ 3,304.5 $ 3,170.6 $ 3,211.0 Shares outstanding for the period 156,768,002 152,183,491 148,084,178 143,610,046 141,718,570 Dilutive common stock equivalents related to: Stock options, restricted stock and performance units 894,456 1,059,278 1,496,546 326,110 691,574 Diluted shares outstanding 157,662,458 153,242,769 149,580,724 143,936,156 142,410,144 Book value per diluted share (a non-GAAP measure)$ 20.00 $ 20.30 $ 22.09 $ 22.03 $ 22.55 CNO Financial Group | Second Quarter 2020 Earnings | August 4, 2020 38

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, loss on reinsurance transaction, 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 | Second Quarter 2020 Earnings | August 4, 2020 39

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 2Q19 3Q19 4Q19 1Q20 2Q20 Operating income$ 289.5 $ 271.2 $ 290.0 $ 308.5 $ 311.5 Operating income, excluding significant items$ 304.6 $ 286.3 $ 282.1 $ 300.6 $ 285.9 Net income (loss)$ (412.1) $ 159.7 $ 409.4 $ 336.4 $ 380.8 Average common equity, excluding accumulated other comprehensive income (loss) and net operating loss carryforwards (a non-GAAP financial measure) $ 2,782.7 $ 2,697.2 $ 2,703.9 $ 2,713.0 $ 2,722.9 Avearge common shareholders' equity$ 3,795.5 $ 3,886.9 $ 4,166.8 $ 4,321.1 $ 4,372.0 Operating return on equity, excluding accumulated other comprehensive income (loss) and net operating loss carryforwards (a non-GAAP financial measure) 10.4% 10.1% 10.7% 11.4% 11.4% Operating return, excluding significant items, on equity, excluding accumulated other comprehensive income (loss) and net operating loss carryforwards (a non-GAAP financial measure) 10.9% 10.6% 10.4% 11.1% 10.5% Return on equity -10.9% 4.1% 9.8% 7.8% 8.7% (Continued on next page) CNO Financial Group | Second Quarter 2020 Earnings | August 4, 2020 40

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 3Q18$ 87.5 $ - $ 87.5 $ 321.8 $ (529.8) $ (414.2) 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 (a) The significant items have been discussed in prior press releases. (Continued on next page) CNO Financial Group | Second Quarter 2020 Earnings | August 4, 2020 41

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 2Q19 3Q19 4Q19 1Q20 2Q20 Pretax operating earnings (a non-GAAP financial measure)$ 362.3 $ 341.2 $ 368.3 $ 390.4 $ 395.9 Income tax expense (72.8) (70.0) (78.3) (81.9) (84.4) Operating return 289.5 271.2 290.0 308.5 311.5 Non-operating items: Net realized investment gains (losses) from sales and impairments, net of related amortization 24.1 (15.5) 2.1 (60.9) (46.9) Net change in market value of investments recognized in earnings (9.4) 0.6 25.5 (39.5) (15.1) Fair value changes in embedded derivative liabilities, net of related amortization (43.4) (95.6) (81.4) (118.5) (109.7) Fair value changes and amendment related to the agent deferred compensation plan (16.0) (22.0) (20.4) (15.1) (16.7) Loss on extinguishment of debt (7.3) (7.3) (7.3) (7.3) - Loss on reinsurance transaction (704.2) - - - - Other 4.5 2.5 (12.6) (11.5) (12.2) Non-operating loss before taxes (751.7) (137.3) (94.1) (252.8) (200.6) Income tax expense (benefit): On non-operating loss (157.9) (28.8) (19.8) (53.0) (42.2) Valuation allowance for deferred tax assets and other tax items 107.8 3.0 (193.7) (227.7) (227.7) Net non-operating loss (701.6) (111.5) 119.4 27.9 69.3 Net income (loss)$ (412.1) $ 159.7 $ 409.4 $ 336.4 $ 380.8 (Continued on next page) CNO Financial Group | Second Quarter 2020 Earnings | August 4, 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) 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 Consolidated capital, excluding accumulated other comprehensive income (loss) and net operating loss carryforwards (a non-GAAP financial measure)$ 2,701.2 $ 2,784.2 Net operating loss carryforwards 469.4 426.8 Accumulated other comprehensive income 595.2 1,520.2 Common shareholders' equity$ 3,765.8 $ 4,731.2 CNO Financial Group | Second Quarter 2020 Earnings | August 4, 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) 2Q19 3Q19 4Q19 1Q20 2Q20 Corporate notes payable$ 988.3 $ 988.7 $ 989.1 $ 989.4 $ 989.7 Total shareholders' equity 4,252.2 4,553.3 4,677.0 3,765.8 4,731.2 Total capital$ 5,240.5 $ 5,542.0 $ 5,666.1 $ 4,755.2 $ 5,720.9 Corporate debt to capital 18.9% 17.8% 17.5% 20.8% 17.3% Corporate notes payable$ 988.3 $ 988.7 $ 989.1 $ 989.4 $ 989.7 Total shareholders' equity 4,252.2 4,553.3 4,677.0 3,765.8 4,731.2 Less accumulated other comprehensive income (1,098.2) (1,442.9) (1,372.5) (595.2) (1,520.2) Total capital$ 4,142.3 $ 4,099.1 $ 4,293.6 $ 4,160.0 $ 4,200.7 Debt to total capital ratio, excluding AOCI (a non-GAAP financial measure) 23.9% 24.1% 23.0% 23.8% 23.6% CNO Financial Group | Second Quarter 2020 Earnings | August 4, 2020 45