cno-20211027
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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): October 27, 2021

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

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

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

Securities registered pursuant to Section 12(b) of the Act:
Title of each classTrading SymbolName of each exchange on which registered
Common Stock, par value $0.01 per shareCNONew York Stock Exchange
Rights to purchase Series E Junior Participating Preferred StockNew York Stock Exchange
5.125% Subordinated Debentures due 2060CNOpANew 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 October 27, 2021, CNO Financial Group, Inc. ("CNO" or the "Company") issued: (i) a press release announcing its financial results for the quarter ended September 30, 2021, a copy of which is attached hereto as Exhibit 99.1 and is incorporated herein by reference; (ii) the Quarterly Financial Supplement for September 30, 2021, a copy of which is attached hereto as Exhibit 99.2 and is incorporated herein by reference; and (iii) additional financial information related to its financial and operating results for the quarter ended September 30, 2021, a copy of which is attached hereto as Exhibit 99.3 and is incorporated herein by reference.

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

Item 9.01(d).Financial Statements and Exhibits.

The following materials are furnished as exhibits to this Current Report on Form 8-K:
99.1
99.2
99.3
104Cover Page Interactive Data File (embedded within the Inline XBRL document).





2



SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized.
CNO Financial Group, Inc.
Date: October 27, 2021
By:/s/ John R. Kline
John R. Kline
Senior Vice President and
Chief Accounting Officer




3

Exhibit 99.1

cnologopra.jpg                            News

For Immediate Release

CNO Financial Group Reports Third Quarter 2021 Results
Solid third quarter performance; sales and collected premiums exceed pre-pandemic levels;
completed $115 million in share repurchases

Carmel, Ind., October 27, 2021 - CNO Financial Group, Inc. (NYSE: CNO) today announced that for the quarter ending September 30, 2021, net income was $99.8 million, or $0.77 per diluted share, compared to a net income of $129.2 million, or $0.91 per diluted share, in 3Q20. Net operating income (1) in 3Q21 was $92.8 million, or $0.72 per diluted share, compared to $112.6 million, or $0.79 per diluted share, in 3Q20.

"CNO reported another successful quarter," said Gary C. Bhojwani, chief executive officer. "We continue to benefit from the outstanding work and customer commitment of our associates and agents. Our results reflect the consistent execution of our strategy, particularly within our direct-to-consumer business. Earnings continued to benefit from deferral of care within our health lines and very strong alternative investment performance. We approach the end of the year on solid footing and remain well-positioned to serve our clients and communities, and generate value for our shareholders."

Third Quarter 2021 Highlights

•Earnings per diluted share of $0.77 in 3Q21, down $0.14 compared to 3Q20

•Operating (1) EPS of $0.72 in 3Q21, down $0.07 compared to 3Q20, consistent with the reduced net favorable impacts from COVID-19

•Favorable COVID-19 impact on insurance product margins of $18.0 million after-tax, or $0.14 per diluted share, in 3Q21, down $15 million, or $0.09 per diluted share, compared to 3Q20

•Direct-to-consumer life insurance new annualized premiums (NAP) (4) up 13% from 3Q20, up 38% from 3Q19

•Annuity collected premiums up 17% from 3Q20, up 2% from 3Q19

•Returned $131.3 million to shareholders in the form of share repurchases ($115.0 million) and dividends ($16.3 million); reduced weighted average share count by 9% since 3Q20

•Book value per share was $42.11, up 15% from 3Q20; book value per diluted share, excluding accumulated other comprehensive income (2), was $26.03, up 11% from 3Q20

•Return on equity (ROE) of 8.4%; operating ROE, as adjusted (6), of 11.5%



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

Net operating income, a non-GAAP(a) financial measure, is used consistently by CNO’s management to evaluate the operating performance of the Company and is a measure commonly used in the life insurance industry. It differs from net income primarily because it excludes certain non-operating items such as realized investment gains (losses), changes in fair values of embedded derivatives, equity securities and the liability for a deferred compensation plan, and certain significant and unusual items included in net income. Management believes an analysis of net operating income is important in understanding the profitability and operating trends of the Company’s business. Net income is the most directly comparable GAAP measure.
Per diluted share
Quarter endedQuarter ended
September 30,September 30,
20212020% change20212020% change
Income from insurance products (b)
$0.64 $0.81 (21)$83.1 $114.5 (27)
Fee income0.02 — — 2.6 0.8 225 
Investment income not allocated to product lines (c)
0.40 0.31 29 50.9 43.7 16 
Expenses not allocated to product lines(0.13)(0.10)(30)(17.3)(13.7)(26)
Operating earnings before taxes0.93 1.02 119.3 145.3 
Income tax expense on operating income(0.21)(0.23)(9)(26.5)(32.7)(19)
Net operating income (1)0.72 0.79 (9)92.8 112.6 (18)
Net realized investment gains from sales, impairments and change in allowance for credit losses (net of related amortization)0.02 0.05 2.2 7.7 
Net change in market value of investments recognized in earnings(0.04)0.06 (4.6)8.5 
Fair value changes in embedded derivative liabilities (net of related amortization)0.09 (0.01)10.9 (1.6)
Other— 0.05 0.2 6.5 
Non-operating income before taxes0.07 0.15 8.7 21.1 
Income tax expense on non-operating income(0.02)(0.03)(1.7)(4.5)
Net non-operating income0.05 0.12 7.0 16.6 
Net income$0.77 $0.91 $99.8 $129.2 
Weighted average diluted shares outstanding129.0 141.7 

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

2

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

Shareholders’ equity, excluding accumulated other comprehensive income, and book value per share, excluding accumulated other comprehensive income, are non-GAAP measures that are utilized by management to view the business without the effect of accumulated other comprehensive income which is primarily attributable to fluctuations in interest rates associated with fixed maturities, available for sale. Management views the business in this manner because the Company has the ability and generally, the intent, to hold investments to maturity and meaningful trends can be more easily identified without the fluctuations.
______________________________________________________________________________________________________
Quarter ended
September 30,
20212020
Trailing twelve months return on equity (a)
8.4 %10.4 %
Trailing twelve months operating return on equity, excluding accumulated other comprehensive income (loss) and net operating loss carryforwards (a non-GAAP financial measure) (6)11.5 %12.9 %
Trailing twelve months operating return, excluding significant items, on equity, excluding accumulated other comprehensive income (loss) and net operating loss carryforwards (a non-GAAP financial measure) (6)11.6 %11.9 %
Shareholders’ equity$5,232.9 $5,083.9 
Accumulated other comprehensive income(1,929.7)(1,801.6)
Shareholders’ equity, excluding accumulated other comprehensive income3,303.2 3,282.3 
Net operating loss carryforwards(266.9)(377.2)
Shareholders' equity, excluding accumulated other comprehensive income and net operating loss carryforwards$3,036.3 $2,905.1 
Book value per diluted share$41.23 $36.32 
Accumulated other comprehensive income(15.20)(12.87)
Book value per diluted share, excluding accumulated other comprehensive income (a non-GAAP financial measure) (2)$26.03 $23.45 

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

3

INSURANCE OPERATIONS


Annuity products accounted for 23 percent of the Company’s margin for the quarter.

Annuity premiums collected increased 17 percent and annuity account values increased 7 percent in 3Q21 compared to 3Q20.

Health products accounted for 53 percent of the Company’s insurance margin for the quarter and 66 percent of insurance policy income.

Life products accounted for 24 percent of the Company’s insurance margin for the quarter and 33 percent of insurance policy income.

Sales of health products were down 1 percent and sales of life products were up 2 percent in 3Q21 compared to 3Q20.

ANNUITY COLLECTED PREMIUMS
(Dollars in millions)
(Unaudited)
Quarter ended September 30,
20212020% change
Annuity collected premiums$333.3 $285.1 17 


INSURANCE POLICY INCOME
(Dollars in millions)
(Unaudited)
Quarter ended September 30,
20212020% change
Annuity$5.8 $4.3 35 
Health414.4 421.4 (2)
Life210.4 202.6 4 
Total insurance policy income$630.6 $628.3 — 


SALES MEASURED AS NEW ANNUALIZED PREMIUMS FOR
LIFE AND HEALTH PRODUCTS
(Dollars in millions)
(Unaudited)
Quarter ended September 30,
20212020% change
Health$39.2 $39.4 (1)
Life45.4 44.3 2 
Total new annualized premiums (4)$84.6 $83.7 1 


4

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


Insurance margin is management’s measure of profitability of its annuity, health and life segments’ performance and consists of premiums plus allocated investment income less insurance policy benefits, interest credited, commissions, advertising expense and amortization of acquisition costs. Income from insurance products is the sum of the insurance margins of the annuity, health and life segments, less allocated insurance administrative expenses. It excludes the fee income segment, investment income not allocated to product lines, expenses not allocated to product lines and income taxes. Management believes this information helps provide a better understanding of the business and a more meaningful analysis of our operations. Insurance income, a non-GAAP measure, is a component of net operating income, which is reconciled to net income in the Financial Summary section above.
Quarter ended
September 30,
2021		% of insurance policy incomeSeptember 30,
2020		% of insurance policy income% change
Margin
Annuity interest margin$52.5 $45.3 16 
Life insurance interest margin1.7 0.7 143 
Total interest-sensitive margin54.2 46.0 18 
Insurance margin
Health117.9 28 152.2 36 (23)
Life (a)51.5 24 46.6 23 11 
Total other insurance margin169.4 27 198.8 32 (15)
Total insurance margin223.6 244.8 
Allocated expenses(140.5)(130.3)
Income from insurance products$83.1 $114.5 
Per diluted share$0.64 $0.81 
Weighted average diluted shares129.0 141.7 


(a)    Net of $19.7 million and $14.2 million of non-deferred television advertising expense related to our direct distribution channel in the 2021 and 2020 periods, respectively.
    

Total allocated expenses were $140.5 million, up 8 percent from the year-ago quarter.




5

ANNUITY RESULTS BY PRODUCT TYPE
(Dollars in millions)
(Unaudited)
Annuity margin
Quarter ended
September 30,
20212020
Fixed index annuities$42.4 $36.6 
Fixed interest annuities8.6 9.2 
Other annuities1.5 (0.5)
Total$52.5 $45.3 

Annuity collected premiums
Quarter ended
September 30,
20212020
Annuity collected premiums$333.3 $285.1 

Average net insurance liabilities (5)
Quarter ended
September 30,
20212020
Fixed index annuities$7,881.9 $7,173.9 
Fixed interest annuities1,856.3 2,041.6 
Other annuities501.6 524.0 
Total$10,239.8 $9,739.5 

Margin/average net insurance liabilities (a)
Quarter ended
September 30,
20212020
Fixed index annuities2.15 %2.04 %
Fixed interest annuities1.85 %1.80 %
Other annuities1.20 %(0.38)%
Total2.05 %1.86 %

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


6

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

Health margin
Quarter ended
September 30,
20212020
Amount% of insurance policy incomeAmount% of insurance policy income% change
Supplemental health and other health$50.9 30 $51.1 30 — 
Medicare supplement37.3 21 71.7 39 (48)
Long-term care29.7 45 29.4 44 1 
Total$117.9 28 $152.2 36 (23)


Health insurance policy income
Quarter ended
September 30,
20212020% change
Supplemental health and other health$171.2 $169.2 1 
Medicare supplement177.4 186.1 (5)
Long-term care65.8 66.1 — 
Total$414.4 $421.4 (2)

Health NAP (4)
Quarter ended
September 30,
20212020% change
Supplemental health and other health$22.4 $21.3 5 
Medicare supplement8.0 11.0 (27)
Long-term care8.8 7.1 24 
Total$39.2 $39.4 (1)
7

LIFE INSURANCE RESULTS BY PRODUCT TYPE
(Dollars in millions)
(Unaudited)
Life margin
Quarter ended
September 30,
20212020
Amount% of insurance policy incomeAmount% of insurance policy income% change
Life insurance interest margin$1.7 $0.7 143 
Life insurance margin:
Traditional life33.2 20 29.4 18 13 
Interest sensitive life18.3 43 17.2 43 6 
Subtotal51.5 24 46.6 23 11 
Total margin$53.2 $47.3 12 

Life insurance policy income
Quarter ended
September 30,
20212020% change
Traditional life$168.1 $162.5 3 
Interest sensitive life42.3 40.1 5 
Total$210.4 $202.6 4 

Life NAP (4)
Quarter ended
September 30,
20212020% change
Traditional life$38.2 $37.7 1 
Interest sensitive life7.2 6.6 9 
Total$45.4 $44.3 2 

Average net insurance liabilities (5) and interest margin
Quarter ended
September 30,
20212020% change
Interest sensitive life products$983.8 $926.7 6 
Interest margin/average net insurance liabilities (5)0.69 %0.30 %130 






8

QUARTERLY AVERAGE EXCLUSIVE PRODUCING AGENTS

Average Exclusive Producing Agent Count
Quarter ended
September 30,%
20212020change
Consumer
Field agents (a) (c)4,168 4,448 (6)
Tele-sales agents235 239 (2)
Total agents4,403 4,687 (6)
Registered agents (b) (c)646 618 5 
Worksite (a) (c)
229 242 (5)
____________________
(a) Producing agents are exclusive agents that have submitted at least one policy in the month.
(b) Registered agents are dually licensed as insurance agents and financial representatives who can buy and sell
securities for clients, and/or investment advisors who can provide ongoing investment advice for clients.
(c) Agent counts represent the average of the last 3 months.


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

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

Quarter ended September 30,
20212020% change
Net investment income$308.2 $343.5 (10)
Allocated to product lines:
Annuity(115.5)(115.6)— 
Health(72.2)(70.9)2 
Life(36.4)(35.2)3 
Equity returns credited to policyholder account balances(7.2)(46.0)(84)
Amounts allocated to product lines and credited to policyholder account balances(231.3)(267.7)(14)
Amount related to variable interest entities and other non-operating items(7.1)(9.8)(28)
Interest expense on corporate debt(15.6)(13.6)15 
Interest expense on investment borrowings(2.3)(3.4)(32)
Less amounts credited to deferred compensation plans (offsetting investment income)(1.0)(5.3)(81)
Total adjustments(26.0)(32.1)
Investment income not allocated to product lines$50.9 $43.7 16 
Per diluted share$0.40 $0.31 


9

INVESTMENT PORTFOLIO
(Dollars in millions)

The composition of the investment portfolio at September 30, 2021 is as follows:
$% of total
Fixed maturities, available for sale, at fair value$24,142.0 86 
Equity securities at fair value146.4 1 
Mortgage loans1,211.0 4 
Policy loans119.7 — 
Trading securities243.6 1 
Investments held by variable interest entities1,221.3 4 
Other invested assets1,172.6 4 
Total investment portfolio$28,256.6 100 

Fixed maturities, available for sale, at amortized cost by asset class as of September 30, 2021 are as follows:
Investment gradeBelow investment gradeTotal
Corporate securities$12,231.6 $777.9 $13,009.5 
United States Treasury securities and obligations of the United States government and agencies165.3 — 165.3 
States and political subdivisions2,527.0 12.5 2,539.5 
Foreign governments83.0 — 83.0 
Asset-backed securities887.5 101.3 988.8 
Agency residential mortgage-backed securities40.7 — 40.7 
Non-agency residential mortgage-backed securities940.4 820.6 (a)1,761.0 
Collateralized loan obligations509.3 13.1 522.4 
Commercial mortgage-backed securities1,951.3 89.5 2,040.8 
Total$19,336.1 $1,814.9 $21,151.0 

____________________
(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 $24.1 billion compared with an amortized cost of $21.2 billion. Net unrealized gains were comprised of gross unrealized gains of $3.0 billion and gross unrealized losses of $32 million. The allowance for credit losses was $5.4 million at September 30, 2021.

At amortized cost and fair value, 91 percent and 92 percent of fixed maturities, available for sale, were rated “investment grade”, respectively.

Acquisitions of fixed maturity investments during the quarter totaled $1.5 billion. Comparable information for acquisitions of fixed maturity investments is as follows:
Fixed maturity acquisitions
Quarter ended
September 30,
20212020
Total fixed maturity acquisitions (dollars in millions)$1,512.5 $1,208.7 
Annual effective yield3.09 3.26 
Average ratingBBB+BBB+
Average life (in years)8.4 5.8 

10

Non-Operating Items
Net realized investment gains in 3Q21 were $2.2 million (net of related amortization) including the unfavorable change in the allowance for credit losses of $1.4 million which was recorded in earnings. Net realized investment gains in 3Q20 were $7.7 million (net of related amortization) including the favorable change in the allowance for credit losses of $8.1 million which was recorded in earnings.

During 3Q21 and 3Q20, we recognized an increase (decrease) in earnings of ($4.6) million and $8.5 million, respectively, due to the net change in market value of investments recognized in earnings.

During 3Q21 and 3Q20, we recognized an increase (decrease) in earnings of $10.9 million and ($1.6) 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.

Statutory (based on non-GAAP measures) and GAAP Capital Information
Our consolidated statutory risk-based capital ratio was estimated at 388% at September 30, 2021, reflecting estimated 3Q21 statutory operating income of $86 million (and $201 million in the first nine months of 2021) and the payment of insurance company dividends to the holding company of $148.7 million during 3Q21 (and $328.3 million in the first nine months of 2021).

During the third quarter of 2021, we repurchased $115.0 million of common stock under our securities repurchase program. We repurchased 4.9 million common shares at an average cost of $23.42 per share. As of September 30, 2021, we had 124.3 million shares outstanding and had authority to repurchase up to an additional $466.9 million of our common stock. During 3Q21, dividends paid on common stock totaled $16.3 million.

Unrestricted cash and investments held by our holding company were $366 million at September 30, 2021, compared to $388 million at December 31, 2020.

Book value per common share was $42.11 at September 30, 2021 compared to $40.54 at December 31, 2020. Book value per diluted share, excluding accumulated other comprehensive income (2), was $26.03 at September 30, 2021, compared to $23.95 at December 31, 2020.

The debt-to-capital ratio was 17.8 percent and 17.2 percent at September 30, 2021 and December 31, 2020, respectively. Our debt-to-total capital ratio, excluding accumulated other comprehensive income (3) was 25.6 percent at both September 30, 2021 and December 31, 2020.

Return on equity for the trailing four quarters ended September 30, 2021 and 2020, was 8.4% and 10.4%, respectively. Operating return, excluding significant items, on equity, excluding accumulated other comprehensive income and net operating loss carryforwards (6) for the trailing four quarters ended September 30, 2021 and 2020, was 11.6% and 11.9%, 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.


11

CAUTION REGARDING FORWARD-LOOKING STATEMENTS:

This press release may contain forward-looking statements within the meaning of federal securities laws. These prospective statements reflect management’s current expectations, but are not guarantees of future performance. Accordingly, please refer to CNO’s cautionary statement regarding forward-looking statements, and the business environment in which the Company operates, contained in the Company’s Form 10-K for the year ended December 31, 2020 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 October 28, 2021 at 11:00 a.m. Eastern Time. During the call, we will be referring to a presentation that will be available at the Investors section of the company's website.

To participate by dial-in, please register at http://www.directeventreg.com/registration/event/1989231. 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.


ABOUT CNO FINANCIAL GROUP

CNO Financial Group, Inc. (NYSE: CNO) secures the future of middle-income America. CNO provides life and health insurance, annuities, financial services, and workforce benefits solutions through our family of brands, including Bankers Life, Colonial Penn and Washington National. Our customers work hard to save for the future, and we help protect their health, income and retirement needs with 3.2 million policies and $35 billion in total assets. Our 3,400 associates, 4,600 exclusive agents and 4,000 independent partner agents guide individuals, families and businesses through a lifetime of financial decisions. For more information, visit CNOinc.com.
12

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

September 30,
2021		December 31,
2020
ASSETS
Investments:
Fixed maturities, available for sale, at fair value (net of allowance for credit losses: September 30, 2021 - $5.4 and December 31, 2020 - $2.2; amortized cost: September 30, 2021 - $21,151.0 and December 31, 2020 - $19,921.1)$24,142.0 $23,383.6 
Equity securities at fair value146.4 151.2 
Mortgage loans (net of allowance for credit losses: September 30, 2021 - $7.3 and December 31, 2020 - $11.8)1,211.0 1,358.7 
Policy loans119.7 123.0 
Trading securities243.6 232.0 
Investments held by variable interest entities (net of allowance for credit losses: September 30, 2021 - $2.5 and December 31, 2020 - $15.1; amortized cost: September 30, 2021 - $1,225.3 and December 31, 2020 - $1,211.3)1,221.3 1,189.4 
Other invested assets1,172.6 1,146.4 
Total investments28,256.6 27,584.3 
Cash and cash equivalents - unrestricted742.1 937.8 
Cash and cash equivalents held by variable interest entities70.5 54.1 
Accrued investment income218.1 205.8 
Present value of future profits229.0 249.4 
Deferred acquisition costs1,082.7 1,027.8 
Reinsurance receivables (net of allowance for credit losses: September 30, 2021 - $4.0 and December 31, 2020 - $4.0)4,409.7 4,584.3 
Income tax assets, net145.7 199.4 
Assets held in separate accounts4.5 4.2 
Other assets554.8 492.8 
Total assets$35,713.7 $35,339.9 
LIABILITIES AND SHAREHOLDERS' EQUITY
Liabilities: 
Liabilities for insurance products: 
Policyholder account liabilities$12,992.0 $12,540.6 
Future policy benefits11,699.7 11,744.2 
Liability for policy and contract claims512.3 561.8 
Unearned and advanced premiums247.5 252.6 
Liabilities related to separate accounts4.5 4.2 
Other liabilities995.3 821.8 
Investment borrowings1,741.1 1,642.5 
Borrowings related to variable interest entities1,151.4 1,151.8 
Notes payable – direct corporate obligations1,137.0 1,136.2 
Total liabilities30,480.8 29,855.7 
Commitments and Contingencies
Shareholders' equity: 
Common stock ($0.01 par value, 8,000,000,000 shares authorized, shares issued and outstanding: September 30, 2021 – 124,269,869; December 31, 2020 – 135,279,119)1.2 1.3 
Additional paid-in capital2,274.6 2,544.5 
Accumulated other comprehensive income1,929.7 2,186.1 
Retained earnings1,027.4 752.3 
Total shareholders' equity5,232.9 5,484.2 
Total liabilities and shareholders' equity$35,713.7 $35,339.9 

13

CNO FINANCIAL GROUP, INC. AND SUBSIDIARIES
CONSOLIDATED STATEMENT OF OPERATIONS
(Dollars in millions, except per share data)
(unaudited)
Three months endedNine months ended
September 30,September 30,
 2021202020212020
Revenues:  
Insurance policy income$630.6 $628.3 $1,893.5 $1,882.3 
Net investment income:
General account assets289.5 276.9 854.3 788.9 
Policyholder and other special-purpose portfolios18.7 66.6 171.3 43.0 
Realized investment gains (losses):
Net realized investment gains (losses)(.9)8.2 12.3 (24.0)
Change in allowance for credit losses and other-than-temporary impairment losses(1.4)8.1 13.9 (31.4)
Total realized gains (losses)(2.3)16.3 26.2 (55.4)
Fee revenue and other income31.8 25.4 102.1 86.1 
Total revenues968.3 1,013.5 3,047.4 2,744.9 
Benefits and expenses:    
Insurance policy benefits524.8 560.7 1,641.3 1,591.8 
Interest expense23.7 23.7 71.8 85.5 
Amortization57.9 53.5 200.2 192.2 
Other operating costs and expenses233.9 209.2 714.5 674.6 
Total benefits and expenses840.3 847.1 2,627.8 2,544.1 
Income before income taxes128.0 166.4 419.6 200.8 
Income tax expense (benefit):
Tax expense on period income28.2 37.2 94.4 44.8 
Valuation allowance for deferred tax assets and other tax items— — — (34.0)
Net income$99.8 $129.2 $325.2 $190.0 
Earnings per common share:  
Basic:  
Weighted average shares outstanding126,429,000 140,900,000 130,528,000 143,384,000 
Net income$.79 $.92 $2.49 $1.33 
Diluted:
Weighted average shares outstanding129,018,000 141,730,000 133,162,000 144,090,000 
Net income$.77 $.91 $2.44 $1.32 


14

NOTES
(1)Management believes that an analysis of Net income applicable to common stock before: (i) net realized investment gains or losses from sales, impairments and the change in allowance for credit losses, net of related amortization and taxes; (ii) net change in market value of investments recognized in earnings, net of taxes; (iii) fair value changes due to fluctuations in the interest rates used to discount embedded derivative liabilities related to our fixed index annuities, net of related amortization and taxes; (iv) fair value changes related to the agent deferred compensation plan, net of taxes; (v) loss on extinguishment of debt, net of taxes; (vi) changes in the valuation allowance for deferred tax assets and other tax items; and (viii) other non-operating items consisting primarily of earnings attributable to variable interest entities, net of taxes ("Net operating income," a non-GAAP financial measure) is important to evaluate the financial performance of the company, and is a key measure commonly used in the life insurance industry. Management uses this measure to evaluate performance because the items excluded from net operating income can be affected by events that are unrelated to the company's underlying fundamentals. A reconciliation of Net operating income to Net income applicable to common stock is provided in the table on page 2. Additional information concerning this non-GAAP measure is included in our periodic filings with the Securities and Exchange Commission that are available in the "Investors - SEC Filings" section of CNO's website, CNOinc.com.
(2)Book value per diluted share reflects the potential dilution that could occur if outstanding stock options were exercised and restricted stock and performance units were vested. The dilution from options, restricted shares and performance units is calculated using the treasury stock method. Under this method, we assume the proceeds from the exercise of the options (or the unrecognized compensation expense with respect to restricted stock and performance units) will be used to purchase shares of our common stock at the closing market price on the last day of the period. 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 premiums for life and health products, which includes 10% of single premium whole life deposits and 100% of all other premiums (excluding annuities). Sales of third-party products are excluded.
(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
3Q213Q20
Net operating income$343.1 $354.9 
Net operating income, excluding significant items$348.6 $329.3 
Net income$437.0 $468.0 
Average common equity, excluding accumulated other
comprehensive income (loss) and net operating loss
carryforwards (a non-GAAP financial measure)$2,995.5 $2,760.6 
Average common shareholders' equity$5,206.8 $4,498.2 
Operating return on equity, excluding accumulated other
comprehensive income (loss) and net operating loss
carryforwards (a non-GAAP financial measure)11.5 %12.9 %
Operating return, excluding significant items, on equity, excluding
accumulated other comprehensive income (loss) and net
operating loss carryforwards (a non-GAAP financial measure)11.6 %11.9 %
Return on equity8.4 %10.4 %

15

The following summarizes: (i) operating earnings; (ii) significant items; (iii) operating earnings, excluding significant items; and (iv) net income (loss) (dollars in millions):
Net operating
Net operatingincome,
income,excludingNet
excludingsignificantincome (loss) -
Net operatingSignificantsignificantitems - trailingNettrailing
incomeitemsitems (a)four quartersincome (loss)four quarters
4Q19$78.6 $(7.9)(b)$70.7 $282.1 $278.0 $409.4 
1Q2084.3 — 84.3 300.6 (21.2)336.4 
2Q2079.4 (17.7)(c)61.7 285.9 82.0 380.8 
3Q20112.6 — 112.6 329.3 129.2 468.0 
4Q2086.0 (6.4)(d)79.6 338.2 111.8 301.8 
1Q2175.2 6.1 (e)81.3 335.2 147.4 470.4 
2Q2189.1 3.5 (f)92.6 366.1 78.0 466.4 
3Q2192.8 2.3 (g)95.1 348.6 99.8 437.0 
(a) See note (7) for additional information.
(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.
(d) Comprised of: (i) $11.8 million of net favorable adjustments arising from our review of actuarial assumptions; (ii) $3.7 million unfavorable impact related to asset impairments; and (iii) an increase in tax expense of $1.7 million.
(e) Comprised of: (i) $5.3 million from legal and regulatory matters; (ii) $2.5 million of transaction expenses related to the previously announced acquisition of DirectPath, LLC; and (iii) a decrease in tax expense of $1.7 million.
(f) Comprised of: (i) $4.5 million from legal and regulatory matters; and (ii) a decrease in tax expense of $1.0 million.
(g) Comprised of: (i) $3.0 million from legal and regulatory matters; and (ii) a decrease in tax expense of $.7 million.

A reconciliation of pre-tax operating earnings (a non-GAAP financial measure) to net income (loss) is as follows (dollars in millions):
Twelve months ended
3Q213Q20
Pre-tax operating earnings (a non-GAAP financial measure)$442.6 $453.3 
Income tax expense(99.5)(98.4)
Net operating income343.1 354.9 
Non-operating items:
Net realized investment gains (losses) from sales, impairments and change in allowance for credit losses, net of related amortization42.7 (36.6)
Net change in market value of investments recognized in earnings.7 (11.3)
Fair value changes in embedded derivative liabilities, net of related amortization64.4 (82.0)
Fair value changes related to the agent deferred compensation plan10.1 (10.7)
Other2.6 (4.5)
Non-operating income (loss) before taxes120.5 (145.1)
Income tax (expense) benefit:
    On non-operating income (loss)(26.6)30.5 
    Valuation allowance for deferred tax assets and other tax items— 227.7 
Net non-operating income93.9 113.1 
Net income$437.0 $468.0 
16

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):
1Q192Q193Q194Q19
Consolidated capital, excluding accumulated other comprehensive
income (loss) and net operating loss carryforwards
(a non-GAAP financial measure)$2,703.4 $2,702.9 $2,685.0 $2,761.9 
Net operating loss carryforwards479.6 451.1 425.4 542.6 
Accumulated other comprehensive income654.9 1,098.2 1,442.9 1,372.5 
Common shareholders' equity$3,837.9 $4,252.2 $4,553.3 $4,677.0 
1Q202Q203Q204Q20
Consolidated capital, excluding accumulated other comprehensive
income (loss) and net operating loss carryforwards
(a non-GAAP financial measure)$2,701.2 $2,784.2 $2,905.1 $2,956.2 
Net operating loss carryforwards469.4 426.8 377.2 341.9 
Accumulated other comprehensive income595.2 1,520.2 1,801.6 2,186.1 
Common shareholders' equity$3,765.8 $4,731.2 $5,083.9 $5,484.2 
1Q212Q213Q21
Consolidated capital, excluding accumulated other comprehensive
income (loss) and net operating loss carryforwards
(a non-GAAP financial measure)$3,019.5 $3,035.6 $3,036.3 
Net operating loss carryforwards323.1 292.9 266.9 
Accumulated other comprehensive income1,518.1 1,995.5 1,929.7 
Common shareholders' equity$4,860.7 $5,324.0 $5,232.9 

A reconciliation of consolidated capital, excluding accumulated other comprehensive income (loss) and net operating loss carryforwards (a non-GAAP financial measure) to common shareholders’ equity, is as follows (dollars in millions):
Trailing four quarter average
3Q213Q20
Consolidated capital, excluding accumulated other comprehensive
income (loss) and net operating loss carryforwards
(a non-GAAP financial measure)$2,995.5 $2,760.6 
Net operating loss carryforwards320.0 460.0 
Accumulated other comprehensive income1,891.3 1,277.6 
Common shareholders' equity$5,206.8 $4,498.2 


17

(7)    The tables below summarize the financial impact of significant items on our 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 data).

Three months ended
September 30, 2021
Actual resultsSignificant itemsExcluding significant
items
Insurance product margin
Annuity margin$52.5 $— $52.5 
Health margin117.9 — 117.9 
Life margin53.2 — 53.2 
Total insurance product margin223.6 — 223.6 
Allocated expenses(140.5)— (140.5)
Income from insurance products83.1 — 83.1 
Fee income2.6 — 2.6 
Investment income not allocated to product lines50.9 — 50.9 
Expenses not allocated to product lines(17.3)3.0 (a)(14.3)
Operating earnings before taxes119.3 3.0 122.3 
Income tax (expense) benefit on operating income(26.5)(0.7)(27.2)
Net operating income$92.8 $2.3 $95.1 
Net operating income per diluted share$0.72 $0.02 $0.74 
___________
(a)Comprised of $3.0 million from legal and regulatory matters.


Three months ended
June 30, 2021
Actual resultsSignificant itemsExcluding significant
items
Insurance product margin
Annuity margin$66.0 $— $66.0 
Health margin120.9 — 120.9 
Life margin39.7 — 39.7 
Total insurance product margin226.6 — 226.6 
Allocated expenses(141.6)— (141.6)
Income from insurance products85.0 — 85.0 
Fee income6.6 — 6.6 
Investment income not allocated to product lines47.8 — 47.8 
Expenses not allocated to product lines(23.8)4.5 (a)(19.3)
Operating earnings before taxes115.6 4.5 120.1 
Income tax (expense) benefit on operating income(26.5)(1.0)(27.5)
Net operating income$89.1 $3.5 $92.6 
Net operating income per diluted share$0.66 $0.03 $0.69 
___________
(a)Comprised of $4.5 million from legal and regulatory matters.


18

Three months ended
March 31, 2021
Actual resultsSignificant itemsExcluding significant
items
Insurance product margin
Annuity margin$57.9 $— $57.9 
Health margin124.7 — 124.7 
Life margin27.1 — 27.1 
Total insurance product margin209.7 — 209.7 
Allocated expenses(141.1)— (141.1)
Income from insurance products68.6 — 68.6 
Fee income7.3 — 7.3 
Investment income not allocated to product lines43.0 — 43.0 
Expenses not allocated to product lines(22.0)7.8 (a)(14.2)
Operating earnings before taxes96.9 7.8 104.7 
Income tax (expense) benefit on operating income(21.7)(1.7)(23.4)
Net operating income$75.2 $6.1 $81.3 
Net operating income per diluted share$0.55 $0.04 $0.59 
___________
(a)Comprised of: (i) $5.3 million from legal and regulatory matters; and (ii) $2.5 million of transaction expenses related to the previously announced acquisition of DirectPath, LLC. The legal and regulatory matters primarily consist of an increase to our liability for claims and interest pursuant to the Global Resolution Agreement, as we have now processed and verified most of the claims provided by the third party auditor allowing us to more accurately estimate the ultimate liability.

Three months ended
December 31, 2020
Actual resultsSignificant itemsExcluding significant
items
Insurance product margin
Annuity margin$68.1 $(16.1)(a)$52.0 
Health margin125.2 — 125.2 
Life margin37.3 4.3 (a)41.6 
Total insurance product margin230.6 (11.8)218.8 
Allocated expenses(162.7)— (162.7)
Income from insurance products67.9 (11.8)56.1 
Fee income2.9 — 2.9 
Investment income not allocated to product lines57.8 — 57.8 
Expenses not allocated to product lines(17.8)3.7 (b)(14.1)
Operating earnings before taxes110.8 (8.1)102.7 
Income tax (expense) benefit on operating income(24.8)1.7 (23.1)
Net operating income$86.0 $(6.4)$79.6 
Net operating income per diluted share$0.61 $(0.04)$0.57 
___________
(a)Adjustments arising from our comprehensive annual actuarial review of assumptions.
(b)Unfavorable impact related to asset impairments.


19

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

20

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



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


21

Exhibit 99.2



cnologosuppa.jpg


Quarterly Financial Supplement - 3Q2021
October 27, 2021

Page 1

Table of ContentsPage
Consolidated balance sheet3
Consolidated statement of operations4
Financial summary5
Insurance operations6
Margin from insurance products7-9
Estimated impacts of COVID-19 on insurance product margins10
Collected premiums from annuity and interest sensitive life products and insurance policy income11
Health and life new annualized premiums12
Computation of weighted average shares outstanding13
Annuities - account value rollforwards14
Statutory information15
Investment income not allocated to product lines and investment income allocated to product lines16-19
Other investment data19
Significant items20-23
Notes24

Page 2

CNO FINANCIAL GROUP, INC.
CONSOLIDATED BALANCE SHEET
(Dollars in millions)
(Unaudited)
Mar-20Jun-20Sep-20Dec-20Mar-21Jun-21Sep-21
Assets
Investments:
  Fixed maturities, available for sale, at fair value$20,379.1 $22,167.9 $22,702.9 $23,383.6 $22,610.4 $23,806.6 $24,142.0 
  Equity securities at fair value50.1 60.5 62.1 151.2 164.4 149.3 146.4 
  Mortgage loans1,484.1 1,459.9 1,444.9 1,358.7 1,297.7 1,276.9 1,211.0 
  Policy loans124.7 124.3 123.6 123.0 121.0 120.3 119.7 
  Trading securities227.8 240.6 240.3 232.0 242.6 247.0 243.6 
  Investments held by variable interest entities1,038.1 1,137.4 1,172.6 1,189.4 1,224.0 1,233.5 1,221.3 
  Other invested assets953.3 993.8 1,070.6 1,146.4 1,195.1 1,226.0 1,172.6 
  Total investments24,257.2 26,184.4 26,817.0 27,584.3 26,855.2 28,059.6 28,256.6 
Cash and cash equivalents - unrestricted482.0 521.1 735.6 937.8 662.9 652.5 742.1 
Cash and cash equivalents held by variable interest entities68.5 36.8 51.0 54.1 76.0 62.3 70.5 
Accrued investment income213.0 205.3 214.4 205.8 216.8 210.7 218.1 
Present value of future profits282.2 263.4 255.9 249.4 241.3 235.2 229.0 
Deferred acquisition costs1,398.6 1,120.9 1,084.0 1,027.8 1,168.4 1,051.4 1,082.7 
Reinsurance receivables4,727.5 4,712.6 4,613.1 4,584.3 4,509.3 4,460.9 4,409.7 
Income tax assets, net703.2 428.8 322.0 199.4 358.2 218.6 145.7 
Assets held in separate accounts3.2 3.7 3.9 4.2 4.3 4.5 4.5 
Other assets599.6 502.5 472.3 492.8 567.1 564.0 554.8 
Total assets$32,735.0 $33,979.5 $34,569.2 $35,339.9 $34,659.5 $35,519.7 $35,713.7 
Liabilities
Liabilities for insurance products:
  Policyholder account liabilities$12,138.1 $12,171.3 $12,357.5 $12,540.6 $12,571.3 $12,840.8 $12,992.0 
  Future policy benefits11,429.9 11,767.5 11,753.1 11,744.2 11,546.6 11,689.8 11,699.7 
  Liability for policy and contract claims510.7 488.6 473.2 561.8 558.7 528.3 512.3 
  Unearned and advanced premiums251.0 243.6 256.8 252.6 262.4 255.8 247.5 
  Liabilities related to separate accounts3.2 3.7 3.9 4.2 4.3 4.5 4.5 
Other liabilities850.7 788.3 855.8 821.8 925.2 946.5 995.3 
Investment borrowings1,643.9 1,643.4 1,642.9 1,642.5 1,642.0 1,641.5 1,741.1 
Borrowings related to variable interest entities1,152.3 1,152.2 1,152.0 1,151.8 1,151.7 1,151.6 1,151.4 
Notes payable - direct corporate obligations989.4 989.7 990.1 1,136.2 1,136.6 1,136.9 1,137.0 
Total liabilities28,969.2 29,248.3 29,485.3 29,855.7 29,798.8 30,195.7 30,480.8 
Shareholders' equity
Common stock1.4 1.4 1.4 1.3 1.3 1.3 1.2 
Additional paid-in capital2,688.5 2,664.3 2,623.4 2,544.5 2,457.8 2,383.0 2,274.6 
Retained earnings480.7 545.3 657.5 752.3 883.5 944.2 1,027.4 
Total shareholders' equity before accumulated other comprehensive income3,170.6 3,211.0 3,282.3 3,298.1 3,342.6 3,328.5 3,303.2 
Accumulated other comprehensive income595.2 1,520.2 1,801.6 2,186.1 1,518.1 1,995.5 1,929.7 
Total shareholders' equity3,765.8 4,731.2 5,083.9 5,484.2 4,860.7 5,324.0 5,232.9 
Total liabilities and shareholders' equity$32,735.0 $33,979.5 $34,569.2 $35,339.9 $34,659.5 $35,519.7 $35,713.7 
Mar-20Jun-20Sep-20Dec-20Mar-21Jun-21Sep-21
Book value per common share$26.22 $33.38 $36.59 $40.54 $36.75 $41.24 $42.11 
Book value per common share, excluding accumulated other comprehensive income (1) (2)$22.08 $22.66 $23.63 $24.38 $25.27 $25.78 $26.58 
Book value per diluted share (1) (3)$22.03 $22.55 $23.45 $23.95 $24.83 $25.30 $26.03 
Page 3

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


1Q2Q3Q4QYTD1Q2Q3Q
20202020202020202020202120212021
Revenues
Insurance policy income$628.7 $625.3 $628.3 $629.0 $2,511.3 $632.4 $630.5 $630.6 
Net investment income:
   General account assets280.3 231.7 276.9 290.1 1,079.0 282.7 282.1 289.5 
Policyholder and other special-purpose portfolios(110.7)87.1 66.6 100.5 143.5 55.5 97.1 18.7 
Realized investment gains (losses):
Net realized investment gains (losses)(60.1)27.9 8.2 6.3 (17.7)(12.4)25.6 (0.9)
Change in allowance for credit losses and other-than-temporary impairment losses(55.4)15.9 8.1 12.9 (18.5)9.6 5.7 (1.4)
Total realized gains (losses)(115.5)43.8 16.3 19.2 (36.2)(2.8)31.3 (2.3)
Fee revenue and other income34.4 26.3 25.4 37.4 123.5 38.2 32.1 31.8 
Total revenues717.2 1,014.2 1,013.5 1,076.2 3,821.1 1,006.0 1,073.1 968.3 
Benefits and expenses
Insurance policy benefits490.8 540.3 560.7 566.1 2,157.9 459.1 657.4 524.8 
Interest expense33.4 28.4 23.7 23.3 108.8 24.1 24.0 23.7 
Amortization50.2 88.5 53.5 75.9 268.1 99.7 42.6 57.9 
Other operating costs and expenses213.8 251.6 209.2 267.4 942.0 233.1 247.5 233.9 
Total benefits and expenses788.2 908.8 847.1 932.7 3,476.8 816.0 971.5 840.3 
Income (loss) before income taxes(71.0)105.4 166.4 143.5 344.3 190.0 101.6 128.0 
Income tax expense (benefit) on period income(15.8)23.4 37.2 31.7 76.5 42.6 23.6 28.2 
Valuation allowance for deferred tax assets and other tax items(34.0)— — — (34.0)— — — 
Net income (loss)$(21.2)$82.0 $129.2 $111.8 $301.8 $147.4 $78.0 $99.8 


Page 4

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

1Q2Q3Q4QYTD1Q2Q3Q
20202020202020202020202120212021
Insurance product margin (4)
Annuity margin$59.5 $123.8 $45.3 $68.1 $296.7 $57.9 $66.0 $52.5 
Health margin86.9 95.5 152.2 125.2 459.8 124.7 120.9 117.9 
Life margin44.3 36.1 47.3 37.3 165.0 27.1 39.7 53.2 
Total insurance product margin190.7 255.4 244.8 230.6 921.5 209.7 226.6 223.6 
Allocated expenses(136.6)(128.1)(130.3)(162.7)(557.7)(141.1)(141.6)(140.5)
Income from insurance products (5)54.1 127.3 114.5 67.9 363.8 68.6 85.0 83.1 
Fee income7.8 5.2 0.8 2.9 16.7 7.3 6.6 2.6 
Investment income not allocated to product lines (9)57.4 8.2 43.7 57.8 167.1 43.0 47.8 50.9 
Expenses not allocated to product lines(13.8)(38.5)(13.7)(17.8)(83.8)(22.0)(23.8)(17.3)
Operating earnings before taxes105.5 102.2 145.3 110.8 463.8 96.9 115.6 119.3 
Income tax expense on operating income(21.2)(22.8)(32.7)(24.8)(101.5)(21.7)(26.5)(26.5)
Net operating income (10)84.3 79.4 112.6 86.0 362.3 75.2 89.1 92.8 
Net realized investment gains (losses) from sales, impairments and change in allowance for credit losses (net of related amortization)(63.7)12.3 7.7 12.6 (31.1)3.6 24.3 2.2 
Net change in market value of investments recognized in earnings(48.4)31.2 8.5 6.0 (2.7)(6.4)5.7 (4.6)
Fair value changes related to agent deferred compensation plan— (13.2)— (3.1)(16.3)13.2 — — 
Fair value changes in embedded derivative liabilities (net of related amortization)(66.7)(27.1)(1.6)16.3 (79.1)82.1 (44.9)10.9 
Other2.3 — 6.5 0.9 9.7 0.6 0.9 0.2 
Net non-operating income (loss) before taxes(176.5)3.2 21.1 32.7 (119.5)93.1 (14.0)8.7 
Income tax (expense) benefit on non-operating income (loss)37.0 (0.6)(4.5)(6.9)25.0 (20.9)2.9 (1.7)
Valuation allowance for deferred tax assets and other tax items34.0 — — — 34.0 — — — 
Net non-operating income (loss)(105.5)2.6 16.6 25.8 (60.5)72.2 (11.1)7.0 
Net income (loss)$(21.2)$82.0 $129.2 $111.8 $301.8 $147.4 $78.0 $99.8 
Per diluted share
Net operating income$0.58 $0.55 $0.79 $0.61 $2.53 $0.55 $0.66 $0.72 
Net non-operating income (loss)(0.73)0.02 0.12 0.19 (0.42)0.53 (0.08)0.05 
Net income (loss)$(0.15)$0.57 $0.91 $0.80 $2.11 $1.08 $0.58 $0.77 


Page 5

CNO FINANCIAL GROUP, INC.
Insurance Operations
(Dollars in millions)
(Unaudited)
1Q2Q3Q4QYTD1Q2Q3Q
20202020202020202020202120212021
Insurance product margin (4)
Annuity:
Insurance policy income$5.6 $4.5 $4.3 $4.4 $18.8 $5.4 $4.3 $5.8 
Net investment income (5) (6)117.4 116.6 115.6 115.5 465.1 115.7 114.9 115.5 
Insurance policy benefits(5.5)107.7 (20.1)11.6 93.7 (6.2)(1.3)(16.2)
Interest credited (6)(42.0)(43.6)(42.4)(42.6)(170.6)(38.7)(36.9)(38.1)
Amortization and non-deferred commissions(16.0)(61.4)(12.1)(20.8)(110.3)(18.3)(15.0)(14.5)
Annuity margin59.5 123.8 45.3 68.1 296.7 57.9 66.0 52.5 
Health:
Insurance policy income429.0 426.5 421.4 422.6 1,699.5 416.5 415.4 414.4 
Net investment income (5)70.4 70.1 70.9 70.9 282.3 71.5 71.6 72.2 
Insurance policy benefits(353.8)(359.0)(295.5)(321.4)(1,329.7)(306.6)(323.3)(325.4)
Amortization and non-deferred commissions(58.7)(42.1)(44.6)(46.9)(192.3)(56.7)(42.8)(43.3)
Health margin86.9 95.5 152.2 125.2 459.8 124.7 120.9 117.9 
Life:
Insurance policy income194.1 194.3 202.6 202.0 793.0 210.5 210.8 210.4 
Net investment income (5) (7)34.3 34.7 35.2 35.4 139.6 35.8 36.1 36.4 
Insurance policy benefits(131.9)(147.8)(143.3)(147.0)(570.0)(163.6)(149.5)(141.3)
Interest credited (7)(10.3)(10.9)(11.4)(11.9)(44.5)(10.6)(11.0)(11.1)
Amortization and non-deferred commissions(21.9)(18.0)(21.6)(25.6)(87.1)(21.7)(21.8)(21.4)
Advertising expense(20.0)(16.2)(14.2)(15.6)(66.0)(23.3)(24.9)(19.8)
Life margin44.3 36.1 47.3 37.3 165.0 27.1 39.7 53.2 
Total insurance product margin190.7 255.4 244.8 230.6 921.5 209.7 226.6 223.6 
Allocated expenses:
Branch office expenses(18.9)(15.1)(13.5)(17.5)(65.0)(18.5)(16.2)(14.8)
Other allocated expenses(117.7)(113.0)(116.8)(145.2)(492.7)(122.6)(125.4)(125.7)
Income from insurance products (8)54.1 127.3 114.5 67.9 363.8 68.6 85.0 83.1 
Fee income7.8 5.2 0.8 2.9 16.7 7.3 6.6 2.6 
Investment income not allocated to product lines (9)57.4 8.2 43.7 57.8 167.1 43.0 47.8 50.9 
Expenses not allocated to product lines(13.8)(38.5)(13.7)(17.8)(83.8)(22.0)(23.8)(17.3)
Operating earnings before taxes105.5 102.2 145.3 110.8 463.8 96.9 115.6 119.3 
Income tax expense on operating income(21.2)(22.8)(32.7)(24.8)(101.5)(21.7)(26.5)(26.5)
Net operating income (10)$84.3 $79.4 $112.6 $86.0 $362.3 $75.2 $89.1 $92.8 
Page 6

CNO FINANCIAL GROUP, INC.
Margin from Annuity Products
(Dollars in millions)
(Unaudited)
1Q2Q3Q4QYTD1Q2Q3Q
20202020202020202020202120212021
Annuity margin (4):
Fixed index annuities
Insurance policy income$3.3 $2.6 $2.5 $2.9 $11.3 $3.0 $3.3 $3.3 
Net investment income (5) (6)82.1 82.9 83.1 84.0 332.1 84.9 84.9 86.3 
Insurance policy benefits(1.0)104.1 (11.5)17.2 108.8 1.6 3.8 (9.8)
Interest credited (6)(26.2)(28.3)(27.6)(28.0)(110.1)(24.9)(23.4)(24.8)
Amortization and non-deferred commissions(13.8)(49.6)(9.9)(18.0)(91.3)(16.3)(13.3)(12.6)
Margin from fixed index annuities$44.4 $111.7 $36.6 $58.1 $250.8 $48.3 $55.3 $42.4 
Average net insurance liabilities (11)$6,921.4 $7,056.3 $7,173.9 $7,342.1 $7,123.4 $7,464.8 $7,643.4 $7,881.9 
Margin/average net insurance liabilities (12)2.57 %6.33 %2.04 %3.17 %3.52 %2.59 %2.89 %2.15 %
Fixed interest annuities
Insurance policy income$0.3 $0.1 $0.2 $0.3 $0.9 $0.2 $0.1 $0.3 
Net investment income (5)28.1 26.8 25.7 25.0 105.6 24.4 23.7 23.0 
Insurance policy benefits(0.1)— (0.4)(0.1)(0.6)(0.7)0.2 (0.2)
Interest credited(14.9)(14.4)(14.2)(13.9)(57.4)(13.2)(12.8)(12.7)
Amortization and non-deferred commissions(2.1)(11.7)(2.1)(2.8)(18.7)(1.9)(1.7)(1.8)
Margin from fixed interest annuities$11.3 $0.8 $9.2 $8.5 $29.8 $8.8 $9.5 $8.6 
Average net insurance liabilities (11)$2,146.2 $2,088.2 $2,041.6 $2,000.1 $2,069.1 $1,951.6 $1,899.5 $1,856.3 
Margin/average net insurance liabilities (12)2.11 %0.15 %1.80 %1.70 %1.44 %1.80 %2.00 %1.85 %
Other annuities
Insurance policy income$2.0 $1.8 $1.6 $1.2 $6.6 $2.2 $0.9 $2.2 
Net investment income (5)7.2 6.9 6.8 6.5 27.4 6.4 6.3 6.2 
Insurance policy benefits(4.4)3.6 (8.2)(5.5)(14.5)(7.1)(5.3)(6.2)
Interest credited(0.9)(0.9)(0.6)(0.7)(3.1)(0.6)(0.7)(0.6)
Amortization and non-deferred commissions(0.1)(0.1)(0.1)— (0.3)(0.1)— (0.1)
Margin from other annuities$3.8 $11.3 $(0.5)$1.5 $16.1 $0.8 $1.2 $1.5 
Average net insurance liabilities (11)$551.5 $533.5 $524.0 $517.9 $531.7 $512.2 $506.8 $501.6 
Margin/average net insurance liabilities (12)2.76 %8.47 %(0.38)%1.16 %3.03 %0.62 %0.95 %1.20 %
Total annuity margin$59.5 $123.8 $45.3 $68.1 $296.7 $57.9 $66.0 $52.5 
Average net insurance liabilities (11)$9,619.1 $9,678.0 $9,739.5 $9,860.1 $9,724.2 $9,928.6 $10,049.7 $10,239.8 
Margin/average net insurance liabilities (12)2.47 %5.12 %1.86 %2.76 %3.05 %2.33 %2.63 %2.05 %
Page 7

CNO FINANCIAL GROUP, INC.
Margin from Health Products
(Dollars in millions)
(Unaudited)
1Q2Q3Q4QYTD1Q2Q3Q
20202020202020202020202120212021
Health margin (4):
Supplemental health
Insurance policy income$169.8 $169.8 $169.2 $170.6 $679.4 $169.8 $170.0 $171.2 
Net investment income (5)34.9 34.9 35.5 35.6 140.9 36.1 36.3 36.9 
Insurance policy benefits(132.9)(138.1)(125.8)(124.1)(520.9)(126.3)(130.9)(127.8)
Amortization and non-deferred commissions(29.6)(26.2)(27.8)(29.1)(112.7)(29.2)(27.9)(29.4)
Margin from supplemental health$42.2 $40.4 $51.1 $53.0 $186.7 $50.4 $47.5 $50.9 
Margin/insurance policy income25 %24 %30 %31 %27 %30 %28 %30 %
Medicare supplement
Insurance policy income$192.3 $190.3 $186.1 $186.0 $754.7 $181.0 $179.7 $177.4 
Net investment income (5)1.2 1.2 1.2 1.3 4.9 1.3 1.3 1.3 
Insurance policy benefits(136.7)(136.6)(102.0)(129.7)(505.0)(120.0)(123.0)(129.7)
Amortization and non-deferred commissions(25.4)(13.0)(13.6)(14.3)(66.3)(24.1)(12.3)(11.7)
Margin from Medicare supplement$31.4 $41.9 $71.7 $43.3 $188.3 $38.2 $45.7 $37.3 
Margin/insurance policy income16 %22 %39 %23 %25 %21 %25 %21 %
Long-term care
Insurance policy income$66.9 $66.4 $66.1 $66.0 $265.4 $65.7 $65.7 $65.8 
Net investment income (5)34.3 34.0 34.2 34.0 136.5 34.1 34.0 34.0 
Insurance policy benefits(84.2)(84.3)(67.7)(67.6)(303.8)(60.3)(69.4)(67.9)
Amortization and non-deferred commissions(3.7)(2.9)(3.2)(3.5)(13.3)(3.4)(2.6)(2.2)
Margin from long-term care$13.3 $13.2 $29.4 $28.9 $84.8 $36.1 $27.7 $29.7 
Margin/insurance policy income20 %20 %44 %44 %32 %55 %42 %45 %
Total health margin$86.9 $95.5 $152.2 $125.2 $459.8 $124.7 $120.9 $117.9 
Margin/insurance policy income20 %22 %36 %30 %27 %30 %29 %28 %
Page 8

CNO FINANCIAL GROUP, INC.
Margin from Life Products
(Dollars in millions)
(Unaudited)
1Q2Q3Q4QYTD1Q2Q3Q
20202020202020202020202120212021
Life margin (4):
Interest sensitive life
Insurance policy income$39.6 $38.7 $40.1 $40.4 $158.8 $40.8 $41.4 $42.3 
Net investment income (5) (7)11.7 11.7 11.9 12.1 47.4 12.4 12.4 12.6 
Insurance policy benefits(15.7)(23.2)(16.0)(21.2)(76.1)(22.7)(20.0)(17.4)
Interest credited (7)(10.2)(10.7)(11.2)(11.7)(43.8)(10.5)(10.8)(10.9)
Amortization and non-deferred commissions(7.4)(4.8)(6.9)(9.1)(28.2)(5.8)(6.2)(6.6)
Margin from interest sensitive life$18.0 $11.7 $17.9 $10.5 $58.1 $14.2 $16.8 $20.0 
Average net insurance liabilities (11)$900.1 $913.5 $926.7 $939.9 $920.0 $954.7 $970.0 $983.8 
Interest margin$1.5 $1.0 $0.7 $0.4 $3.6 $1.9 $1.6 $1.7 
Interest margin/average net insurance liabilities (12)0.67 %0.44 %0.30 %0.17 %0.39 %0.80 %0.66 %0.69 %
Underwriting margin$16.5 $10.7 $17.2 $10.1 $54.5 $12.3 $15.2 $18.3 
Underwriting margin/insurance policy income42 %28 %43 %25 %34 %30 %37 %43 %
Traditional life
Insurance policy income$154.5 $155.6 $162.5 $161.6 $634.2 $169.7 $169.4 $168.1 
Net investment income (5)22.6 23.0 23.3 23.3 92.2 23.4 23.7 23.8 
Insurance policy benefits(116.2)(124.6)(127.3)(125.8)(493.9)(140.9)(129.5)(123.9)
Interest credited(0.1)(0.2)(0.2)(0.2)(0.7)(0.1)(0.2)(0.2)
Amortization and non-deferred commissions(14.5)(13.2)(14.7)(16.5)(58.9)(15.9)(15.5)(14.9)
Advertising expense(20.0)(16.2)(14.2)(15.6)(66.0)(23.3)(25.0)(19.7)
Margin from traditional life$26.3 $24.4 $29.4 $26.8 $106.9 $12.9 $22.9 $33.2 
Margin/insurance policy income17 %16 %18 %17 %17 %8 %14 %20 %
Margin excluding advertising expense/insurance policy income30 %26 %27 %26 %27 %21 %28 %31 %
Total life margin$44.3 $36.1 $47.3 $37.3 $165.0 $27.1 $39.7 $53.2 


Page 9

CNO FINANCIAL GROUP, INC.
Estimated Impacts of COVID-19 on Insurance Product Margins
(Dollars in millions)
(Unaudited)

1Q2Q3Q4QYTD1Q2Q3Q
20202020202020202020202120212021
Favorable (Unfavorable)
Insurance product:
Fixed index annuities$— $4 $(7)$(1)$(4)$1 $2 $1 
Supplemental health— (4)6 9 11 6 2 8 
Medicare supplement— 5 36 9 50 9 11 3 
Long-term care— 3 16 17 36 25 17 14 
Total health products— 4 58 35 97 40 30 25 
Interest sensitive life— (1)(3)(5)(9)(7)(4)(1)
Traditional life— (13)(6)(10)(29)(12)(7)(2)
Total life— (14)(9)(15)(38)(19)(11)(3)
Total$— $(6)$42 $19 $55 $22 $21 $23 
Page 10

CNO FINANCIAL GROUP, INC.
Collected Premiums From Annuity and Interest Sensitive Life Products
and Insurance Policy Income
(Dollars in millions)
(Unaudited)
1Q2Q3Q4QYTD1Q2Q3Q
20202020202020202020202120212021
Collected premiums from annuity and interest-sensitive life products:
Annuities$292.2 $242.7 $285.1 $345.0 $1,165.0 $325.4 $344.3 $333.3 
Interest-sensitive life53.1 51.3 50.0 52.1 206.5 54.5 54.6 54.4 
Total collected premiums from annuity and interest-sensitive life products$345.3 $294.0 $335.1 $397.1 $1,371.5 $379.9 $398.9 $387.7 
Insurance policy income:
Annuity products
Fixed index annuities$3.3 $2.6 $2.5 $2.9 $11.3 $3.0 $3.3 $3.3 
Fixed interest annuities0.3 0.1 0.2 0.3 0.9 0.2 0.1 0.3 
Other annuities2.0 1.8 1.6 1.2 6.6 2.2 0.9 2.2 
Total annuity insurance policy income5.6 4.5 4.3 4.4 18.8 5.4 4.3 5.8 
Health products
Supplemental health169.8 169.8 169.2 170.6 679.4 169.8 170.0 171.2 
Medicare supplement192.3 190.3 186.1 186.0 754.7 181.0 179.7 177.4 
Long-term care66.9 66.4 66.1 66.0 265.4 65.7 65.7 65.8 
Total health insurance policy income429.0 426.5 421.4 422.6 1,699.5 416.5 415.4 414.4 
Life products
Interest-sensitive life 39.6 38.7 40.1 40.4 158.8 40.8 41.4 42.3 
Traditional life 154.5 155.6 162.5 161.6 634.2 169.7 169.4 168.0 
Total life insurance policy income194.1 194.3 202.6 202.0 793.0 210.5 210.8 210.3 
Total insurance policy income$628.7 $625.3 $628.3 $629.0 $2,511.3 $632.4 $630.5 $630.5 


Page 11

CNO FINANCIAL GROUP, INC.
Health and Life
New Annualized Premiums ("NAP")
(Dollars in millions)
(Unaudited)
1Q2Q3Q4QYTD1Q2Q3Q
20202020202020202020202120212021
Consumer Division
Health products:
Supplemental health$19.6 $5.6 $16.2 $21.5 $62.9 $14.4 $20.1 $15.8 
Medicare supplement9.7 8.9 11.0 12.2 41.8 8.2 8.8 8.0 
Long-term care5.9 4.3 7.1 7.2 24.5 6.4 7.0 8.8 
Total Consumer Division health NAP35.2 18.8 34.3 40.9 129.2 29.0 35.9 32.6 
Life products:
Interest sensitive life5.6 5.1 5.8 6.0 22.5 5.9 6.5 5.4 
Traditional life33.0 41.5 37.7 29.8 142.0 45.9 43.9 38.2 
Total Consumer Division life NAP38.6 46.6 43.5 35.8 164.5 51.8 50.4 43.6 
Total Consumer Division health and life NAP$73.8 $65.4 $77.8 $76.7 $293.7 $80.8 $86.3 $76.2 
Worksite Division
Health products:
Supplemental health$8.8 $3.2 $5.1 $8.2 $25.3 $6.7 $5.6 $6.6 
Life products:
Interest sensitive life2.5 0.8 0.8 1.3 5.4 1.2 1.9 1.8 
Total Worksite Division health and life NAP$11.3 $4.0 $5.9 $9.5 $30.7 $7.9 $7.5 $8.4 
Total NAP (both divisions)
Health products:
Supplemental health$28.4 $8.8 $21.3 $29.7 $88.2 $21.1 $25.7 $22.4 
Medicare supplement9.7 8.9 11.0 12.2 41.8 8.2 8.8 8.0 
Long-term care5.9 4.3 7.1 7.2 24.5 6.4 7.0 8.8 
Total health NAP44.0 22.0 39.4 49.1 154.5 35.7 41.5 39.2 
Life products:
Interest sensitive life 8.1 5.9 6.6 7.3 27.9 7.1 8.4 7.2 
Traditional life 33.0 41.5 37.7 29.8 142.0 45.9 43.9 38.2 
Total life NAP41.1 47.4 44.3 37.1 169.9 53.0 52.3 45.4 
Total NAP$85.1 $69.4 $83.7 $86.2 $324.4 $88.7 $93.8 $84.6 

Page 12

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


1Q2Q3Q4QYTD1Q2Q3Q
2020 (a)2020202020202020202120212021
Basic
Shares outstanding, beginning of period148,084.2 143,610.0 141,718.6 138,931.4 148,084.2 135,279.1 132,268.3 129,105.0 
Weighted average shares issued during the period:
Shares repurchased(2,444.0)(227.2)(835.9)(1,053.9)(6,685.8)(1,471.5)(1,436.5)(2,706.6)
Amounts related to employee benefit plans287.5 42.7 19.3 356.2 962.7 384.3 191.1 32.2 
Shares withheld for the payment of the exercise price and taxes related to employee benefit plans(98.3)(4.0)(1.8)(1.9)(265.4)(52.2)(7.0)(1.3)
Weighted average basic shares outstanding during the period145,829.4 143,421.5 140,900.2 138,231.8 142,095.7 134,139.7 131,015.9 126,429.3 
Basic shares outstanding, end of period143,610.0 141,718.6 138,931.4 135,279.1 135,279.1 132,268.3 129,105.0 124,269.9 
Diluted
Weighted average basic shares outstanding145,829.4 143,421.5 140,900.2 138,231.8 142,095.7 134,139.7 131,015.9 126,429.3 
Common stock equivalent shares related to:
Employee benefit plans— 519.1 830.2 2,154.7 1,068.1 2,513.6 2,797.8 2,588.7 
Weighted average diluted shares outstanding during the period145,829.4 143,940.6 141,730.4 140,386.5 143,163.8 136,653.3 133,813.7 129,018.0 
Diluted shares outstanding, end of period143,936.2 142,410.1 139,972.2 137,717.3 137,717.3 134,624.5 131,549.3 126,917.6 

___________
(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)

1Q2Q3Q4QYTD1Q2Q3Q
20202020202020202020202120212021
Fixed index annuities
Balance as of the beginning of the period$7,133.1 $7,280.3 $7,394.1 $7,567.2 $7,133.1 $7,761.4 $7,943.2 $8,180.2 
Gross deposits281.7 231.5 277.2 331.7 1,122.1 314.6 328.8 320.1 
Withdrawals(185.8)(148.0)(133.2)(164.6)(631.6)(193.1)(174.2)(179.0)
Returns reinvested51.3 30.3 29.1 27.1 137.8 60.3 82.4 81.7 
Balance as of the end of the period$7,280.3 $7,394.1 $7,567.2 $7,761.4 $7,761.4 $7,943.2 $8,180.2 $8,403.0 
Fixed interest annuities
Balance as of the beginning of the period$2,217.5 $2,147.4 $2,089.4 $2,044.3 $2,217.5 $1,998.9 $1,943.2 $1,891.8 
Gross deposits9.3 9.0 6.8 12.3 37.4 9.3 14.4 10.2 
Withdrawals(94.3)(81.1)(66.1)(71.8)(313.3)(78.2)(78.2)(60.6)
Returns reinvested14.9 14.1 14.2 14.1 57.3 13.2 12.4 12.8 
Balance as of the end of the period$2,147.4 $2,089.4 $2,044.3 $1,998.9 $1,998.9 $1,943.2 $1,891.8 $1,854.2 
Total annuities
Balance as of the beginning of the period$9,350.6 $9,427.7 $9,483.5 $9,611.5 $9,350.6 $9,760.3 $9,886.4 $10,072.0 
Gross deposits291.0 240.5 284.0 344.0 1,159.5 323.9 343.2 330.3 
Withdrawals(280.1)(229.1)(199.3)(236.4)(944.9)(271.3)(252.4)(239.6)
Returns reinvested66.2 44.4 43.3 41.2 195.1 73.5 94.8 94.5 
Balance as of the end of the period$9,427.7 $9,483.5 $9,611.5 $9,760.3 $9,760.3 $9,886.4 $10,072.0 $10,257.2 
Page 14

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


1Q2Q3Q4QYTD1Q2Q3Q
2020 (a)2020202020202020202120212021 (b)
Net gain from operations before interest expense and federal income taxes$33.3 $99.5 $135.1 $72.6 $340.5 $53.6 $85.1 $96.1 
Interest expense on surplus debentures held by parent company12.1 12.1 21.0 12.2 57.4 12.0 12.2 19.0 
Net gain from operations before federal income taxes21.2 87.4 114.1 60.4 283.1 41.6 72.9 77.1 
Federal income tax expense (benefit)(113.0)(6.8)(16.1)(2.5)(138.4)1.8 (2.2)(9.0)
Net gain from operations before net realized capital gains (losses)134.2 94.2 130.2 62.9 421.5 39.8 75.1 86.1 
Net realized capital gains (losses)(3.3)(7.8)0.4 (1.2)(11.9)(0.6)(1.5)(1.3)
Net income $130.9 $86.4 $130.6 $61.7 $409.6 $39.2 $73.6 $84.8 
Capital and surplus$1,750.3 $1,771.1 $1,868.1 $1,805.5 $1,805.5 $1,781.8 $1,782.8 $1,715.7 
Asset valuation reserve (AVR)236.4 226.7 269.9 304.0 304.0 327.5 330.4 334.8 
Capital, surplus and AVR1,986.7 1,997.8 2,138.0 2,109.5 2,109.5 2,109.3 2,113.2 2,050.5 
Interest maintenance reserve (IMR)408.2 410.6 408.2 406.6 406.6 401.5 411.9 409.0 
Total statutory capital, surplus, AVR & IMR$2,394.9 $2,408.4 $2,546.2 $2,516.1 $2,516.1 $2,510.8 $2,525.1 $2,459.5 
Risk-based capital ratio406 %405 %428 %411 %411 %407 %409 %388 %
___________
(a)    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.
(b)    Such amounts are preliminary as the statutory basis financial statements of our insurance subsidiaries for 3Q21 will
be filed with the respective insurance regulators on or about November 15, 2021.




Page 15

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


1Q2Q3Q4QYTD1Q2Q3Q
20202020202020202020202120212021
Net investment income$169.6 $318.8 $343.5 $390.6 $1,222.5 $338.2 $379.2 $308.2 
Allocated to product lines:
Annuity(117.4)(116.6)(115.6)(115.5)(465.1)(115.7)(114.9)(115.5)
Health(70.4)(70.1)(70.9)(70.9)(282.3)(71.5)(71.6)(72.2)
Life(34.3)(34.7)(35.2)(35.4)(139.6)(35.8)(36.1)(36.4)
Equity returns credited to policyholder account balances136.5 (50.7)(46.0)(77.6)(37.8)(42.5)(76.1)(7.2)
Amounts allocated to product lines and credited to policyholder account balances(85.6)(272.1)(267.7)(299.4)(924.8)(265.5)(298.7)(231.3)
Amount related to variable interest entities and other non-operating items(11.6)(9.6)(9.8)(8.2)(39.2)(7.8)(8.0)(7.1)
Interest expense on debt(13.6)(13.6)(13.6)(14.4)(55.2)(15.5)(15.6)(15.6)
Interest expense on investment borrowings(9.1)(5.8)(3.4)(2.9)(21.2)(2.7)(2.5)(2.3)
Less amounts credited to deferred compensation plans (offsetting investment income)7.7 (9.5)(5.3)(7.9)(15.0)(3.7)(6.6)(1.0)
Total adjustments(26.6)(38.5)(32.1)(33.4)(130.6)(29.7)(32.7)(26.0)
Investment income not allocated to product lines$57.4 $8.2 $43.7 $57.8 $167.1 $43.0 $47.8 $50.9 




Page 16

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


1Q2Q3Q4QYTD1Q2Q3Q
20202020202020202020202120212021
Investment income not allocated:
Excluding variable components:
From general account assets$23.3 $26.5 $24.6 $25.2 $99.6 $24.6 $24.9 $23.1 
Other investment income0.5 0.1 0.1 0.1 0.8 — 0.1 0.1 
Spread income from Federal Home Loan Bank investment program:
Investment income on matched assets13.5 10.9 10.9 10.7 46.0 10.3 10.4 10.3 
Investment borrowing expenses(9.1)(5.8)(3.4)(2.9)(21.2)(2.7)(2.5)(2.3)
Net spread income4.4 5.1 7.5 7.8 24.8 7.6 7.9 8.0 
Interest expense on corporate debt(13.6)(13.6)(13.6)(14.4)(55.2)(15.5)(15.6)(15.6)
Total excluding variable components 14.6 18.1 18.6 18.7 70.0 16.7 17.3 15.6 
Variable components:
Net income from Corporate Owned Life Insurance ("COLI") supporting agent deferred compensation plan
Change in value of COLI investments3.2 6.4 3.1 3.0 15.7 (3.9)2.1 (0.1)
Increase in liability for agent deferred compensation plan(1.6)(1.6)(1.6)(1.6)(6.4)(1.6)(1.5)(1.6)
Net COLI income (loss)1.6 4.8 1.5 1.4 9.3 (5.5)0.6 (1.7)
Other variable components:
Alternative investment income:
Total17.2 (12.5)27.1 35.0 66.8 34.1 29.0 32.3 
Allocated to product lines(7.7)(7.7)(7.9)(8.0)(31.3)(7.9)(7.8)(7.6)
Excess alternative investment income9.5 (20.2)19.2 27.0 35.5 26.2 21.2 24.7 
Prepayment and call income8.9 0.1 2.6 9.1 20.7 1.7 4.9 10.2 
Trading account17.3 6.0 2.6 2.2 28.1 2.0 2.4 1.4 
Hedge variance related to fixed index products(0.1)3.2 (1.0)(0.4)1.7 1.1 (0.1)0.2 
Other (a)5.6 (3.8)0.2 (0.2)1.8 0.8 1.5 0.5 
Total variable components42.8 (9.9)25.1 39.1 97.1 26.3 30.5 35.3 
Total investment income not allocated to product lines $57.4 $8.2 $43.7 $57.8 $167.1 $43.0 $47.8 $50.9 

___________
(a)    Includes 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)
1Q2Q3Q4QYTD1Q2Q3Q
20202020202020202020202120212021
Average net insurance liabilities (11)
Annuity:
Fixed index annuities$6,921.4 $7,056.3 $7,173.9 $7,342.1 $7,123.4 $7,464.8 $7,643.4 $7,881.9 
Fixed interest annuities2,146.2 2,088.2 2,041.6 2,000.1 2,069.1 1,951.6 1,899.5 1,856.3 
Other annuities551.5 533.5 524.0 517.9 531.7 512.2 506.8 501.6 
Total annuity average net insurance liabilities (11)9,619.1 9,678.0 9,739.5 9,860.1 9,724.2 9,928.6 10,049.7 10,239.8 
Health:
Supplemental health2,887.1 2,935.7 2,988.1 3,031.9 2,960.7 3,073.9 3,117.7 3,157.8 
Medicare supplement102.5 111.6 116.9 114.4 111.3 122.5 123.1 120.6 
Long-term care2,482.8 2,464.2 2,477.7 2,487.2 2,478.0 2,492.1 2,498.3 2,503.1 
Total health average net insurance liabilities (11)5,472.4 5,511.5 5,582.7 5,633.5 5,550.0 5,688.5 5,739.1 5,781.5 
Life:
Interest sensitive900.1 913.5 926.7 939.9 920.0 954.7 970.0 983.8 
Traditional1,872.5 1,883.5 1,905.9 1,933.2 1,898.8 1,956.5 1,975.4 1,998.4 
Total life average net insurance liabilities (11)2,772.6 2,797.0 2,832.6 2,873.1 2,818.8 2,911.2 2,945.4 2,982.2 
Total average net insurance liabilities (11)$17,864.1 $17,986.5 $18,154.8 $18,366.7 $18,093.0 $18,528.3 $18,734.2 $19,003.5 
Average yield on allocated investments
Annuity:
Fixed index annuities4.74 %4.70 %4.63 %4.58 %4.66 %4.55 %4.44 %4.38 %
Fixed interest annuities5.24 %5.13 %5.04 %5.00 %5.10 %5.00 %4.99 %4.96 %
Other annuities5.22 %5.17 %5.19 %5.02 %5.15 %5.00 %4.97 %4.94 %
Average yield on investments allocated to annuities4.88 %4.82 %4.75 %4.69 %4.78 %4.66 %4.57 %4.51 %
Health:
Supplemental health4.84 %4.76 %4.75 %4.70 %4.76 %4.70 %4.66 %4.67 %
Medicare supplement4.41 %4.34 %4.33 %4.28 %4.34 %4.30 %4.24 %4.20 %
Long-term care5.53 %5.52 %5.52 %5.47 %5.51 %5.47 %5.44 %5.43 %
Average yield on investments allocated to health products5.15 %5.09 %5.08 %5.03 %5.09 %5.03 %4.99 %5.00 %
Life:
Interest sensitive5.20 %5.12 %5.14 %5.15 %5.15 %5.20 %5.11 %5.12 %
Traditional4.83 %4.88 %4.89 %4.82 %4.86 %4.78 %4.80 %4.76 %
Average yield on investments allocated to life products4.95 %4.96 %4.97 %4.93 %4.95 %4.92 %4.90 %4.88 %
Total average yield4.97 %4.92 %4.88 %4.83 %4.90 %4.81 %4.75 %4.72 %
Allocated investment income
Annuity:
Fixed index annuities$82.1 $82.9 $83.1 $84.0 $332.1 $84.9 $84.9 $86.3 
Fixed interest annuities28.1 26.8 25.7 25.0 105.6 24.4 23.7 23.0 
Other annuities7.2 6.9 6.8 6.5 27.4 6.4 6.3 6.2 
Total investment income allocated to annuities117.4 116.6 115.6 115.5 465.1 115.7 114.9 115.5 
Health:
Supplemental health34.9 34.9 35.5 35.6 140.9 36.1 36.3 36.9 
Medicare supplement1.2 1.2 1.2 1.3 4.9 1.3 1.3 1.3 
Long-term care34.3 34.0 34.2 34.0 136.5 34.1 34.0 34.0 
Total investment income allocated to health products70.4 70.1 70.9 70.9 282.3 71.5 71.6 72.2 
Life:
   Interest sensitive11.7 11.7 11.9 12.1 47.4 12.4 12.4 12.6 
Traditional22.6 23.0 23.3 23.3 92.2 23.4 23.7 23.8 
Total investment income allocated to life products34.3 34.7 35.2 35.4 139.6 35.8 36.1 36.4 
Total allocated investment income$222.1 $221.4 $221.7 $221.8 $887.0 $223.0 $222.6 $224.1 
Page 18

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

1Q2Q3Q4QYTD1Q2Q3Q
20202020202020202020202120212021
General account assets investment income$280.3 $231.7 $276.9 $290.1 $1,079.0 $282.7 $282.1 $289.5 
Policyholder and other special purpose portfolio investment income(110.7)87.1 66.6 100.5 143.5 55.5 97.1 18.7 
Less equity returns credited to policyholders:
Annuity119.9 (44.9)(39.3)(68.0)(32.3)(37.7)(68.3)(6.3)
Life16.6 (5.8)(6.7)(9.6)(5.5)(4.8)(7.8)(0.9)
Less amount related to variable interest entities(11.6)(9.6)(9.8)(8.2)(39.2)(7.8)(8.0)(7.1)
Less amounts credited to deferred compensation plans7.7 (9.5)(5.3)(7.9)(15.0)(3.7)(6.6)(1.0)
Other special purpose portfolio investment income21.9 17.3 5.5 6.8 51.5 1.5 6.4 3.4 
Adjusted net investment income302.2 249.0 282.4 296.9 1,130.5 284.2 288.5 292.9 
Less amounts allocated to product lines
Annuity(117.4)(116.6)(115.6)(115.5)(465.1)(115.7)(114.9)(115.5)
Health(70.4)(70.1)(70.9)(70.9)(282.3)(71.5)(71.6)(72.2)
Life(34.3)(34.7)(35.2)(35.4)(139.6)(35.8)(36.1)(36.4)
Total investment income allocated to product lines(222.1)(221.4)(221.7)(221.8)(887.0)(223.0)(222.6)(224.1)
Less interest expense on investment borrowings(9.1)(5.8)(3.4)(2.9)(21.2)(2.7)(2.5)(2.3)
Less interest expense on debt(13.6)(13.6)(13.6)(14.4)(55.2)(15.5)(15.6)(15.6)
Investment income not allocated to product lines$57.4 $8.2 $43.7 $57.8 $167.1 $43.0 $47.8 $50.9 

Other Investment Data

1Q2Q3Q4Q1Q2Q3Q
2020202020202020202120212021
Average invested assets and cash$22,483.7 $22,618.1 $22,832.1 $23,170.3 $23,418.7 $23,585.3 $23,936.9 
Net investment income from general account investments280.3 231.7 276.9 290.1 282.7 282.1 289.5 
New money rate (14)4.46 %4.49 %4.08 %3.58 %3.57 %3.38 %3.55 %
Book yield4.90 %4.88 %4.85 %4.81 %4.76 %4.71 %4.63 %
Earned yield5.15 %4.23 %5.04 %5.22 %5.03 %4.97 %5.03 %
Pre-pay/call/make-whole income$8.9 $0.1 $2.6 $9.1 $1.7 $4.9 $10.2 
Alternative investment income17.2 (12.5)27.1 35.0 34.1 29.0 32.3 
Impairments8.1 — — — 0.5 — — 

Page 19

CNO FINANCIAL GROUP, INC.
3Q21 Significant Items
(Dollars in millions, except per share amounts)
(Unaudited)

The table below summarizes the financial impact of significant items on our 3Q21 net operating income. Management believes that identifying the impact of these items enhances the understanding of our operating results.
Three months ended
September 30, 2021
Actual resultsSignificant itemsExcluding significant
items
Insurance product margin (4)
Annuity margin$52.5 $— $52.5 
Health margin117.9 — 117.9 
Life margin53.2 — 53.2 
Total insurance product margin223.6 — 223.6 
Allocated expenses(140.5)— (140.5)
Income from insurance products (5)83.1 — 83.1 
Fee income2.6 — 2.6 
Investment income not allocated to product lines (9)50.9 — 50.9 
Expenses not allocated to product lines(17.3)3.0 (a)(14.3)
Operating earnings before taxes119.3 3.0 122.3 
Income tax (expense) benefit on operating income(26.5)(0.7)(27.2)
Net operating income (10)$92.8 $2.3 $95.1 
Net operating income per diluted share$0.72 $0.02 $0.74 
___________
(a)Comprised of $3.0 million from legal and regulatory matters.

CNO FINANCIAL GROUP, INC.
2Q21 Significant Items
(Dollars in millions, except per share amounts)
(Unaudited)

The table below summarizes the financial impact of significant items on our 2Q21 net operating income. Management believes that identifying the impact of these items enhances the understanding of our operating results.
Three months ended
June 30, 2021
Actual resultsSignificant itemsExcluding significant
items
Insurance product margin (4)
Annuity margin$66.0 $— $66.0 
Health margin120.9 — 120.9 
Life margin39.7 — 39.7 
Total insurance product margin226.6 — 226.6 
Allocated expenses(141.6)— (141.6)
Income from insurance products (5)85.0 — 85.0 
Fee income6.6 — 6.6 
Investment income not allocated to product lines (9)47.8 — 47.8 
Expenses not allocated to product lines(23.8)4.5 (a)(19.3)
Operating earnings before taxes115.6 4.5 120.1 
Income tax (expense) benefit on operating income(26.5)(1.0)(27.5)
Net operating income (10)$89.1 $3.5 $92.6 
Net operating income per diluted share$0.66 $0.03 $0.69 
___________
(a)Comprised of $4.5 million from legal and regulatory matters.


Page 20

CNO FINANCIAL GROUP, INC.
1Q21 Significant Items
(Dollars in millions, except per share amounts)
(Unaudited)

The table below summarizes the financial impact of significant items on our 1Q21 net operating income. Management believes that identifying the impact of these items enhances the understanding of our operating results.
Three months ended
March 31, 2021
Actual resultsSignificant itemsExcluding significant
items
Insurance product margin (4)
Annuity margin$57.9 $— $57.9 
Health margin124.7 — 124.7 
Life margin27.1 — 27.1 
Total insurance product margin209.7 — 209.7 
Allocated expenses(141.1)— (141.1)
Income from insurance products (5)68.6 — 68.6 
Fee income7.3 — 7.3 
Investment income not allocated to product lines (9)43.0 — 43.0 
Expenses not allocated to product lines(22.0)7.8 (a)(14.2)
Operating earnings before taxes96.9 7.8 104.7 
Income tax (expense) benefit on operating income(21.7)(1.7)(23.4)
Net operating income (10)$75.2 $6.1 $81.3 
Net operating income per diluted share$0.55 $0.04 $0.59 
___________
(a)Comprised of: (i) $5.3 million from legal and regulatory matters; and (ii) $2.5 million of transaction expenses related to the previously announced acquisition of DirectPath, LLC. The legal and regulatory matters primarily consist of an increase to our liability for claims and interest pursuant to the Global Resolution Agreement, as we have now processed and verified most of the claims provided by the third party auditor allowing us to more accurately estimate the ultimate liability.


Page 21

CNO FINANCIAL GROUP, INC.
4Q20 Significant Items
(Dollars in millions, except per share amounts)
(Unaudited)

The table below summarizes the financial impact of significant items on our 4Q20 net operating income. Management believes that identifying the impact of these items enhances the understanding of our operating results.

Three months ended
December 31, 2020
Actual resultsSignificant itemsExcluding significant
items
Insurance product margin (4)
Annuity margin$68.1 $(16.1)(a)$52.0 
Health margin125.2 — 125.2 
Life margin37.3 4.3 (a)41.6 
Total insurance product margin230.6 (11.8)218.8 
Allocated expenses(162.7)— (162.7)
Income from insurance products (5)67.9 (11.8)56.1 
Fee income2.9 — 2.9 
Investment income not allocated to product lines (9)57.8 — 57.8 
Expenses not allocated to product lines(17.8)3.7 (b)(14.1)
Operating earnings before taxes110.8 (8.1)102.7 
Income tax (expense) benefit on operating income(24.8)1.7 (23.1)
Net operating income (10)$86.0 $(6.4)$79.6 
Net operating income per diluted share$0.61 $(0.04)$0.57 
___________
(a)Adjustments arising from our comprehensive annual actuarial review of assumptions.
(b)Unfavorable impact related to asset impairments.


Page 22

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

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

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

This actuarial unlocking exercise did not replace our comprehensive annual review of all assumptions for our insurance products, which we completed in the fourth quarter of 2020.
(b)We increased our liability for claims and interest pursuant to the previously disclosed Global Resolution Agreement entered into in November 2018. Pursuant to this agreement, a third-party auditor is acting on behalf of 41 states and the District of Columbia for the purpose of identifying deceased insureds and contract holders where benefits are payable pursuant to unclaimed property laws. The third-party auditor has provided information that we have processed and verified allowing us to more accurately estimate the ultimate liability pursuant to this agreement.



Page 23


Notes

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

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

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

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

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

(6)Excludes the change in market values of the underlying options supporting the fixed index annuity products and corresponding amount credited to policyholder account liabilities. Such amounts were $(119.9) million, $44.9 million, $39.3 million, $68.0 million, $37.7 million, $68.3 million and $6.3 million in 1Q20, 2Q20, 3Q20, 4Q20, 1Q21, 2Q21 and 3Q21, 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 $(16.6) million, $5.8 million, $6.7 million, $9.6 million, $4.8 million, $7.8 million and $.9 million in 1Q20, 2Q20, 3Q20, 4Q20, 1Q21, 2Q201 and 3Q21, respectively.

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

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

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

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

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

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

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

Page 24
Third Quarter 2021 Financial and operating results for the period ended September 30, 2021 October 27, 2021 Unless otherwise specified, comparisons in this presentation are between 3Q20 and 3Q21. Exhibit 99.3

 
CNO Financial Group | Third Quarter 2021 Earnings | October 27, 2021 2 Important Legal Information 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 October 27, 2021, 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. Forward-Looking Statements 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. Non-GAAP Measures

 
CNO Financial Group | Third Quarter 2021 Earnings | October 27, 2021 3

 
CNO Financial Group | Third Quarter 2021 Earnings | October 27, 2021 4 Quarter in Review Strong Operational Performance • Operating income per share1 of $0.72 vs. $0.79 in 3Q20 • 3Q21 includes $0.02 unfavorable impact from significant items • 3Q21 reflects $0.09 YoY reduced net COVID benefit • Underlying insurance product margin stable • Most growth metrics exceeding pre-COVID levels • Variable investment income up sharply • Generated $166 million in free cash flow • Returned $131 million to shareholders • $115 million in share repurchases; reduced weighted average share count by 9% • Established FABN program; priced $500 million funding agreement backing five-year notes • Book value per diluted share excluding AOCI1 up 11% 1 A non-GAAP measure. See the Appendix for a reconciliation to the corresponding GAAP measure. Building on Track Record of Execution Strong earnings; continued deferral of care benefit; robust variable investment income

 
CNO Financial Group | Third Quarter 2021 Earnings | October 27, 2021 5 2019 3Q 3Q 4Q TY 1Q 2Q 3Q vs. 3Q19 vs. 3Q20 New Annualized Premiums 1 Life $37.3 $44.3 $37.1 $169.9 $53.0 $52.3 $45.4 21.7% 2.5% Health 46.7 39.4 49.1 154.5 35.7 41.5 39.2 -16.1% -0.5% Total Life and Health $84.0 $83.7 $86.2 $324.4 $88.7 $93.8 $84.6 0.7% 1.1% Collected Premiums Life $203.5 $213.3 $212.5 $839.6 $226.5 $223.4 $222.2 9.2% 4.2% Health 420.6 431.7 421.6 1,691.6 424.7 410.6 407.3 -3.2% -5.7% Total Life and Health $624.1 $645.0 $634.1 $2,531.2 $651.2 $634.0 $629.5 0.9% -2.4% Annuity Collected Premiums $325.2 $285.1 $345.0 $1,165.0 $325.4 $344.3 $333.3 2.5% 16.9% Client Assets in BD and Advisory2 $1,839.0 $2,067.2 $2,311.6 $2,311.6 $2,444.6 $2,636.0 $2,693.1 46.4% 30.3% Fee Revenue3 $16.5 $19.9 $36.6 $106.0 $32.3 $31.1 $28.0 69.7% 40.7% Y/Y Change2020 2021 Growth Scorecard E xp a nd t o th e R ig h t D ri ve G ro w th 1 Measured as 100% of new life and health annualized premiums, except for single premium whole life deposits, which are measured at 10% of annualized premium. 2 Client assets include cash and securities in brokerage, broker/dealer customer account assets custodied directly at fund companies and insurance carriers, and assets under management in advisory accounts. Prior periods have been restated to conform with current presentation. 3 Represents fee revenue from the sales of third-party insurance products; services provided by WBD; fees generated by our broker-dealer and registered investment advisor. Beginning in 1Q21, such amount includes fee revenue earned by DirectPath. (dollars in millions) Most metrics up year-over-year; all metrics up versus 2019

 
CNO Financial Group | Third Quarter 2021 Earnings | October 27, 2021 6 Consumer Division Update Third Quarter HighlightsKey Initiatives Strong D2C and annuity momentum; challenging agent recruiting environment Expand reach Maintain growth momentum Optimize distribution • Life sales flat YoY; up 25% vs. 3Q19 • D2C Life sales up 13% YoY; up 38% vs. 3Q19 • Annuity collected premiums up 17% YoY; up 2% vs. 3Q19 • Third-party sales up 15% YoY; up 5% vs. 3Q19 • Ongoing cross-channel collaboration • Veteran agent retention and productivity remains strong • Registered agent1 count up 5% • Approximately 50% of Life and Health NAP sold virtually • Steady growth in client assets in brokerage and advisory • Well-positioned for Medicare annual enrollment 1 Registered agents are dually licensed as insurance agents and financial representatives who can buy and sell securities for clients, and/or investment advisors who can provide ongoing investment advice for clients.

 
CNO Financial Group | Third Quarter 2021 Earnings | October 27, 2021 7 Worksite Division Update Third Quarter Highlights • Life and Health sales up 42% YoY; up 12% sequentially • Fee revenue up 140% YoY; 11% organic growth • Stable employer base and premium collection • Growing DirectPath/WBD cross-sale success • Average client size increasing; penetration deepening • Exploring new approaches to access employers/employees Key Initiatives Expand reach • Strong veteran agent retention and productivity gains • Personal referral program introduced for new agents Restore growth Optimize distribution Sales gaining traction; Delta variant slowing pace of recovery

 
CNO Financial Group | Third Quarter 2021 Earnings | October 27, 2021 8 Excess Capital Allocation Strategy Disciplined and opportunistic approach to maximize shareholder value Organic investments to sustain and grow the core businesses • Agent pilots, technology-driven customer experience enhancements • Hybrid distribution • Worksite B2B marketing, lead generation Return capital to shareholders • Share repurchases: $115 million in 3Q21, $302 million YTD • Dividends: $16 million in 3Q21, $50 million YTD Opportunistic transactions • Highly selective M&A • CNO Ventures; strategic minority investments largely in InsurTech • LTC reinsurance (2018), Web Benefits Design (2019), DirectPath (2021)

 
CNO Financial Group | Third Quarter 2021 Earnings | October 27, 2021 9 $0.79 $0.72 $0.91 $0.77 Financial Highlights Continued strong earnings; robust share repurchase activity Earnings ResultsThird Quarter 2021 Net operating income1 $112.6 $92.8 Net income $129.2 $99.8 Weighted average shares outstanding (in millions) 141.7 129.0 (dollars in millions, except where noted) Net operating earnings per share1 • Operating EPS1 of $0.72 vs. $0.79 in 3Q20 • Unfavorable significant items of $0.02 • Decline in net favorable COVID impacts of $0.09 • Reflects: • Solid underlying insurance margins • Ongoing net favorable COVID-related impacts • Strong alternative investment performance and prepayment income • Continued disciplined capital management • Total expenses of $155 million excluding significant items, flat with 1Q21, consistent with expectations • Operating ROE1, as adjusted, of 11.5% • $115 million in share repurchases • Weighted average share count reduced by 9% YoY 1 A non-GAAP measure. See the Appendix for a reconciliation to the corresponding GAAP measure. Net income per share 3Q20 3Q21 Excluding significant items $0.74

 
CNO Financial Group | Third Quarter 2021 Earnings | October 27, 2021 10 Highlights1 $45.3 $52.0 $57.9 $66.0 $52.5 $47.3 $41.6 $27.1 $39.7 $53.2 $152.2 $125.2 $124.7 $120.9 $117.9 Insurance Product Margin (dollars in millions) Positive net COVID impact; stable underlying margins excluding COVID Insurance Product Margin Excluding Significant Items1 3Q20 4Q20 1Q21 2Q21 3Q21 Annuity Health Life Total Margin $244.8 $218.8 $209.7 $226.6 $223.6 1.86% 2.11% 2.33% 2.63% 2.05% Margin / average net insurance liabilities Margin / insurance policy income 36% 30% 30% 29% 28% ISL: Margin / average net insurance liabilities 0.30% 0.17% 0.80% 0.66% 0.69% ISL: Underwriting margin / insurance policy income 43% 36% 30% 37% 43% Trad: Margin / insurance policy income 18% 17% 8% 14% 20% Trad: Margin ex. Adv. Exp. / insurance policy income 27% 26% 21% 28% 31% • Total margin down $21 million, or 9% • Net favorable COVID impact of $23 million vs. net favorable $42 million in 3Q20 • Underlying business performing as expected excluding COVID • Annuity margin up $7 million, or 16% • Favorable COVID impact of $1 million vs. unfavorable $7 million in 3Q20 • Health margin down $34 million, or 23% • Favorable COVID impact of $25 million from deferral of care vs. favorable $58 million in 3Q20 • Medicare Supplement: $3 million • Supplemental health: $8 million • Long-term care: $14 million • Life margin up $6 million, or 12% • Unfavorable COVID impact of $3 million vs. unfavorable $9 million in 3Q20 • Non-deferred advertising expense up $6 million 1 Excludes $16.1 million favorable annuity unlocking/$4.3 million unfavorable life unlocking in 4Q20. See the Appendix for a reconciliation to the corresponding GAAP measure.

 
CNO Financial Group | Third Quarter 2021 Earnings | October 27, 2021 11 $- $100.0 $200.0 $300.0 $400.0 3Q 2020 3Q 2021 Investment Income Not Allocated to Product Lines $- $100.0 $200.0 $300.0 $400.0 3Q 2020 3Q 2021 Total Net Investment Income1 Annuity Health Life Not Allocated $- $100.0 $200.0 $300.0 $400.0 3Q 2020 3Q 2021 Investment Income Allocated to Product Lines Annuity Health Life Investment Results • Average yield on allocated investments of 4.72% vs. 4.75% in 2Q21 and 4.88% in 3Q20 • New money rate of 3.55%; up from 3.38% in 2Q21 • $849 million in new money investments with average rating of A- and average duration of 13 years 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. +1% $221.7 $224.1 $275.0$265.4 $50.9$43.7 • Invested assets up 5% YoY • 388 bps reduction in BBB/HY since 12/31/2020 • Earned yield of 5.03% vs. 4.97% in 2Q21 and 5.04% in 3Q20 • Investment Income Not Allocated to Product Lines up $7 million YoY • Strong alternatives performance, prepayment activity in 3Q21 (dollars in millions) Variable investment income outperformance drove increase in overall NII

 
CNO Financial Group | Third Quarter 2021 Earnings | October 27, 2021 12 IG Corporates, 51.7% Non-Agency RMBS, 7.2% Mortgage Loans, 4.6% HY Corporates, 3.0% CMBS, 8.2% Municipals, 10.3% ABS, 3.7% Govts/Agency, 1.3% CLO, 1.9% Equities, 0.5% Other Invested Assets, 2.1% Alternatives, 2.1% Policy Loans, 0.4% Cash, 2.9% Portfolio Composition $28 billion of Invested Assets Highlights (Fair Value as of 9/30/2021) General Approach • Positioned for stable performance across credit cycles • Focus on quality • Lower than average allocation to most higher risk categories • Low impairments through multiple cycles • $24.7 billion of assets with high degree of liquidity • 65% of portfolio in corporate and government bonds • ~$14.9 billion public corporate bonds • ~$5.8 billion structured securities • ~$3.2 billion municipal, political subdivisions, and U.S. and foreign government bonds • Strong credit risk profile • 95% rated NAIC 1 / 2 • Portfolio average rating A • Significant credit enhancement in structured products • Diversified commercial and residential mortgages with favorable performance metrics and strong operating characteristics. No commercial delinquencies, immaterial residential delinquencies. • Alternative investments emphasizing current cash flows and comparatively predictable results High quality, balanced set of earnings and risks

 
CNO Financial Group | Third Quarter 2021 Earnings | October 27, 2021 13 Cash Flow Profile Strong free cash flow generation and conversion (dollars in millions) 1 A non-GAAP measure. See the Appendix for a reconciliation to the corresponding GAAP measure. 2 Cash flows exclude acquisitions, dividend payments, stock repurchases, and financing transactions.

 
CNO Financial Group | Third Quarter 2021 Earnings | October 27, 2021 14 Capital and Liquidity Overview 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. Debt to Capital2 Consolidated Risk Based Capital (RBC) Ratio1  Target leverage of 25.0 - 28.0%  Debt covenant ceiling of 35%  Debt capacity within limit of target leverage $147 million  Targeted consolidated RBC ratio of 375 - 400%  Intentionally moving within target range  RBC variability can be expected in periods of market volatility Holding Company Liquidity  Minimum targeted holding company liquidity of $150 million  Liquidity bolstered by $250 million undrawn revolver  No outstanding debt maturities until 2025 Conservative approach to capital structure; strong liquidity (dollars in millions) 408% 411% 407% 409% 388% 2019 2020 1Q 2021 2Q 2021 3Q 2021 23.0% 25.6% 25.4% 25.5% 25.6% 2019 2020 1Q 2021 2Q 2021 3Q 2021 $186.7 $388.1 $324.1 $336.4 $366.4 2019 2020 1Q 2021 2Q 2021 3Q 2021

 
CNO Financial Group | Third Quarter 2021 Earnings | October 27, 2021 15 Outlook for 4Q 2021 Sales  Modest growth in total Life & Health new annualized premiums and total collected premiums Earnings Free Cash Flow / Excess Capital  Reduced dividends from operating companies due to impact of year-end 2021 change in C1 factors on RBC (16 points; ~$80 million of capital)  Target low end of 375-400% consolidated RBC range  Move closer to $150 million minimum holdco liquidity target  COVID-related • Continued net favorable COVID impact but lower than recent trend  Investment income • Allocated to products: flat to slightly higher as asset growth is largely offset by declining yield • Not allocated to products: lower than recent trend, given 3Q 2021 market conditions – alternative investments reported on a one quarter lag  Fee income • Up sequentially and year-over-year  Expenses (excluding significant items) • Generally in line with recent quarters Expecting net COVID impacts and variable investment income to moderate

 
CNO Financial Group | Third Quarter 2021 Earnings | October 27, 2021 16 Delivering on our Commitments Turnaround / De-risking Pivot to Growth Optimize Long-term Value Pre 2017 2017 - 2019 2020 - 2021 Post-COVID • Reinsured life block (2009) • Recapitalized company (2012) • Initiated dividend (2012) • Sold Legacy Life Insurance Block (2014) • Migrated ratings upwards–within non-investment grade ratings classes • Completed Senior Leadership additions • Reinsured LTC block • Achieved investment grade credit ratings • Up-in-quality portfolio repositioning • Sustainable momentum in recruiting and sales • Benefiting from diverse business model and strong retention • Balancing capital return with investments in growth • Conservative capital structure • Up-in-quality investment positioning • Successfully pivoting to new sales approaches • Accelerating integration of D2C and exclusive agents • Expanding D2C offerings • Reimagining future workplace • Optimize customer-centric business alignment • Expand omnichannel delivery model • Extract potential from Worksite business • Enhance growth, margin and ROE profile • Maximize distributable cash flow • Accelerate pace of capital deployment • Leverage technology COVID-19 Pivoting to post-COVID strategic priorities

 
CNO Financial Group | Third Quarter 2021 Earnings | October 27, 2021 17 Well-positioned in underserved senior middle-income market Highly differentiated business model Favorable demographic tailwinds Sustainable growth initiatives in place Strong balance sheet; robust free cash flow generation Investment Highlights

 
CNO Financial Group | Third Quarter 2021 Earnings | October 27, 2021 18 Questions and Answers

 
CNO Financial Group | Third Quarter 2021 Earnings | October 27, 2021 19 Appendix 1: Quarter in Review Strong Operational Performance • Broker-Dealer/Registered Investment Advisor Slide 20 • Exclusive Agent Counts Slide 21 Building on Strong Track Record of Execution • New Money Rate Walk Slide 22 • New Money Summary Slide 23 • Long-Term Care Insurance Slide 24 • Tax Asset Summary Slide 25

 
CNO Financial Group | Third Quarter 2021 Earnings | October 27, 2021 20 Broker-Dealer/Registered Investment Advisor 1 Client assets include cash and securities in brokerage, broker/dealer customer account assets custodied directly at fund companies and insurance carriers, and assets under management in advisory accounts. Prior periods have been restated to conform with current presentation. 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 (dollars in millions) Account values up 30% YoY; $2.7 billion in client assets 3Q 4Q 1Q 2Q 3Q Net New Client Assets in Brokerage (31.5)$ 3.0$ (12.4)$ 2.2$ (23.0)$ Brokerage and Advisory1 Advisory 23.5 43.9 74.2 69.9 66.0 Total (8.0)$ 46.9$ 61.8$ 72.1$ 43.0$ Client Assets in Brokerage and Brokerage 1,384.4$ 1,520.9$ 1,560.3$ 1,635.3$ 1,639.0$ Advisory1 at end of period Advisory 682.8 790.7 884.3 1,000.7 1,054.1 Total 2,067.2$ 2,311.6$ 2,444.6$ 2,636.0$ 2,693.1$ 2020 2021

 
CNO Financial Group | Third Quarter 2021 Earnings | October 27, 2021 21 % Change Consumer 3Q 4Q 1Q 2Q 3Q Y/Y Producing Field Agents1,3 4,448 4,539 4,389 4,360 4,168 -6.3% Producing Tele-Sales Agents1,3 239 257 258 247 235 -1.7% Total Producing Agents1,3 4,687 4,796 4,647 4,607 4,403 -6.1% Registered Agents2,3 618 641 646 639 646 4.5% Worksite Producing Field Agents1,3 242 255 241 258 229 -5.4% 2020 2021 Exclusive Agent Counts 1 Producing agents are exclusive agents that have submitted at least one policy in the month. 2 Registered agents are dually licensed as insurance agents and financial representatives who can buy and sell securities for clients, and/or investment advisors who can provide ongoing investment advice for clients. 3 Agent and representative counts represent the average of the last 3 months. Tight labor market impacting new agent recruiting; veteran agent retention strong

 
CNO Financial Group | Third Quarter 2021 Earnings | October 27, 2021 22 New Money Rate Walk 3Q NMR up 17 bps QoQ due to selective direct investments, higher market yields

 
CNO Financial Group | Third Quarter 2021 Earnings | October 27, 2021 23 New Money Summary Continued up-in-quality bias during third quarter 93% Investment Grade Third Quarter Investments Allocation $ Allocation% Yield Average Rating Average Duration IG Corporates 366 43.1% 3.64% A- 16.6 Structured Securities 243 28.6% 3.29% A 7.1 Municipals 162 19.1% 3.04% AA- 16.6 HY Corporates 49 5.8% 4.32% B+ 6.7 CML 17 2.0% 3.19% A 6.0 Direct investment 12 1.4% 10.22% NR - Total 849 100% 3.55% A- 12.9 IG Corporates 43% Structured Securities 29% Municipals 19% HY Corporates 6% CML 2% Direct investment 1%

 
CNO Financial Group | Third Quarter 2021 Earnings | October 27, 2021 24  New sales (~$25 million annually) focused on short duration products – 99% of new sales for policies with 2 years or less in benefits – Average benefit period of 12 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 rates reflect a low for long environment  Favorable economic profile – 2020 Loss Recognition Testing margin increased to $302 million or ~12% of Net GAAP Liabilities driven by margin from new business and favorable pre-COVID morbidity trends – Statutory reserves ~$199 million higher than LTC Net GAAP Liabilities, which are currently ~$2.51 billion – Total LTC is just 13% of overall CNO reserves – Potential adverse impact from severe stress scenarios is significantly reduced – Average original daily benefit is $143 per day for inforce block Long-Term Care Insurance Highly differentiated in-force block; prudently managed

 
CNO Financial Group | Third Quarter 2021 Earnings | October 27, 2021 25 Non-life NOLs $265 DTAs related to tax strategy $143 Value of NOLs and deferred tax assets (DTAs) related to tax strategy Details • Total estimated economic value of tax assets related to our NOLs and tax strategy of approximately $269 million @ 10% discount rate ($2.12 on a per share basis). • Life NOLs have been fully utilized. Non- life NOLs are expected to offset 100% of non-life taxable income and 35% of life taxable income through 2023. • Tax refund related to the loss carrybacks permitted by the CARES Act of $80 million was received in 3Q 2021. $408 (dollars in millions) Tax Asset Summary as of September 30, 2021 $408 million/$3.22 per diluted share value of NOLs and DTAs related to tax strategy

 
CNO Financial Group | Third Quarter 2021 Earnings | October 27, 2021 26 Appendix 2: Financial Exhibits • Non-GAAP Financial Measures Slides 27-45

 
CNO Financial Group | Third Quarter 2021 Earnings | October 27, 2021 27 The table below summarizes the financial impact of significant items on our 3Q21 net operating income. Management believes that identifying the impact of these items enhances the understanding of our operating results. 3Q21 Significant Items (dollars in millions, except per-share amounts) (1) Comprised of $3.0 million from legal and regulatory matters. (2) A non-GAAP measure. See pages 34 and 36 for a reconciliation to the corresponding GAAP measure. Insurance product margin Annuity 52.5$ -$ 52.5$ Health 117.9 - 117.9 Life 53.2 - 53.2 Total insurance product margin 223.6 - 223.6 Allocated expenses (140.5) - (140.5) Income from insurance products 83.1 - 83.1 Fee income 2.6 - 2.6 Investment income not allocated to product lines 50.9 - 50.9 Expenses not allocated to product lines (17.3) 3.0 (1) (14.3) Operating earnings before taxes 119.3 3.0 122.3 Income tax expense on operating income (26.5) (0.7) (27.2) Net operating income (2) 92.8$ 2.3$ 95.1 Net operating income per diluted share (2) 0.72$ 0.02$ 0.74$ Three months ended September 30, 2021 Actual results Significant items Excluding significant items

 
CNO Financial Group | Third Quarter 2021 Earnings | October 27, 2021 28 The table below summarizes the financial impact of significant items on our 2Q21 net operating income. Management believes that identifying the impact of these items enhances the understanding of our operating results. 2Q21 Significant Items (dollars in millions, except per-share amounts) (1) Comprised of $4.5 million from legal and regulatory matters. (2) A non-GAAP measure. See pages 34 and 36 for a reconciliation to the corresponding GAAP measure. Insurance product margin Annuity 66.0$ -$ 66.0$ Health 120.9 - 120.9 Life 39.7 - 39.7 Total insurance product margin 226.6 - 226.6 Allocated expenses (141.6) - (141.6) Income from insurance products 85.0 - 85.0 Fee income 6.6 - 6.6 Investment income not allocated to product lines 47.8 - 47.8 Expenses not allocated to product lines (23.8) 4.5 (1) (19.3) Operating earnings before taxes 115.6 4.5 120.1 Income tax expense on operating income (26.5) (1.0) (27.5) Net operating income (2) 89.1$ 3.5$ 92.6 Net operating income per diluted share (2) 0.66$ 0.03$ 0.69$ Three months ended June 30, 2021 Actual results Significant items Excluding significant items

 
CNO Financial Group | Third Quarter 2021 Earnings | October 27, 2021 29 The table below summarizes the financial impact of significant items on our 1Q21 net operating income. Management believes that identifying the impact of these items enhances the understanding of our operating results. 1Q21 Significant Items (dollars in millions, except per-share amounts) (1) Comprised of: (i) $5.3 million from legal and regulatory matters; and (ii) $2.5 million of transaction expenses related to the previously announced acquisition of DirectPath, LLC. The legal and regulatory matters primarily consist of an increase to our liability for claims and interest pursuant to the Global Resolution Agreement, as we have now processed and verified most of the claims provided by the third-party auditor allowing us to more accurately estimate the ultimate liability. (2) A non-GAAP measure. See pages 34 and 36 for a reconciliation to the corresponding GAAP measure. Insurance product margin Annuity 57.9$ -$ 57.9$ Health 124.7 - 124.7 Life 27.1 - 27.1 Total insurance product margin 209.7 - 209.7 Allocated expenses (141.1) - (141.1) Income from insurance products 68.6 - 68.6 Fee income 7.3 - 7.3 Investment income not allocated to product lines 43.0 - 43.0 Expenses not allocated to product lines (22.0) 7.8 (1) (14.2) Operating earnings before taxes 96.9 7.8 104.7 Income tax expense on operating income (21.7) (1.7) (23.4) Net operating income (2) 75.2$ 6.1$ 81.3 Net operating income per diluted share (2) 0.55$ 0.04$ 0.59$ Three months ended March 31, 2021 Actual results Significant items Excluding significant items

 
CNO Financial Group | Third Quarter 2021 Earnings | October 27, 2021 30 The table below summarizes the financial impact of significant items on our 4Q20 net operating income. Management believes that identifying the impact of these items enhances the understanding of our operating results. 4Q20 Significant Items (dollars in millions, except per-share amounts) (1) Adjustments arising from our comprehensive annual actuarial review of assumptions. (2) Unfavorable impact related to asset impairments. (3) A non-GAAP measure. See pages 34 and 36 for a reconciliation to the corresponding GAAP measure. Insurance product margin Annuity 68.1$ (16.1)$ (1) 52.0$ Health 125.2 - 125.2 Life 37.3 4.3 (1) 41.6 Total insurance product margin 230.6 (11.8) 218.8 Allocated expenses (162.7) - (162.7) Income from insurance products 67.9 (11.8) 56.1 Fee income 2.9 - 2.9 Investment income not allocated to product lines 57.8 - 57.8 Expenses not allocated to product lines (17.8) 3.7 (2) (14.1) Operating earnings before taxes 110.8 (8.1) 102.7 Income tax expense on operating income (24.8) 1.7 (23.1) Net operating income (3) 86.0$ (6.4)$ 79.6$ Net operating income per diluted share (3) 0.61$ (0.04)$ 0.57$ Three months ended December 31, 2020 Actual results Significant items Excluding significant items

 
CNO Financial Group | Third Quarter 2021 Earnings | October 27, 2021 31 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. 2Q20 Significant Items (dollars in millions, except per-share amounts) Insurance product margin Annuity 123.8$ 40.0$ (1) 72.3$ (91.5) (1) Health 95.5 - 95.5 Life 36.1 5.6 (1) 41.7 Total insurance product margin 255.4 (45.9) 209.5 Allocated expenses (128.1) - (128.1) Income from insurance products 127.3 (45.9) 81.4 Fee income 5.2 - 5.2 Investment income not allocated to product lines 8.2 - 8.2 Expenses not allocated to product lines (38.5) 23.5 (2) (15.0) Operating earnings before taxes 102.2 (22.4) 79.8 Income tax expense on operating income (22.8) 4.7 (18.1) Net operating income (3) 79.4$ (17.7)$ 61.7$ Net operating income per diluted share (3) $0.55 (0.12)$ 0.43$ Three months ended June 30, 2020 Actual results Significant items Excluding significant items The footnotes to the above table are on the following page.

 
CNO Financial Group | Third Quarter 2021 Earnings | October 27, 2021 32 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): This actuarial unlocking exercise did not replace our comprehensive annual review of all assumptions for our insurance products, which we completed in the fourth quarter of 2020. (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. 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

 
CNO Financial Group | Third Quarter 2021 Earnings | October 27, 2021 33 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. 4Q19 Significant Items (dollars in millions, except per-share amounts) (1) Adjustments arising from our comprehensive annual actuarial review of assumptions. (2) $20.0 million of the net favorable impact from legal and regulatory matters. (3) A non-GAAP measure. See pages 34 and 36 for a reconciliation to the corresponding GAAP measure. Insurance product margin Annuity 60.5$ 0.3$ (1) 60.8$ Health 93.0 - 93.0 Life 46.7 9.7 (1) 56.4 Total insurance product margin 200.2 10.0 210.2 Allocated expenses (140.6) - (140.6) Income from insurance products 59.6 10.0 69.6 Fee income 11.7 - 11.7 Investment income not allocated to product lines 26.2 - 26.2 Expenses not allocated to product lines 2.8 (20.0) (2) (17.2) Operating earnings before taxes 100.3 (10.0) 90.3 Income tax expense on operating income (21.7) 2.1 (19.6) Net operating income (3) 78.6$ (7.9)$ 70.7$ Net operating income per diluted share (3) 0.52$ (0.05)$ 0.47$ Three months ended December 31, 2019 Actual results Significant items Excluding significant items

 
CNO Financial Group | Third Quarter 2021 Earnings | October 27, 2021 34 3Q20 4Q20 1Q21 2Q21 3Q21 Insurance product margin Annuity 45.3$ 68.1$ 57.9$ 66.0$ 52.5$ Health 152.2 125.2 124.7 120.9 117.9 Life 47.3 37.3 27.1 39.7 53.2 Total insurance product margin 244.8 230.6 209.7 226.6 223.6 Allocated expenses (130.3) (162.7) (141.1) (141.6) (140.5) Income from insurance products 114.5 67.9 68.6 85.0 83.1 Fee income 0.8 2.9 7.3 6.6 2.6 Investment income not allocated to product lines 43.7 57.8 43.0 47.8 50.9 Expenses not allocated to product lines (13.7) (17.8) (22.0) (23.8) (17.3) Operating earnings before taxes 145.3 110.8 96.9 115.6 119.3 Income tax expense on operating income (32.7) (24.8) (21.7) (26.5) (26.5) Net operating income* 112.6 86.0 75.2 89.1 92.8 Net realized investment gains (losses) from sales, impairments and change in allowance for credit losses (net of related amortization) 7.7 12.6 3.6 24.3 2.2 Net change in market value of investments recognized in earnings 8.5 6.0 (6.4) 5.7 (4.6) Fair value changes in embedded derivative liabilities (net of related amortization) (1.6) 16.3 82.1 (44.9) 10.9 Fair value changes related to agent deferred compensation plan - (3.1) 13.2 - - Other 6.5 0.9 0.6 0.9 0.2 Non-operating income (loss) before taxes 21.1 32.7 93.1 (14.0) 8.7 Income tax expense (benefit) on non-operating income 4.5 6.9 20.9 (2.9) 1.7 Net non-operating income (loss) 16.6 25.8 72.2 (11.1) 7.0 Net income 129.2$ 111.8$ 147.4$ 78.0$ 99.8$ Quarterly Earnings (dollars in millions) * 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 above table.

 
CNO Financial Group | Third Quarter 2021 Earnings | October 27, 2021 35 Information Related to Certain Non-GAAP Financial Measures The following provides additional information regarding certain non-GAAP measures used in this presentation. A non-GAAP measure is a numerical measure of a company’s performance, financial position, or cash flows that excludes or includes amounts that are normally excluded or included in the most directly comparable measure calculated and presented in accordance with GAAP. While management believes these measures are useful to enhance understanding and comparability of our financial results, these non-GAAP measures should not be considered as substitutes for the most directly comparable GAAP measures. Additional information concerning non-GAAP measures is included in our periodic filings with the Securities and Exchange Commission that are available in the “Investors – SEC Filings” section of CNO’s website, www.CNOinc.com. Operating earnings measures Management believes that an analysis of net income applicable to common stock before net realized investment gains or losses from sales, impairments and change in allowance for credit losses, net change in market value of investments recognized in earnings, fair value changes due to fluctuations in the interest rates used to discount embedded derivative liabilities related to our fixed index annuities, fair value changes related to the agent deferred compensation plan, loss on extinguishment of debt, changes in the valuation allowance for deferred tax assets and other tax items and other non-operating items consisting primarily of earnings attributable to variable interest entities (“net operating income,” a non- GAAP financial measure) is important to evaluate the financial performance of the Company and is a key measure commonly used in the life insurance industry. Management uses this measure to evaluate performance because the items excluded from net operating income can be affected by events that are unrelated to the Company’s underlying fundamentals.

 
CNO Financial Group | Third Quarter 2021 Earnings | October 27, 2021 36 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) 3Q20 4Q20 1Q21 2Q21 3Q21 Net income applicable to common stock 129.2$ 111.8$ 147.4$ 78.0$ 99.8$ Non-operating items: Net realized investment (gains) losses from sales and impairments, net of related amortization (7.7) (12.6) (3.6) (24.3) (2.2) Net change in market value of investments recognized in earnings (8.5) (6.0) 6.4 (5.7) 4.6 Fair value changes in embedded derivative liabilities, net of related amortization 1.6 (16.3) (82.1) 44.9 (10.9) Fair value changes related to the agent deferred compensation plan - 3.1 (13.2) - - Other (6.5) (0.9) (0.6) (0.9) (0.2) Non-operating (income) loss before taxes (21.1) (32.7) (93.1) 14.0 (8.7) Income tax (expense) benefit on non-operating (income) loss (4.5) (6.9) (20.9) 2.9 (1.7) Net non-operating (income) loss (16.6) (25.8) (72.2) 11.1 (7.0) Net operating income (a non-GAAP financial measure) 112.6$ 86.0$ 75.2$ 89.1$ 92.8$ Per diluted share: Net income 0.91$ 0.80$ 1.08$ 0.58$ 0.77$ Net realized investment (gains) losses from sales and impairments (net of related amortization and taxes) (0.04) (0.07) (0.02) (0.14) (0.02) Net change in market value of investments recognized in earnings (net of taxes) (0.05) (0.04) 0.04 (0.03) 0.03 Fair value changes in embedded derivative liabilities (net of related amortization and taxes) 0.01 (0.09) (0.47) 0.26 (0.06) Fair value changes related to the agent deferred compensation plan (net of taxes) - 0.02 (0.08) - - Other (0.04) (0.01) - (0.01) - Net operating income (a non-GAAP financial measure) 0.79$ 0.61$ 0.55$ 0.66$ 0.72$

 
CNO Financial Group | Third Quarter 2021 Earnings | October 27, 2021 37 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) 3Q20 4Q20 1Q21 2Q21 3Q21 Operating income 112.6$ 86.0$ 75.2$ 89.1$ 92.8$ Weighted average shares outstanding for basic earnings per share 140,900 138,232 134,140 131,016 126,429 Effect of dilutive securities on weighted average shares: Stock options, restricted stock and performance units 830 2,155 2,513 2,798 2,589 Weighted average shares outstanding for diluted earnings per share 141,730 140,387 136,653 133,814 129,018 Net operating income per diluted share 0.79$ 0.61$ 0.55$ 0.66$ 0.72$

 
CNO Financial Group | Third Quarter 2021 Earnings | October 27, 2021 38 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) 3Q20 4Q20 1Q21 2Q21 3Q21 Total shareholders' equity 5,083.9$ 5,484.2$ 4,860.7$ 5,324.0$ 5,232.9$ Shares outstanding for the period 138,931,352 135,279,119 132,268,255 129,105,039 124,269,869 Book value per share 36.59$ 40.54$ 36.75$ 41.24$ 42.11$ Total shareholders' equity 5,083.9$ 5,484.2$ 4,860.7$ 5,324.0$ 5,232.9$ Less accumulated other comprehensive income (1,801.6) (2,186.1) (1,518.1) (1,995.5) (1,929.7) Adjusted shareholders' equity excluding AOCI 3,282.3$ 3,298.1$ 3,342.6$ 3,328.5$ 3,303.2$ Shares outstanding for the period 138,931,352 135,279,119 132,268,255 129,105,039 124,269,869 Dilutive common stock equivalents related to: Stock options, restricted stock and performance units 1,040,861 2,438,176 2,356,263 2,444,309 2,647,710 Diluted shares outstanding 139,972,213 137,717,295 134,624,518 131,549,348 126,917,579 Book value per diluted share (a non-GAAP measure) 23.45$ 23.95$ 24.83$ 25.30$ 26.03$

 
CNO Financial Group | Third Quarter 2021 Earnings | October 27, 2021 39 Information Related to Certain Non-GAAP Financial Measures Operating return measures Management believes that an analysis of net income applicable to common stock before net realized investment gains or losses from sales, impairments and change in allowance for credit losses, net change in market value of investments recognized in earnings, fair value changes due to fluctuations in the interest rates used to discount embedded derivative liabilities related to our fixed index annuities, fair value changes related to the agent deferred compensation plan, loss on extinguishment of debt, changes in the valuation allowance for deferred tax assets and other tax items, loss on extinguishment of debt and other non-operating items consisting primarily of earnings attributable to variable interest entities (“net operating income,” a non-GAAP financial measure) is important to evaluate the financial performance of the Company and is a key measure commonly used in the life insurance industry. Management uses this measure to evaluate performance because the items excluded from net operating income can be affected by events that are unrelated to the Company’s underlying fundamentals. Management also believes that an operating return, excluding significant items, is important as the impact of these items enhances the understanding of our operating results. This non-GAAP financial measure also differs from return on equity because accumulated other comprehensive income (loss) has been excluded from the value of equity used to determine this ratio. Management believes this non-GAAP financial measure is useful because it removes the volatility that arises from changes in accumulated other comprehensive income (loss). Such volatility is often caused by changes in the estimated fair value of our investment portfolio resulting from changes in general market interest rates rather than the business decisions made by management. In addition, our equity includes the value of significant net operating loss carryforwards (included in income tax assets). In accordance with GAAP, these assets are not discounted, and accordingly will not provide a return to shareholders (until after it is realized as a reduction to taxes that would otherwise be paid). Management believes that excluding this value from the equity component of this measure enhances the understanding of the effect these non-discounted assets have on operating returns and the comparability of these measures from period-to-period. Operating return measures are used in measuring the performance of our business units and are used as a basis for incentive compensation.

 
CNO Financial Group | Third Quarter 2021 Earnings | October 27, 2021 40 Information Related to Certain Non-GAAP Financial Measures The calculations of: (i) operating return on equity, excluding accumulated other comprehensive income (loss) and net operating loss carryforwards (a non-GAAP financial measure); (ii) operating return, excluding significant item, on equity, excluding accumulated other comprehensive income (loss) and net operating loss carryforwards (a non-GAAP financial measure); and (iii) return on equity are as follows: (dollars in millions) (Continued on next page) 3Q20 4Q20 1Q21 2Q21 3Q21 Operating income 354.9$ 362.3$ 353.2$ 362.9$ 343.1$ Operating income, excluding significant items 329.3$ 338.2$ 335.2$ 366.1$ 348.6$ Net income 468.0$ 301.8$ 470.4$ 466.4$ 437.0$ Average common equity, excluding accumulated other comprehensive income (loss) and net operating loss carryforwards (a non-GAAP financial measure) 2,760.6$ 2,812.4$ 2,876.5$ 2,947.7$ 2,995.5$ Average common shareholders' equity 4,498.2$ 4,665.4$ 4,903.1$ 5,114.1$ 5,206.8$ Operating return on equity, excluding accumulated other comprehensive income (loss) and net operating loss carryforwards (a non-GAAP financial measure) 12.9% 12.9% 12.3% 12.3% 11.5% Operating return, excluding significant items, on equity, excluding accumulated other comprehensive income (loss) and net operating loss carryforwards (a non-GAAP financial measure) 11.9% 12.0% 11.7% 12.4% 11.6% Return on equity 10.4% 6.5% 9.6% 9.1% 8.4% Trailing Twelve Months Ended

 
CNO Financial Group | Third Quarter 2021 Earnings | October 27, 2021 41 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 income Significant items (a) Net operating income, excluding significant items Net operating income, excluding significant items - trailing four quarters Net income (loss) Net income - trailing four quarters 4Q19 78.6$ (7.9)$ 70.7$ 282.1$ 278.0$ 409.4$ 1Q20 84.3 - 84.3 300.6 (21.2) 336.4 2Q20 79.4 (17.7) 61.7 285.9 82.0 380.8 3Q20 112.6 - 112.6 329.3 129.2 468.0 4Q20 86.0 (6.4) 79.6 338.2 111.8 301.8 1Q21 75.2 6.1 81.3 335.2 147.4 470.4 2Q21 89.1 3.5 92.6 366.1 78.0 466.4 3Q21 92.8 2.3 95.1 348.6 99.8 437.0 (a) The significant items have been discussed in prior press releases. (Continued on next page)

 
CNO Financial Group | Third Quarter 2021 Earnings | October 27, 2021 42 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) (Continued on next page) 3Q20 4Q20 1Q21 2Q21 3Q21 Pre-tax operating earnings (a non-GAAP financial measure) 453.3$ 463.8$ 455.2$ 468.6$ 442.6$ Income tax expense (98.4) (101.5) (102.0) (105.7) (99.5) Operating return 354.9 362.3 353.2 362.9 343.1 Non-operating items: Net realized investment gains (losses) from sales and impairments, net of related amortization (36.6) (31.1) 36.2 48.2 42.7 Net change in market value of investments recognized in earnings (11.3) (2.7) 39.3 13.8 0.7 Fair value changes in embedded derivative liabilities, net of related amortization (82.0) (79.1) 69.7 51.9 64.4 Fair value changes and amendment related to the agent deferred compensation plan (10.7) (16.3) (3.1) 10.1 10.1 Other (4.5) 9.7 8.0 8.9 2.6 Non-operating income (loss) before taxes (145.1) (119.5) 150.1 132.9 120.5 Income tax expense (benefit): On non-operating income (loss) (30.5) (25.0) 32.9 29.4 26.6 Valuation allowance for deferred tax assets and other tax items (227.7) (34.0) - - - Net non-operating income (loss) 113.1 (60.5) 117.2 103.5 93.9 Net income 468.0$ 301.8$ 470.4$ 466.4$ 437.0$ Twelve Months Ended

 
CNO Financial Group | Third Quarter 2021 Earnings | October 27, 2021 43 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) 1Q18 2Q18 3Q18 4Q18 Consolidated capital, excluding accumulated other comprehensive income (loss) and net operating loss carryforwards (a non-GAAP financial measure) 3,318.7$ 3,366.0$ 2,705.8$ 2,687.3$ Net operating loss carryforwards 404.2 388.7 510.6 505.9 Accumulated other comprehensive income 894.3 700.2 403.5 177.7 Common shareholders' equity 4,617.2$ 4,454.9$ 3,619.9$ 3,370.9$ 1Q19 2Q19 3Q19 4Q19 Consolidated capital, excluding accumulated other comprehensive income (loss) and net operating loss carryforwards (a non-GAAP financial measure) 2,703.4$ 2,702.9$ 2,685.0$ 2,761.9$ Net operating loss carryforwards 479.6 451.1 425.4 542.6 Accumulated other comprehensive income 654.9 1,098.2 1,442.9 1,372.5 Common shareholders' equity 3,837.9$ 4,252.2$ 4,553.3$ 4,677.0$ 1Q20 2Q20 3Q20 4Q20 Consolidated capital, excluding accumulated other comprehensive income (loss) and net operating loss carryforwards (a non-GAAP financial measure) 2,701.2$ 2,784.2$ 2,905.1$ 2,956.2$ Net operating loss carryforwards 469.4 426.8 377.2 341.9 Accumulated other comprehensive income 595.2 1,520.2 1,801.6 2,186.1 Common shareholders' equity 3,765.8$ 4,731.2$ 5,083.9$ 5,484.2$ 1Q21 2Q21 3Q21 Consolidated capital, excluding accumulated other comprehensive income (loss) and net operating loss carryforwards (a non-GAAP financial measure) 3,019.5$ 3,035.6$ 3,036.3$ Net operating loss carryforwards 323.1 292.9 266.9 Accumulated other comprehensive income 1,518.1 1,995.5 1,929.7 Common shareholders' equity 4,860.7$ 5,324.0$ 5,232.9$

 
CNO Financial Group | Third Quarter 2021 Earnings | October 27, 2021 44 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) 3Q20 4Q20 1Q21 2Q21 3Q21 Consolidated capital, excluding accumulated other comprehensive income (loss) and net operating loss carryforwards (a non-GAAP financial measure) 2,760.6$ 2,812.4$ 2,876.5$ 2,947.7$ 2,995.5$ Net operating loss carryforwards 460.0 428.9 385.5 350.5 320.0 Accumulated other comprehensive income 1,277.6 1,424.1 1,641.1 1,815.9 1,891.3 Common shareholders' equity 4,498.2$ 4,665.4$ 4,903.1$ 5,114.1$ 5,206.8$ Trailing Four Quarter Average

 
CNO Financial Group | Third Quarter 2021 Earnings | October 27, 2021 45 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) 4Q19 1Q20 2Q20 3Q20 4Q20 1Q21 2Q21 3Q21 Corporate notes payable 989.1$ 989.4$ 989.7$ 990.1$ 1,136.2$ 1,136.6$ 1,136.9$ 1,137.0$ Total shareholders' equity 4,677.0 3,765.8 4,731.2 5,083.9 5,484.2 4,860.7 5,324.0 5,232.9 Total capital 5,666.1$ 4,755.2$ 5,720.9$ 6,074.0$ 6,620.4$ 5,997.3$ 6,460.9$ 6,369.9$ Corporate debt to capital 17.5% 20.8% 17.3% 16.3% 17.2% 19.0% 17.6% 17.8% Corporate notes payable 989.1$ 989.4$ 989.7$ 990.1$ 1,136.2$ 1,136.6$ 1,136.9$ 1,137.0$ Total shareholders' equity 4,677.0 3,765.8 4,731.2 5,083.9 5,484.2 4,860.7 5,324.0 5,232.9 Less accumulated other comprehensive income (1,372.5) (595.2) (1,520.2) (1,801.6) (2,186.1) (1,518.1) (1,995.5) (1,929.7) Total capital 4,293.6$ 4,160.0$ 4,200.7$ 4,272.4$ 4,434.3$ 4,479.2$ 4,465.4$ 4,440.2$ Debt to total capital ratio, excluding AOCI (a non-GAAP financial measure) 23.0% 23.8% 23.6% 23.2% 25.6% 25.4% 25.5% 25.6%