EX-99.2 3 exhibit992-12312020investo.htm EX-99.2

Exhibit 99.2

Quarterly Financial Supplement - 4Q2020

February 9, 2021

Page 1

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Table of Contents												Page
Consolidated balance sheet												3
Consolidated statement of operations												4
Financial summary												5
Insurance operations												6
Margin from insurance products												7-9
Collected premiums from annuity and interest sensitive life products and insurance policy income												10
Health and life new annualized premiums												11
Computation of weighted average shares outstanding												12
Annuities - account value rollforwards												13
Statutory information												14
Investment income not allocated to product lines and investment income allocated to product lines												15-18
Other investment data												18
Significant items												19-20
Notes												21

Page 2

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CNO FINANCIAL GROUP, INC.

CONSOLIDATED BALANCE SHEET

(Dollars in millions)

(Unaudited)

			Mar-19						Jun-19						Sep-19						Dec-19						Mar-20						Jun-20						Sep-20						Dec-20
Assets
Investments:
Fixed maturities, available for sale, at fair value			$	19,468.4					$	20,437.2					$	21,089.2					21,295.2						$	20,379.1					$	22,167.9					$	22,702.9					$	23,383.6
Equity securities at fair value			40.8						38.8						39.3						44.1						50.1						60.5						62.1						151.2
Mortgage loans			1,626.1						1,596.5						1,561.7						1,566.1						1,484.1						1,459.9						1,444.9						1,358.7
Policy loans			121.3						121.6						122.8						124.5						124.7						124.3						123.6						123.0
Trading securities			237.9						248.3						247.3						243.9						227.8						240.6						240.3						232.0
Investments held by variable interest entities			1,241.4						1,215.2						1,204.2						1,188.6						1,038.1						1,137.4						1,172.6						1,189.4
Other invested assets			943.3						1,018.8						1,070.9						1,118.5						953.3						993.8						1,070.6						1,146.4
Total investments			23,679.2						24,676.4						25,335.4						$	25,580.9					24,257.2						26,184.4						26,817.0						27,584.3
Cash and cash equivalents - unrestricted			621.6						557.4						760.3						580.0						482.0						521.1						735.6						937.8
Cash and cash equivalents held by variable interest entities			69.7						50.5						61.7						74.7						68.5						36.8						51.0						54.1
Accrued investment income			214.8						211.2						212.7						205.9						213.0						205.3						214.4						205.8
Present value of future profits			333.6						299.3						284.0						275.4						282.2						263.4						255.9						249.4
Deferred acquisition costs			1,289.1						1,253.2						1,138.8						1,215.5						1,398.6						1,120.9						1,084.0						1,027.8
Reinsurance receivables			4,879.7						4,829.4						4,802.4						4,785.7						4,727.5						4,712.6						4,613.1						4,584.3
Income tax assets, net			479.9						348.3						241.5						432.6						703.2						428.8						322.0						199.4
Assets held in separate accounts			4.9						4.9						4.2						4.2						3.2						3.7						3.9						4.2
Other assets			741.9						485.4						438.8						476.0						599.6						502.5						472.3						492.8
Total assets			$	32,314.4					$	32,716.0					$	33,279.8					$	33,630.9					$	32,735.0					$	33,979.5					$	34,569.2					$	35,339.9
Liabilities
Liabilities for insurance products:
Policyholder account liabilities			$	11,676.9					$	11,851.4					$	11,998.9					12,132.3						$	12,138.1					$	12,171.3					$	12,357.5					$	12,540.6
Future policy benefits			11,234.2						11,314.3						11,423.2						11,498.5						11,429.9						11,767.5						11,753.1						11,744.2
Liability for policy and contract claims			521.0						517.8						508.9						522.3						510.7						488.6						473.2						561.8
Unearned and advanced premiums			255.9						248.1						242.8						260.5						251.0						243.6						256.8						252.6
Liabilities related to separate accounts			4.9						4.9						4.2						4.2						3.2						3.7						3.9						4.2
Other liabilities			804.0						740.2						762.0						750.2						850.7						788.3						855.8						821.8
Investment borrowings			1,645.5						1,645.2						1,644.8						1,644.3						1,643.9						1,643.4						1,642.9						1,642.5
Borrowings related to variable interest entities			1,416.8						1,153.6						1,153.0						1,152.5						1,152.3						1,152.2						1,152.0						1,151.8
Notes payable - direct corporate obligations			917.3						988.3						988.7						989.1						989.4						989.7						990.1						1,136.2
Total liabilities			28,476.5						28,463.8						28,726.5						28,953.9						28,969.2						29,248.3						29,485.3						29,855.7
Shareholders' equity
Common stock			1.6						1.6						1.5						1.5						1.4						1.4						1.4						1.3
Additional paid-in capital			2,952.2						2,903.2						2,834.6						2,767.3						2,688.5						2,664.3						2,623.4						2,544.5
Retained earnings			229.2						249.2						274.3						535.7						480.7						545.3						657.5						752.3
Total shareholders' equity before accumulated other comprehensive income			3,183.0						3,154.0						3,110.4						3,304.5						3,170.6						3,211.0						3,282.3						3,298.1
Accumulated other comprehensive income			654.9						1,098.2						1,442.9						1,372.5						595.2						1,520.2						1,801.6						2,186.1
Total shareholders' equity			3,837.9						4,252.2						4,553.3						4,677.0						3,765.8						4,731.2						5,083.9						5,484.2
Total liabilities and shareholders' equity			$	32,314.4					$	32,716.0					$	33,279.8					33,630.9						$	32,735.0					$	33,979.5					$	34,569.2					$	35,339.9
			Mar-19						Jun-19						Sep-19						Dec-19						Mar-20						Jun-20						Sep-20						Dec-20
Book value per common share			$	23.99					$	27.12					$	29.92					$	31.58					$	26.22					$	33.38					$	36.59					$	40.54
Book value per common share, excluding accumulated other comprehensive income (1) (2)			$	19.90					$	20.12					$	20.44					$	22.32					$	22.08					$	22.66					$	23.63					$	24.38
Book value per diluted share (1) (3)			$	19.76					$	20.00					$	20.30					$	22.09					$	22.03					$	22.55					$	23.45					$	23.95

Page 3

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CNO FINANCIAL GROUP, INC.

CONSOLIDATED STATEMENT OF OPERATIONS

(Dollars in millions)

(Unaudited)

			1Q						2Q						3Q						4Q						YTD						1Q						2Q						3Q						4Q						YTD
			2019						2019						2019						2019						2019						2020						2020						2020						2020						2020
Revenues
Insurance policy income			$	619.3					$	618.3					$	620.0					$	623.2					$	2,480.8					$	628.7					$	625.3					$	628.3					$	629.0					$	2,511.3
Net investment income:
General account assets			268.8						284.9						274.1						270.2						1,098.0						280.3						231.7						276.9						290.1						1,079.0
Policyholder and other special-purpose portfolios			87.0						49.6						25.4						102.9						264.9						(110.7)						87.1						66.6						100.5						143.5
Realized investment gains (losses):
Net realized investment gains (losses)			18.3						5.3						5.7						11.3						40.6						(60.1)						27.9						8.2						6.3						(17.7)
Change in allowance for credit losses and other-than-temporary impairment losses (a)			(2.2)						—						(3.4)						(6.8)						(12.4)						(55.4)						15.9						8.1						12.9						(18.5)
Total realized gains (losses)			16.1						5.3						2.3						4.5						28.2						(115.5)						43.8						16.3						19.2						(36.2)
Fee revenue and other income			31.8						21.7						22.2						68.2						143.9						34.4						26.3						25.4						37.4						123.5
Total revenues			1,023.0						979.8						944.0						1,069.0						4,015.8						717.2						1,014.2						1,013.5						1,076.2						3,821.1
Benefits and expenses
Insurance policy benefits			623.5						610.4						582.8						600.3						2,417.0						490.8						540.3						560.7						566.1						2,157.9
Interest expense			41.0						38.6						37.5						35.2						152.3						33.4						28.4						23.7						23.3						108.8
Amortization			58.2						46.2						51.6						76.1						232.1						50.2						88.5						53.5						75.9						268.1
Loss on extinguishment of debt			—						7.3						—						—						7.3						—						—						—						—						—
Other operating costs and expenses			234.7						229.6						218.6						250.0						932.9						213.8						251.6						209.2						267.4						942.0
Total benefits and expenses			957.4						932.1						890.5						961.6						3,741.6						788.2						908.8						847.1						932.7						3,476.8
Income (loss) before income taxes			65.6						47.7						53.5						107.4						274.2						(71.0)						105.4						166.4						143.5						344.3
Income tax expense (benefit) on period income			13.8						10.1						11.5						23.1						58.5						(15.8)						23.4						37.2						31.7						76.5
Valuation allowance for deferred tax assets and other tax items			—						—						—						(193.7)						(193.7)						(34.0)						—						—						—						(34.0)
Net income (loss)			$	51.8					$	37.6					$	42.0					$	278.0					$	409.4					$	(21.2)					$	82.0					$	129.2					$	111.8					$	301.8

______________

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

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CNO FINANCIAL GROUP, INC.

FINANCIAL SUMMARY

(Dollars in millions, except per share data)

(Unaudited)

			1Q						2Q						3Q						4Q						YTD						1Q						2Q						3Q						4Q						YTD
			2019						2019						2019						2019						2019						2020						2020						2020						2020						2020
Insurance product margin (4)
Annuity margin			$	56.2					$	57.2					$	56.2					$	60.5					$	230.1					$	59.5					$	123.8					$	45.3					$	68.1					$	296.7
Health margin			90.4						90.2						89.3						93.0						362.9						86.9						95.5						152.2						125.2						459.8
Life margin			43.1						51.7						54.6						46.7						196.1						44.3						36.1						47.3						37.3						165.0
Total insurance product margin			189.7						199.1						200.1						200.2						789.1						190.7						255.4						244.8						230.6						921.5
Allocated expenses			(135.9)						(135.2)						(131.3)						(140.6)						(543.0)						(136.6)						(128.1)						(130.3)						(162.7)						(557.7)
Income from insurance products (5)			53.8						63.9						68.8						59.6						246.1						54.1						127.3						114.5						67.9						363.8
Fee income			4.4						4.4						3.0						11.7						23.5						7.8						5.2						0.8						2.9						16.7
Investment income not allocated to product lines (9)			43.3						48.3						34.3						26.2						152.1						57.4						8.2						43.7						57.8						167.1
Expenses not allocated to product lines			(18.1)						(19.9)						(18.2)						2.8						(53.4)						(13.8)						(38.5)						(13.7)						(17.8)						(83.8)
Operating earnings before taxes			83.4						96.7						87.9						100.3						368.3						105.5						102.2						145.3						110.8						463.8
Income tax expense on operating income			(17.6)						(20.3)						(18.7)						(21.7)						(78.3)						(21.2)						(22.8)						(32.7)						(24.8)						(101.5)
Net operating income (10)			65.8						76.4						69.2						78.6						290.0						84.3						79.4						112.6						86.0						362.3
Net realized investment gains (losses) from sales, impairments and change in allowance for credit losses (net of related amortization)			(0.7)						(1.7)						(2.6)						7.1						2.1						(63.7)						12.3						7.7						12.6						(31.1)
Net change in market value of investments recognized in earnings			16.6						6.8						4.7						(2.6)						25.5						(48.4)						31.2						8.5						6.0						(2.7)
Fair value changes related to agent deferred compensation plan			(5.3)						(11.6)						(6.0)						2.5						(20.4)						—						(13.2)						—						(3.1)						(16.3)
Fair value changes in embedded derivative liabilities (net of related amortization)			(29.6)						(35.9)						(29.3)						13.4						(81.4)						(66.7)						(27.1)						(1.6)						16.3						(79.1)
Loss on extinguishment of debt			—						(7.3)						—						—						(7.3)						—						—						—						—						—
Other			1.2						0.7						(1.2)						(13.3)						(12.6)						2.3						—						6.5						0.9						9.7
Net non-operating income (loss) before taxes			(17.8)						(49.0)						(34.4)						7.1						(94.1)						(176.5)						3.2						21.1						32.7						(119.5)
Income tax expense (benefit) on non-operating income (loss)			(3.8)						(10.2)						(7.2)						1.4						(19.8)						(37.0)						0.6						4.5						6.9						(25.0)
Valuation allowance for deferred tax assets and other tax items			—						—						—						(193.7)						(193.7)						(34.0)						—						—						—						(34.0)
Net non-operating income (loss)			(14.0)						(38.8)						(27.2)						199.4						119.4						(105.5)						2.6						16.6						25.8						(60.5)
Net income (loss)			$	51.8					$	37.6					$	42.0					$	278.0					$	409.4					$	(21.2)					$	82.0					$	129.2					$	111.8					$	301.8
Per diluted share
Net operating income			$	0.41					$	0.48					$	0.45					$	0.52					$	1.85					$	0.58					$	0.55					$	0.79					$	0.61					$	2.53
Net non-operating income (loss)			(0.09)						(0.24)						(0.18)						1.32						0.76						(0.73)						0.02						0.12						0.19						(0.42)
Net income (loss)			$	0.32					$	0.24					$	0.27					$	1.84					$	2.61					$	(0.15)					$	0.57					$	0.91					$	0.80					$	2.11

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CNO FINANCIAL GROUP, INC.

Insurance Operations

(Dollars in millions)

(Unaudited)

			1Q						2Q						3Q						4Q						YTD						1Q						2Q						3Q						4Q						YTD
			2019						2019						2019						2019						2019						2020						2020						2020						2020						2020
Insurance product margin (4)
Annuity:
Insurance policy income			$	6.6					$	4.2					$	5.1					$	5.2					$	21.1					$	5.6					$	4.5					$	4.3					$	4.4					$	18.8
Net investment income (5) (6)			115.8						114.8						116.5						117.3						464.4						117.4						116.6						115.6						115.5						465.1
Insurance policy benefits			(7.9)						(5.1)						(7.3)						7.5						(12.8)						(5.5)						107.7						(20.1)						11.6						93.7
Interest credited (6)			(43.2)						(41.6)						(42.0)						(40.1)						(166.9)						(42.0)						(43.6)						(42.4)						(42.6)						(170.6)
Amortization and non-deferred commissions			(15.1)						(15.1)						(16.1)						(29.4)						(75.7)						(16.0)						(61.4)						(12.1)						(20.8)						(110.3)
Annuity margin			56.2						57.2						56.2						60.5						230.1						59.5						123.8						45.3						68.1						296.7
Health:
Insurance policy income			425.5						425.1						425.3						425.7						1,701.6						429.0						426.5						421.4						422.6						1,699.5
Net investment income (5)			69.5						69.8						70.1						70.5						279.9						70.4						70.1						70.9						70.9						282.3
Insurance policy benefits			(350.4)						(358.4)						(360.4)						(355.7)						(1,424.9)						(353.8)						(359.0)						(295.5)						(321.4)						(1,329.7)
Amortization and non-deferred commissions			(54.2)						(46.3)						(45.7)						(47.5)						(193.7)						(58.7)						(42.1)						(44.6)						(46.9)						(192.3)
Health margin			90.4						90.2						89.3						93.0						362.9						86.9						95.5						152.2						125.2						459.8
Life:
Insurance policy income			187.2						189.0						189.6						192.3						758.1						194.1						194.3						202.6						202.0						793.0
Net investment income (5) (7)			34.5						34.8						34.6						34.4						138.3						34.3						34.7						35.2						35.4						139.6
Insurance policy benefits			(130.8)						(126.2)						(121.4)						(135.2)						(513.6)						(131.9)						(147.8)						(143.3)						(147.0)						(570.0)
Interest credited (7)			(10.2)						(10.6)						(10.7)						(10.4)						(41.9)						(10.3)						(10.9)						(11.4)						(11.9)						(44.5)
Amortization and non-deferred commissions			(20.9)						(20.3)						(21.4)						(19.9)						(82.5)						(21.9)						(18.0)						(21.6)						(25.6)						(87.1)
Advertising expense			(16.7)						(15.0)						(16.1)						(14.5)						(62.3)						(20.0)						(16.2)						(14.2)						(15.6)						(66.0)
Life margin			43.1						51.7						54.6						46.7						196.1						44.3						36.1						47.3						37.3						165.0
Total insurance product margin			189.7						199.1						200.1						200.2						789.1						190.7						255.4						244.8						230.6						921.5
Allocated expenses:
Branch office expenses			(22.3)						(16.3)						(18.3)						(18.9)						(75.8)						(18.9)						(15.1)						(13.5)						(17.5)						(65.0)
Other allocated expenses			(113.6)						(118.9)						(113.0)						(121.7)						(467.2)						(117.7)						(113.0)						(116.8)						(145.2)						(492.7)
Income from insurance products (8)			53.8						63.9						68.8						59.6						246.1						54.1						127.3						114.5						67.9						363.8
Fee income			4.4						4.4						3.0						11.7						23.5						7.8						5.2						0.8						2.9						16.7
Investment income not allocated to product lines (9)			43.3						48.3						34.3						26.2						152.1						57.4						8.2						43.7						57.8						167.1
Expenses not allocated to product lines			(18.1)						(19.9)						(18.2)						2.8						(53.4)						(13.8)						(38.5)						(13.7)						(17.8)						(83.8)
Operating earnings before taxes			83.4						96.7						87.9						100.3						368.3						105.5						102.2						145.3						110.8						463.8
Income tax expense on operating income			(17.6)						(20.3)						(18.7)						(21.7)						(78.3)						(21.2)						(22.8)						(32.7)						(24.8)						(101.5)
Net operating income (10)			$	65.8					$	76.4					$	69.2					$	78.6					$	290.0					$	84.3					$	79.4					$	112.6					$	86.0					$	362.3

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CNO FINANCIAL GROUP, INC.

Margin from Annuity Products

(Dollars in millions)

(Unaudited)

			1Q						2Q						3Q						4Q						YTD						1Q						2Q						3Q						4Q						YTD
			2019						2019						2019						2019						2019						2020						2020						2020						2020						2020
Annuity margin (4):
Fixed index annuities
Insurance policy income			$	3.1					$	2.8					$	2.9					$	2.8					$	11.6					$	3.3					$	2.6					$	2.5					$	2.9					$	11.3
Net investment income (5) (6)			75.3						76.0						78.7						80.6						310.6						82.1						82.9						83.1						84.0						332.1
Insurance policy benefits			0.5						(0.5)						(1.1)						15.3						14.2						(1.0)						104.1						(11.5)						17.2						108.8
Interest credited (6)			(25.7)						(24.7)						(25.4)						(24.0)						(99.8)						(26.2)						(28.3)						(27.6)						(28.0)						(110.1)
Amortization and non-deferred commissions			(12.1)						(12.1)						(12.9)						(20.1)						(57.2)						(13.8)						(49.6)						(9.9)						(18.0)						(91.3)
Margin from fixed index annuities			$	41.1					$	41.5					$	42.2					$	54.6					$	179.4					$	44.4					$	111.7					$	36.6					$	58.1					$	250.8
Average net insurance liabilities (11)			$	6,193.8					$	6,388.9					$	6,587.5					$	6,751.0					$	6,480.3					$	6,921.4					$	7,056.3					$	7,173.9					$	7,342.1					$	7,123.4
Margin/average net insurance liabilities (12)			2.65		%				2.60		%				2.56		%				3.24		%				2.77		%				2.57		%				6.33		%				2.04		%				3.17		%				3.52		%
Fixed interest annuities
Insurance policy income			$	0.5					$	0.4					$	0.4					$	0.2					$	1.5					$	0.3					$	0.1					$	0.2					$	0.3					$	0.9
Net investment income (5)			32.8						31.2						30.2						29.0						123.2						28.1						26.8						25.7						25.0						105.6
Insurance policy benefits			(0.1)						(0.1)						—						(0.2)						(0.4)						(0.1)						—						(0.4)						(0.1)						(0.6)
Interest credited			(16.4)						(16.0)						(15.7)						(15.2)						(63.3)						(14.9)						(14.4)						(14.2)						(13.9)						(57.4)
Amortization and non-deferred commissions			(3.0)						(3.0)						(3.2)						(9.2)						(18.4)						(2.1)						(11.7)						(2.1)						(2.8)						(18.7)
Margin from fixed interest annuities			$	13.8					$	12.5					$	11.7					$	4.6					$	42.6					$	11.3					$	0.8					$	9.2					$	8.5					$	29.8
Average net insurance liabilities (11)			$	2,417.3					$	2,337.9					$	2,263.4					$	2,204.3					$	2,305.7					$	2,146.2					$	2,088.2					$	2,041.6					$	2,000.1					$	2,069.1
Margin/average net insurance liabilities (12)			2.28		%				2.14		%				2.07		%				0.83		%				1.85		%				2.11		%				0.15		%				1.80		%				1.70		%				1.44		%
Other annuities
Insurance policy income			$	3.0					$	1.0					$	1.8					$	2.2					$	8.0					$	2.0					$	1.8					$	1.6					$	1.2					$	6.6
Net investment income (5)			7.7						7.6						7.6						7.7						30.6						7.2						6.9						6.8						6.5						27.4
Insurance policy benefits			(8.3)						(4.5)						(6.2)						(7.6)						(26.6)						(4.4)						3.6						(8.2)						(5.5)						(14.5)
Interest credited			(1.1)						(0.9)						(0.9)						(0.9)						(3.8)						(0.9)						(0.9)						(0.6)						(0.7)						(3.1)
Amortization and non-deferred commissions			—						—						—						(0.1)						(0.1)						(0.1)						(0.1)						(0.1)						—						(0.3)
Margin from other annuities			$	1.3					$	3.2					$	2.3					$	1.3					$	8.1					$	3.8					$	11.3					$	(0.5)					$	1.5					$	16.1
Average net insurance liabilities (11)			$	575.7					$	574.4					$	569.8					$	565.0					$	571.2					$	551.5					$	533.5					$	524.0					$	517.9					$	531.7
Margin/average net insurance liabilities (12)			0.90		%				2.23		%				1.61		%				0.92		%				1.42		%				2.76		%				8.47		%				(0.38)		%				1.16		%				3.03		%
Total annuity margin			$	56.2					$	57.2					$	56.2					$	60.5					$	230.1					$	59.5					$	123.8					$	45.3					$	68.1					$	296.7
Average net insurance liabilities (11)			$	9,186.8					$	9,301.2					$	9,420.7					$	9,520.3					$	9,357.2					$	9,619.1					$	9,678.0					$	9,739.5					$	9,860.1					$	9,724.2
Margin/average net insurance liabilities (12)			2.45		%				2.46		%				2.39		%				2.54		%				2.46		%				2.47		%				5.12		%				1.86		%				2.76		%				3.05		%

Page 7

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CNO FINANCIAL GROUP, INC.

Margin from Health Products

(Dollars in millions)

(Unaudited)

			1Q						2Q						3Q						4Q						YTD						1Q						2Q						3Q						4Q						YTD
			2019						2019						2019						2019						2019						2020						2020						2020						2020						2020
Health margin (4):
Supplemental health
Insurance policy income			$	163.2					$	164.4					$	165.3					$	167.5					$	660.4					$	169.8					$	169.8					$	169.2					$	170.6					$	679.4
Net investment income (5)			35.0						34.7						34.4						34.6						138.7						34.9						34.9						35.5						35.6						140.9
Insurance policy benefits			(123.1)						(128.9)						(128.2)						(126.9)						(507.1)						(132.9)						(138.1)						(125.8)						(124.1)						(520.9)
Amortization and non-deferred commissions			(27.6)						(27.8)						(27.6)						(28.3)						(111.3)						(29.6)						(26.2)						(27.8)						(29.1)						(112.7)
Margin from supplemental health			$	47.5					$	42.4					$	43.9					$	46.9					$	180.7					$	42.2					$	40.4					$	51.1					$	53.0					$	186.7
Margin/insurance policy income			29		%				26		%				27		%				28		%				27		%				25		%				24		%				30		%				31		%				27		%
Medicare supplement
Insurance policy income			$	195.0					$	193.7					$	192.8					$	191.5					$	773.0					$	192.3					$	190.3					$	186.1					$	186.0					$	754.7
Net investment income (5)			1.2						1.1						1.0						1.1						4.4						1.2						1.2						1.2						1.3						4.9
Insurance policy benefits			(141.8)						(143.8)						(146.0)						(144.4)						(576.0)						(136.7)						(136.6)						(102.0)						(129.7)						(505.0)
Amortization and non-deferred commissions			(23.0)						(15.1)						(14.7)						(16.1)						(68.9)						(25.4)						(13.0)						(13.6)						(14.3)						(66.3)
Margin from Medicare supplement			$	31.4					$	35.9					$	33.1					$	32.1					$	132.5					$	31.4					$	41.9					$	71.7					$	43.3					$	188.3
Margin/insurance policy income			16		%				19		%				17		%				17		%				17		%				16		%				22		%				39		%				23		%				25		%
Long-term care
Insurance policy income			$	67.3					$	67.0					$	67.2					$	66.7					$	268.2					$	66.9					$	66.4					$	66.1					$	66.0					$	265.4
Net investment income (5)			33.3						34.0						34.7						34.8						136.8						34.3						34.0						34.2						34.0						136.5
Insurance policy benefits			(85.5)						(85.7)						(86.2)						(84.4)						(341.8)						(84.2)						(84.3)						(67.7)						(67.6)						(303.8)
Amortization and non-deferred commissions			(3.6)						(3.4)						(3.4)						(3.1)						(13.5)						(3.7)						(2.9)						(3.2)						(3.5)						(13.3)
Margin from long-term care			$	11.5					$	11.9					$	12.3					$	14.0					$	49.7					$	13.3					$	13.2					$	29.4					$	28.9					$	84.8
Margin/insurance policy income			17		%				18		%				18		%				21		%				19		%				20		%				20		%				44		%				44		%				32		%
Total health margin			$	90.4					$	90.2					$	89.3					$	93.0					$	362.9					$	86.9					$	95.5					$	152.2					$	125.2					$	459.8
Margin/insurance policy income			21		%				21		%				21		%				22		%				21		%				20		%				22		%				36		%				30		%				27		%

Page 8

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CNO FINANCIAL GROUP, INC.

Margin from Life Products

(Dollars in millions)

(Unaudited)

			1Q						2Q						3Q						4Q						YTD						1Q						2Q						3Q						4Q						YTD
			2019						2019						2019						2019						2019						2020						2020						2020						2020						2020
Life margin (4):
Interest sensitive life
Insurance policy income			$	36.2					$	37.3					$	37.1					$	38.0					$	148.6					$	39.6					$	38.7					$	40.1					$	40.4					$	158.8
Net investment income (5) (7)			11.6						11.7						11.7						11.7						46.7						11.7						11.7						11.9						12.1						47.4
Insurance policy benefits			(15.9)						(14.9)						(13.6)						(23.2)						(67.6)						(15.7)						(23.2)						(16.0)						(21.2)						(76.1)
Interest credited (7)			(10.0)						(10.4)						(10.5)						(10.2)						(41.1)						(10.2)						(10.7)						(11.2)						(11.7)						(43.8)
Amortization and non-deferred commissions			(7.0)						(7.1)						(6.7)						(5.0)						(25.8)						(7.4)						(4.8)						(6.9)						(9.1)						(28.2)
Margin from interest sensitive life			$	14.9					$	16.6					$	18.0					$	11.3					$	60.8					$	18.0					$	11.7					$	17.9					$	10.5					$	58.1
Average net insurance liabilities (11)			$	852.0					$	860.7					$	869.2					$	883.4					$	866.3					$	900.1					$	913.5					$	926.7					$	939.9					$	920.0
Interest margin			$	1.6					$	1.3					$	1.2					$	1.5					$	5.6					$	1.5					$	1.0					$	0.7					$	0.4					$	3.6
Interest margin/average net insurance liabilities (12)			0.75		%				0.60		%				0.55		%				0.68		%				0.65		%				0.67		%				0.44		%				0.30		%				0.17		%				0.39		%
Underwriting margin			$	13.3					$	15.3					$	16.8					$	9.8					$	55.2					$	16.5					$	10.7					$	17.2					$	10.1					$	54.5
Underwriting margin/insurance policy income			37		%				41		%				45		%				26		%				37		%				42		%				28		%				43		%				25		%				34		%
Traditional life
Insurance policy income			$	151.0					$	151.7					$	152.5					$	154.3					$	609.5					$	154.5					$	155.6					$	162.5					$	161.6					$	634.2
Net investment income (5)			22.9						23.1						22.9						22.7						91.6						22.6						23.0						23.3						23.3						92.2
Insurance policy benefits			(114.9)						(111.3)						(107.8)						(112.0)						(446.0)						(116.2)						(124.6)						(127.3)						(125.8)						(493.9)
Interest credited			(0.2)						(0.2)						(0.2)						(0.2)						(0.8)						(0.1)						(0.2)						(0.2)						(0.2)						(0.7)
Amortization and non-deferred commissions			(13.9)						(13.2)						(14.7)						(14.9)						(56.7)						(14.5)						(13.2)						(14.7)						(16.5)						(58.9)
Advertising expense			(16.7)						(15.0)						(16.1)						(14.5)						(62.3)						(20.0)						(16.2)						(14.2)						(15.6)						(66.0)
Margin from traditional life			$	28.2					$	35.1					$	36.6					$	35.4					$	135.3					$	26.3					$	24.4					$	29.4					$	26.8					$	106.9
Margin/insurance policy income			19		%				23		%				24		%				23		%				22		%				17		%				16		%				18		%				17		%				17		%
Margin excluding advertising expense/insurance policy income			30		%				33		%				35		%				32		%				32		%				30		%				26		%				27		%				26		%				27		%
Total life margin			$	43.1					$	51.7					$	54.6					$	46.7					$	196.1					$	44.3					$	36.1					$	47.3					$	37.3					$	165.0

Page 9

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CNO FINANCIAL GROUP, INC.

Collected Premiums From Annuity and Interest Sensitive Life Products

and Insurance Policy Income

(Dollars in millions)

(Unaudited)

			1Q						2Q						3Q						4Q						YTD						1Q						2Q						3Q						4Q						YTD
			2019						2019						2019						2019						2019						2020						2020						2020						2020						2020
Collected premiums from annuity and interest-sensitive life products:
Annuities			$	315.7					$	341.2					$	325.2					$	324.3					$	1,306.4					$	292.2					$	242.7					$	285.1					$	345.0					$	1,165.0
Interest-sensitive life			47.5						51.9						51.1						50.8						201.3						53.1						51.3						50.0						52.1						206.5
Total collected premiums from annuity and interest-sensitive life products			$	363.2					$	393.1					$	376.3					$	375.1					$	1,507.7					$	345.3					$	294.0					$	335.1					$	397.1					$	1,371.5
Insurance policy income:
Annuity products
Fixed index annuities			$	3.1					$	2.8					$	2.9					$	2.8					$	11.6					$	3.3					$	2.6					$	2.5					$	2.9					$	11.3
Fixed interest annuities			0.5						0.4						0.4						0.2						1.5						0.3						0.1						0.2						0.3						0.9
Other annuities			3.0						1.0						1.8						2.2						8.0						2.0						1.8						1.6						1.2						6.6
Total annuity insurance policy income			6.6						4.2						5.1						5.2						21.1						5.6						4.5						4.3						4.4						18.8
Health products
Supplemental health			163.2						164.4						165.3						167.5						660.4						169.8						169.8						169.2						170.6						679.4
Medicare supplement			195.0						193.7						192.8						191.5						773.0						192.3						190.3						186.1						186.0						754.7
Long-term care			67.3						67.0						67.2						66.7						268.2						66.9						66.4						66.1						66.0						265.4
Total health insurance policy income			425.5						425.1						425.3						425.7						1,701.6						429.0						426.5						421.4						422.6						1,699.5
Life products
Interest-sensitive life			36.2						37.3						37.1						38.0						148.6						39.6						38.7						40.1						40.4						158.8
Traditional life			151.0						151.7						152.5						154.3						609.5						154.5						155.6						162.5						161.6						634.2
Total life insurance policy income			187.2						189.0						189.6						192.3						758.1						194.1						194.3						202.6						202.0						793.0
Total insurance policy income			$	619.3					$	618.3					$	620.0					$	623.2					$	2,480.8					$	628.7					$	625.3					$	628.3					$	629.0					$	2,511.3

Page 10

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CNO FINANCIAL GROUP, INC.

Health and Life

New Annualized Premiums ("NAP")

(Dollars in millions)

(Unaudited)

			1Q						2Q						3Q						4Q						YTD						1Q						2Q						3Q						4Q						YTD
			2019						2019						2019						2019						2019						2020						2020						2020						2020						2020
Consumer Division
Health products:
Supplemental health			$	13.6					$	14.8					$	15.4					$	25.7					$	69.5					$	19.6					$	5.6					$	16.2					$	21.5					$	62.9
Medicare supplement			12.4						14.5						14.2						17.2						58.3						9.7						8.9						11.0						12.2						41.8
Long-term care			5.8						6.4						6.4						8.0						26.6						5.9						4.3						7.1						7.2						24.5
Total Consumer Division health NAP			31.8						35.7						36.0						50.9						154.4						35.2						18.8						34.3						40.9						129.2
Life products:
Interest sensitive life			4.9						7.0						5.7						5.5						23.1						5.6						5.1						5.8						6.0						22.5
Traditional life			31.7						29.8						29.0						25.1						115.6						33.0						41.5						37.7						29.8						142.0
Total Consumer Division life NAP			36.6						36.8						34.7						30.6						138.7						38.6						46.6						43.5						35.8						164.5
Total Consumer Division health and life NAP			$	68.4					$	72.5					$	70.7					$	81.5					$	293.1					$	73.8					$	65.4					$	77.8					$	76.7					$	293.7
Worksite Division
Health products:
Supplemental health			$	8.3					$	10.1					$	10.7					$	11.8					$	40.9					$	8.8					$	3.2					$	5.1					$	8.2					$	25.3
Life products:
Interest sensitive life			3.1						2.6						2.6						4.3						12.6						2.5						0.8						0.8						1.3						5.4
Total Worksite Division health and life NAP			$	11.4					$	12.7					$	13.3					$	16.1					$	53.5					$	11.3					$	4.0					$	5.9					$	9.5					$	30.7
Total NAP (both divisions)
Health products:
Supplemental health			$	21.9					$	24.9					$	26.1					$	37.5					$	110.4					$	28.4					$	8.8					$	21.3					$	29.7					$	88.2
Medicare supplement			12.4						14.5						14.2						17.2						58.3						9.7						8.9						11.0						12.2						41.8
Long-term care			5.8						6.4						6.4						8.0						26.6						5.9						4.3						7.1						7.2						24.5
Total health NAP			40.1						45.8						46.7						62.7						195.3						44.0						22.0						39.4						49.1						154.5
Life products:
Interest sensitive life			8.0						9.6						8.3						9.8						35.7						8.1						5.9						6.6						7.3						27.9
Traditional life			31.7						29.8						29.0						25.1						115.6						33.0						41.5						37.7						29.8						142.0
Total life NAP			39.7						39.4						37.3						34.9						151.3						41.1						47.4						44.3						37.1						169.9
Total NAP			$	79.8					$	85.2					$	84.0					$	97.6					$	346.6					$	85.1					$	69.4					$	83.7					$	86.2					$	324.4

Page 11

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CNO FINANCIAL GROUP, INC.

Computation of Weighted Average Shares Outstanding

(Shares in thousands)

			1Q						2Q						3Q						4Q						YTD						1Q						2Q						3Q						4Q						YTD
			2019						2019						2019						2019						2019						2020 (a)						2020						2020						2020						2020
Basic
Shares outstanding, beginning of period			162,201.7						159,955.2						156,768.0						152,183.5						162,201.7						148,084.2						143,610.0						141,718.6						138,931.4						148,084.2
Weighted average shares issued during the period:
Shares repurchased			(1,485.6)						(1,238.1)						(2,585.5)						(2,157.3)						(6,906.9)						(2,444.0)						(227.2)						(835.9)						(1,053.9)						(6,685.8)
Amounts related to employee benefit plans			320.9						127.3						76.6						114.9						974.0						287.5						42.7						19.3						356.2						962.7
Shares withheld for the payment of the exercise price and taxes related to employee benefit plans			(88.7)						(28.3)						(2.1)						(2.8)						(228.9)						(98.3)						(4.0)						(1.8)						(1.9)						(265.4)
Weighted average basic shares outstanding during the period			160,948.3						158,816.1						154,257.0						150,138.3						156,039.9						145,829.4						143,421.5						140,900.2						138,231.8						142,095.7
Basic shares outstanding, end of period			159,955.2						156,768.0						152,183.5						148,084.2						148,084.2						143,610.0						141,718.6						138,931.4						135,279.1						135,279.1
Diluted
Weighted average basic shares outstanding			160,948.3						158,816.1						154,257.0						150,138.3						156,039.9						145,829.4						143,421.5						140,900.2						138,231.8						142,095.7
Common stock equivalent shares related to:
Employee benefit plans			1,240.7						918.7						1,002.7						1,268.8						1,107.7						—						519.1						830.2						2,154.7						1,068.1
Weighted average diluted shares outstanding during the period			162,189.0						159,734.8						155,259.7						151,407.1						157,147.6						145,829.4						143,940.6						141,730.4						140,386.5						143,163.8
Diluted shares outstanding, end of period			161,123.2						157,662.5						153,242.8						149,580.7						149,580.7						143,936.2						142,410.1						139,972.2						137,717.3						137,717.3

___________

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

Page 12

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CNO FINANCIAL GROUP, INC.

Annuities - Account Value Rollforwards

(Dollars in millions)

(Unaudited)

						1Q						2Q						3Q						4Q						YTD						1Q						2Q						3Q						4Q						YTD
						2019						2019						2019						2019						2019						2020						2020						2020						2020						2020
Fixed index annuities
Balance as of the beginning of the period						$	6,433.9					$	6,594.7					$	6,787.5					$	6,956.9					$	6,433.9					$	7,133.1					$	7,280.3					$	7,394.1					$	7,567.2					$	7,133.1
Gross deposits						300.1						325.4						311.1						305.2						1,241.8						281.7						231.5						277.2						331.7						1,122.1
Withdrawals						(156.9)						(156.5)						(154.1)						(179.8)						(647.3)						(185.8)						(148.0)						(133.2)						(164.6)						(631.6)
Returns reinvested						17.6						23.9						12.4						50.8						104.7						51.3						30.3						29.1						27.1						137.8
Balance as of the end of the period						$	6,594.7					$	6,787.5					$	6,956.9					$	7,133.1					$	7,133.1					$	7,280.3					$	7,394.1					$	7,567.2					$	7,761.4					$	7,761.4
Fixed interest annuities
Balance as of the beginning of the period						$	2,509.3					$	2,425.8					$	2,345.2					$	2,273.0					$	2,509.3					$	2,217.5					$	2,147.4					$	2,089.4					$	2,044.3					$	2,217.5
Gross deposits						13.6						14.3						11.8						17.1						56.8						9.3						9.0						6.8						12.3						37.4
Withdrawals						(113.4)						(110.9)						(99.8)						(88.0)						(412.1)						(94.3)						(81.1)						(66.1)						(71.8)						(313.3)
Returns reinvested						16.3						16.0						15.8						15.4						63.5						14.9						14.1						14.2						14.1						57.3
Balance as of the end of the period						$	2,425.8					$	2,345.2					$	2,273.0					$	2,217.5					$	2,217.5					$	2,147.4					$	2,089.4					$	2,044.3					$	1,998.9					$	1,998.9
Total annuities
Balance as of the beginning of the period						$	8,943.2					$	9,020.5					$	9,132.7					$	9,229.9					$	8,943.2					$	9,350.6					$	9,427.7					$	9,483.5					$	9,611.5					$	9,350.6
Gross deposits						313.7						339.7						322.9						322.3						1,298.6						291.0						240.5						284.0						344.0						1,159.5
Withdrawals						(270.3)						(267.4)						(253.9)						(267.8)						(1,059.4)						(280.1)						(229.1)						(199.3)						(236.4)						(944.9)
Returns reinvested						33.9						39.9						28.2						66.2						168.2						66.2						44.4						43.3						41.2						195.1
Balance as of the end of the period						$	9,020.5					$	9,132.7					$	9,229.9					$	9,350.6					$	9,350.6					$	9,427.7					$	9,483.5					$	9,611.5					$	9,760.3					$	9,760.3

Page 13

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CNO FINANCIAL GROUP, INC.

Statutory Information - Consolidated Basis (13)

(Dollars in millions)

(Unaudited)

			1Q						2Q						3Q						4Q						YTD						1Q						2Q						3Q						4Q						YTD
			2019						2019						2019						2019 (a)						2019 (a)						2020 (b)						2020						2020						2020 (c)						2020 (c)
Net gain from operations before interest expense and federal income taxes			$	97.8					$	86.0					$	62.1					$	66.2					$	312.1					$	33.3					$	99.5					$	135.1					$	72.6					$	340.5
Interest expense on surplus debentures held by parent company			12.6						12.3						22.7						12.3						59.9						12.1						12.1						21.0						12.2						57.4
Net gain from operations before federal income taxes			85.2						73.7						39.4						53.9						252.2						21.2						87.4						114.1						60.4						283.1
Federal income tax expense (benefit)			1.9						(5.4)						(4.5)						(47.8)						(55.8)						(113.0)						(6.8)						(16.1)						(2.5)						(138.4)
Net gain from operations before net realized capital gains (losses)			83.3						79.1						43.9						101.7						308.0						134.2						94.2						130.2						62.9						421.5
Net realized capital losses			(9.9)						(3.6)						(0.1)						(3.0)						(16.6)						(3.3)						(7.8)						0.4						(1.2)						(11.9)
Net income			$	73.4					$	75.5					$	43.8					$	98.7					$	291.4					$	130.9					$	86.4					$	130.6					$	61.7					$	409.6
Capital and surplus			$	1,717.4					$	1,698.5					$	1,695.3					$	1,696.6					$	1,696.6					$	1,750.3					$	1,771.1					$	1,868.1					$	1,805.5					$	1,805.5
Asset valuation reserve (AVR)			248.0						254.5						261.0						295.9						295.9						236.4						226.7						269.9						304.0						304.0
Capital, surplus and AVR			1,965.4						1,953.0						1,956.3						1,992.5						1,992.5						1,986.7						1,997.8						2,138.0						2,109.5						2,109.5
Interest maintenance reserve (IMR)			418.3						415.4						415.1						420.1						420.1						408.2						410.6						408.2						406.6						406.6
Total statutory capital, surplus, AVR & IMR			$	2,383.7					$	2,368.4					$	2,371.4					$	2,412.6					$	2,412.6					$	2,394.9					$	2,408.4					$	2,546.2					$	2,516.1					$	2,516.1

Risk-based capital ratio			416		%				409		%				405		%				408		%				408		%				406		%				405		%				428		%				411		%				411		%

___________

(a)      The federal income tax benefit recognized in such periods reflects a $46.0 million tax sharing payment due from the holding

company that will be returned to the holding company in the form of a dividend. There is no capital and surplus impact related

to these transactions.

(b)    The federal income tax benefit and capital and surplus were favorably impacted by $99 million and $53 million, respectively, related to certain provisions included in the Coronavirus Aid, Relief, and Economic Security (“CARES”) Act.

(c)    Such amounts are preliminary as the statutory basis financial statements of our insurance subsidiaries for 4Q20 will

be filed with the respective insurance regulators on or about March 1, 2021.

Page 14

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CNO FINANCIAL GROUP, INC.

Investment Income Not Allocated to Product Lines (9)

(Dollars in millions)

(Unaudited)

						1Q						2Q						3Q						4Q						YTD						1Q						2Q						3Q						4Q						YTD
						2019						2019						2019						2019						2019						2020						2020						2020						2020						2020
Net investment income						$	355.8					$	334.5					$	299.5					$	373.1					$	1,362.9					$	169.6					$	318.8					$	343.5					$	390.6					$	1,222.5
Allocated to product lines:
Annuity						(115.8)						(114.8)						(116.5)						(117.3)						(464.4)						(117.4)						(116.6)						(115.6)						(115.5)						(465.1)
Health						(69.5)						(69.8)						(70.1)						(70.5)						(279.9)						(70.4)						(70.1)						(70.9)						(70.9)						(282.3)
Life						(34.5)						(34.8)						(34.6)						(34.4)						(138.3)						(34.3)						(34.7)						(35.2)						(35.4)						(139.6)
Equity returns credited to policyholder account balances						(43.6)						(23.1)						(3.6)						(83.4)						(153.7)						136.5						(50.7)						(46.0)						(77.6)						(37.8)
Amounts allocated to product lines and credited to policyholder account balances						(263.4)						(242.5)						(224.8)						(305.6)						(1,036.3)						(85.6)						(272.1)						(267.7)						(299.4)						(924.8)
Amount related to variable interest entities and other non-operating items						(19.2)						(16.0)						(13.7)						(12.7)						(61.6)						(11.6)						(9.6)						(9.8)						(8.2)						(39.2)
Interest expense on debt						(12.1)						(12.6)						(13.9)						(13.8)						(52.4)						(13.6)						(13.6)						(13.6)						(14.4)						(55.2)
Interest expense on investment borrowings						(12.4)						(12.3)						(11.4)						(10.1)						(46.2)						(9.1)						(5.8)						(3.4)						(2.9)						(21.2)
Less amounts credited to deferred compensation plans (offsetting investment income)						(5.4)						(2.8)						(1.4)						(4.7)						(14.3)						7.7						(9.5)						(5.3)						(7.9)						(15.0)
Total adjustments						(49.1)						(43.7)						(40.4)						(41.3)						(174.5)						(26.6)						(38.5)						(32.1)						(33.4)						(130.6)
Investment income not allocated to product lines						$	43.3					$	48.3					$	34.3					$	26.2					$	152.1					$	57.4					$	8.2					$	43.7					$	57.8					$	167.1

Page 15

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CNO FINANCIAL GROUP, INC.

Investment Income Not Allocated to Product Lines (9)

(Dollars in millions)

(Unaudited)

						1Q						2Q						3Q						4Q						YTD						1Q						2Q						3Q						4Q						YTD
						2019						2019						2019						2019						2019						2020						2020						2020						2020						2020
Investment income not allocated:
Excluding variable components:
From general account assets						$	28.7					$	30.2					$	26.2					$	20.8					$	105.9					$	23.3					$	26.5					$	24.6					$	25.2					$	99.6
Other investment income						1.4						0.8						1.5						1.0						4.7						0.5						0.1						0.1						0.1						0.8
Spread income from Federal Home Loan Bank investment program:
Investment income on matched assets						19.0						18.5						16.0						16.6						70.1						13.5						10.9						10.9						10.7						46.0
Investment borrowing expenses						(12.4)						(12.3)						(11.4)						(10.1)						(46.2)						(9.1)						(5.8)						(3.4)						(2.9)						(21.2)
Net spread income						6.6						6.2						4.6						6.5						23.9						4.4						5.1						7.5						7.8						24.8
Interest expense on corporate debt						(12.1)						(12.6)						(13.9)						(13.8)						(52.4)						(13.6)						(13.6)						(13.6)						(14.4)						(55.2)
Total excluding variable components						24.6						24.6						18.4						14.5						82.1						14.6						18.1						18.6						18.7						70.0
Variable components:
Net income from Corporate Owned Life Insurance ("COLI") supporting agent deferred compensation plan
Change in value of COLI investments						14.4						5.0						3.1						(0.2)						22.3						3.2						6.4						3.1						3.0						15.7
Increase in liability for agent deferred compensation plan						(1.5)						(1.5)						(1.5)						(1.8)						(6.3)						(1.6)						(1.6)						(1.6)						(1.6)						(6.4)
Net COLI income (loss)						12.9						3.5						1.6						(2.0)						16.0						1.6						4.8						1.5						1.4						9.3
Other variable components:
Hedge variance related to fixed index products						(0.8)						(0.6)						(0.1)						(0.2)						(1.7)						(0.1)						3.2						(1.0)						(0.4)						1.7
Trading account						4.0						2.3						1.5						1.1						8.9						17.3						6.0						2.6						2.2						28.1
Other (a)						2.6						18.5						12.9						12.8						46.8						24.0						(23.9)						22.0						35.9						58.0
Total variable components						18.7						23.7						15.9						11.7						70.0						42.8						(9.9)						25.1						39.1						97.1
Total investment income not allocated to product lines						$	43.3					$	48.3					$	34.3					$	26.2					$	152.1					$	57.4					$	8.2					$	43.7					$	57.8					$	167.1

___________

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

Page 16

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CNO FINANCIAL GROUP, INC.

Investment Income Allocated to Product Lines (5)

(Dollars in millions)

(Unaudited)

						1Q						2Q						3Q						4Q						YTD						1Q						2Q						3Q						4Q						YTD
						2019						2019						2019						2019						2019						2020						2020						2020						2020						2020
Average net insurance liabilities (11)
Annuity:
Fixed index annuities						$	6,193.8					$	6,388.9					$	6,587.5					$	6,751.0					$	6,480.3					$	6,921.4					$	7,056.3					$	7,173.9					$	7,342.1					$	7,123.4
Fixed interest annuities						2,417.3						2,337.9						2,263.4						2,204.3						2,305.7						2,146.2						2,088.2						2,041.6						2,000.1						2,069.1
Other annuities						575.7						574.4						569.8						565.0						571.2						551.5						533.5						524.0						517.9						531.7
Total annuity average net insurance liabilities (11)						9,186.8						9,301.2						9,420.7						9,520.3						9,357.2						9,619.1						9,678.0						9,739.5						9,860.1						9,724.2
Health:
Supplemental health						2,743.3						2,779.9						2,815.0						2,849.8						2,797.0						2,887.1						2,935.7						2,988.1						3,031.9						2,960.7
Medicare supplement						99.0						94.7						89.9						97.5						95.3						102.5						111.6						116.9						114.4						111.3
Long-term care						2,372.2						2,421.8						2,471.0						2,502.0						2,441.7						2,482.8						2,464.2						2,477.7						2,487.2						2,478.0
Total health average net insurance liabilities (11)						5,214.5						5,296.4						5,375.9						5,449.3						5,334.0						5,472.4						5,511.5						5,582.7						5,633.5						5,550.0
Life:
Interest sensitive						852.0						860.7						869.2						883.4						866.3						900.1						913.5						926.7						939.9						920.0
Traditional						1,793.0						1,813.3						1,834.9						1,859.0						1,825.1						1,872.5						1,883.5						1,905.9						1,933.2						1,898.8
Total life average net insurance liabilities (11)						2,645.0						2,674.0						2,704.1						2,742.4						2,691.4						2,772.6						2,797.0						2,832.6						2,873.1						2,818.8
Total average net insurance liabilities (11)						$	17,046.3					$	17,271.6					$	17,500.7					$	17,712.0					$	17,382.6					$	17,864.1					$	17,986.5					$	18,154.8					$	18,366.7					$	18,093.0

Average yield on allocated investments
Annuity:
Fixed index annuities						4.86		%				4.76		%				4.78		%				4.78		%				4.79		%				4.74		%				4.70		%				4.63		%				4.58		%				4.66		%
Fixed interest annuities						5.43		%				5.34		%				5.34		%				5.26		%				5.34		%				5.24		%				5.13		%				5.04		%				5.00		%				5.10		%
Other annuities						5.35		%				5.29		%				5.34		%				5.45		%				5.36		%				5.22		%				5.17		%				5.19		%				5.02		%				5.15		%
Average yield on investments allocated to annuities						5.04		%				4.94		%				4.95		%				4.93		%				4.96		%				4.88		%				4.82		%				4.75		%				4.69		%				4.78		%
Health:
Supplemental health						5.10		%				4.99		%				4.89		%				4.86		%				4.96		%				4.84		%				4.76		%				4.75		%				4.70		%				4.76		%
Medicare supplement						4.53		%				4.56		%				4.48		%				4.39		%				4.49		%				4.41		%				4.34		%				4.33		%				4.28		%				4.34		%
Long-term care						5.62		%				5.62		%				5.62		%				5.56		%				5.60		%				5.53		%				5.52		%				5.52		%				5.47		%				5.51		%
Average yield on investments allocated to health products						5.33		%				5.27		%				5.22		%				5.17		%				5.25		%				5.15		%				5.09		%				5.08		%				5.03		%				5.09		%
Life:
Interest sensitive						5.45		%				5.44		%				5.38		%				5.30		%				5.39		%				5.20		%				5.12		%				5.14		%				5.15		%				5.15		%
Traditional						5.11		%				5.10		%				4.99		%				4.88		%				5.02		%				4.83		%				4.88		%				4.89		%				4.82		%				4.86		%
Average yield on investments allocated to life products						5.22		%				5.21		%				5.12		%				5.02		%				5.14		%				4.95		%				4.96		%				4.97		%				4.93		%				4.95		%
Total average yield						5.16		%				5.08		%				5.06		%				5.02		%				5.08		%				4.97		%				4.92		%				4.88		%				4.83		%				4.90		%

Allocated investment income
Annuity:
Fixed index annuities						$	75.3					$	76.0					$	78.7					$	80.6					$	310.6					$	82.1					$	82.9					$	83.1					$	84.0					$	332.1
Fixed interest annuities						32.8						31.2						30.2						29.0						123.2						28.1						26.8						25.7						25.0						105.6
Other annuities						7.7						7.6						7.6						7.7						30.6						7.2						6.9						6.8						6.5						27.4
Total investment income allocated to annuities						115.8						114.8						116.5						117.3						464.4						117.4						116.6						115.6						115.5						465.1
Health:
Supplemental health						35.0						34.7						34.4						34.6						138.7						34.9						34.9						35.5						35.6						140.9
Medicare supplement						1.2						1.1						1.0						1.1						4.4						1.2						1.2						1.2						1.3						4.9
Long-term care						33.3						34.0						34.7						34.8						136.8						34.3						34.0						34.2						34.0						136.5
Total investment income allocated to health products						69.5						69.8						70.1						70.5						279.9						70.4						70.1						70.9						70.9						282.3
Life:
Interest sensitive						11.6						11.7						11.7						11.7						46.7						11.7						11.7						11.9						12.1						47.4
Traditional						22.9						23.1						22.9						22.7						91.6						22.6						23.0						23.3						23.3						92.2
Total investment income allocated to life products						34.5						34.8						34.6						34.4						138.3						34.3						34.7						35.2						35.4						139.6
Total allocated investment income						$	219.8					$	219.4					$	221.2					$	222.2					$	882.6					$	222.1					$	221.4					$	221.7					$	221.8					$	887.0

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CNO FINANCIAL GROUP, INC.

Investment Income Not Allocated to Product Lines (9)

(Dollars in millions)

(Unaudited)

						1Q						2Q						3Q						4Q						YTD						1Q						2Q						3Q						4Q						YTD
						2019						2019						2019						2019						2019						2020						2020						2020						2020						2020
General account assets investment income						$	268.8					$	284.9					$	274.1					$	270.2					$	1,098.0					$	280.3					$	231.7					$	276.9					$	290.1					$	1,079.0
Policyholder and other special purpose portfolio investment income						87.0						49.6						25.4						102.9						264.9						(110.7)						87.1						66.6						100.5						143.5
Less equity returns credited to policyholders:
Annuity						(37.9)						(20.2)						(3.0)						(74.0)						(135.1)						119.9						(44.9)						(39.3)						(68.0)						(32.3)
Life						(5.7)						(2.9)						(0.6)						(9.4)						(18.6)						16.6						(5.8)						(6.7)						(9.6)						(5.5)
Less amount related to variable interest entities						(19.2)						(16.0)						(13.7)						(12.7)						(61.6)						(11.6)						(9.6)						(9.8)						(8.2)						(39.2)
Less amounts credited to deferred compensation plans						(5.4)						(2.9)						(1.4)						(4.8)						(14.5)						7.7						(9.5)						(5.3)						(7.9)						(15.0)
Other special purpose portfolio investment income						18.8						7.6						6.7						2.0						35.1						21.9						17.3						5.5						6.8						51.5
Adjusted net investment income						287.6						292.5						280.8						272.2						1,133.1						302.2						249.0						282.4						296.9						1,130.5
Less amounts allocated to product lines
Annuity						(115.8)						(114.8)						(116.5)						(117.3)						(464.4)						(117.4)						(116.6)						(115.6)						(115.5)						(465.1)
Health						(69.5)						(69.8)						(70.1)						(70.5)						(279.9)						(70.4)						(70.1)						(70.9)						(70.9)						(282.3)
Life						(34.5)						(34.8)						(34.6)						(34.4)						(138.3)						(34.3)						(34.7)						(35.2)						(35.4)						(139.6)
Total investment income allocated to product lines						(219.8)						(219.4)						(221.2)						(222.2)						(882.6)						(222.1)						(221.4)						(221.7)						(221.8)						(887.0)
Less interest expense on investment borrowings						(12.4)						(12.3)						(11.4)						(10.0)						(46.1)						(9.1)						(5.8)						(3.4)						(2.9)						(21.2)
Less interest expense on debt						(12.1)						(12.5)						(13.9)						(13.8)						(52.3)						(13.6)						(13.6)						(13.6)						(14.4)						(55.2)
Investment income not allocated to product lines						$	43.3					$	48.3					$	34.3					$	26.2					$	152.1					$	57.4					$	8.2					$	43.7					$	57.8					$	167.1

Other Investment Data

						1Q						2Q						3Q						4Q						1Q						2Q						3Q						4Q
						2019						2019						2019						2019						2020						2020						2020						2020
Average invested assets and cash						$	21,706.1					$	21,860.0					$	22,074.2					$	22,280.3					$	22,483.7					$	22,618.1					$	22,832.1					$	23,170.3
Net investment income from general account investments						268.8						284.9						274.1						270.2						280.3						231.7						276.9						290.1
New money rate (14)						4.38		%				4.58		%				4.66		%				4.08		%				4.46		%				4.49		%				4.08		%				3.58		%
Book yield						5.15		%				5.08		%				5.03		%				4.97		%				4.90		%				4.88		%				4.85		%				4.81		%
Earned yield						5.04		%				5.34		%				5.12		%				4.98		%				5.15		%				4.23		%				5.04		%				5.22		%
Pre-pay/call/make-whole income						$	2.5					$	6.6					$	3.0					$	4.6					$	8.9					$	0.1					$	2.6					$	9.1
Alternative investment income						5.5						17.1						17.7						12.9						17.2						(12.5)						27.1						35.0
Impairments						2.2						—						3.4						6.8						8.1						—						—						—

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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 results						Significant items						Excluding significant items
Insurance product margin (4)
Annuity margin						$	68.1					$	(16.1)		(a)			$	52.0
Health margin						125.2						—						125.2
Life margin						37.3						4.3			(a)			41.6
Total insurance product margin						230.6						(11.8)						218.8
Allocated expenses						(162.7)						—						(162.7)
Income from insurance products (5)						67.9						(11.8)						56.1
Fee income						2.9						—						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 taxes						110.8						(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.

CNO FINANCIAL GROUP, INC.

2Q20 Significant Items

(Dollars in millions, except per share amounts)

(Unaudited)

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

						Three months ended
						June 30, 2020
						Actual results						Significant items						Excluding significant items
Insurance product margin (4)
Annuity margin						$	123.8					$	40.0		(a)			$	72.3
												(91.5)			(a)
Health margin						95.5						—						95.5
Life margin						36.1						5.6			(a)			41.7
Total insurance product margin						255.4						(45.9)						209.5
Allocated expenses						(128.1)						—						(128.1)
Income from insurance products (5)						127.3						(45.9)						81.4
Fee income						5.2						—						5.2
Investment income not allocated to product lines (9)						8.2						—						8.2
Expenses not allocated to product lines						(38.5)						23.5			(b)			(15.0)
Operating earnings before taxes						102.2						(22.4)						79.8
Income tax (expense) benefit on operating income						(22.8)						4.7						(18.1)
Net operating income (10)						$	79.4					$	(17.7)					$	61.7
Net operating income per diluted share						$	0.55					$	(0.12)					$	0.43

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___________

(a)Given our expectation that interest rates will remain low for the long-term, we performed an actuarial unlocking exercise in the second quarter of 2020 to reflect our assumption that average new money rates will remain flat at 4 percent forever. This change and the related impacts to persistency assumptions had a $45.6 million unfavorable impact on pre-tax earnings. As part of the actuarial unlocking exercise, we also changed our assumptions related to the future option costs we incur in providing benefits on fixed index annuities which had a favorable impact on pre-tax earnings of $91.5 million. The impact of these changes in assumptions is summarized below (dollars in millions):

			Line of business
			Fixed index annuities						Fixed interest annuities						Interest- sensitive life						Total
			Favorable (unfavorable)
Impacts of an average new money rate assumption of 4 percent
Insurance policy benefits			$	(5.0)					$	—					$	(7.4)					$	(12.4)
Amortization			(25.6)						(9.4)						1.8						(33.2)
Subtotal			(30.6)						(9.4)						(5.6)						(45.6)
Impacts of changes in future option costs
Insurance policy benefits			104.8						—						—						104.8
Amortization			(13.3)						—						—						(13.3)
Subtotal			91.5						—						—						91.5
Impact on pre-tax income			$	60.9					$	(9.4)					$	(5.6)					$	45.9

This actuarial unlocking exercise 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.

CNO FINANCIAL GROUP, INC.

4Q19 Significant Items

(Dollars in millions, except per share amounts)

(Unaudited)

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

						Three months ended
						December 31, 2019
						Actual results						Significant items						Excluding significant items
Insurance product margin (4)
Annuity margin						$	60.5					$	0.3		(a)			$	60.8
Health margin						93.0						—						93.0
Life margin						46.7						9.7			(a)			56.4
Total insurance product margin						200.2						10.0						210.2
Allocated expenses						(140.6)						—						(140.6)
Income from insurance products (5)						59.6						10.0						69.6
Fee income						11.7						—						11.7
Investment income not allocated to product lines (9)						26.2						—						26.2
Expenses not allocated to product lines						2.8						(20.0)			(b)			(17.2)
Operating earnings before taxes						100.3						(10.0)						90.3
Income tax (expense) benefit on operating income						(21.7)						2.1						(19.6)
Net operating income (10)						$	78.6					$	(7.9)					$	70.7
Net operating income per diluted share						$	0.52					$	(0.05)					$	0.47

___________

(a)Adjustments arising from our comprehensive annual actuarial review of assumptions.

(b)$20.0 million of the net favorable impact from legal and regulatory matters.

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Notes

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

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

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

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

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

(6)Excludes the change in market values of the underlying options supporting the fixed index annuity products and corresponding amount credited to policyholder account liabilities. Such amounts were $37.9 million, $20.2 million, $3.0 million, $74.0 million, $(119.9) million, $44.9 million, $39.3 million and $68.0 million in 1Q19, 2Q19, 3Q19, 4Q19, 1Q20, 2Q20, 3Q20 and 4Q20, respectively.

(7)Excludes the change in market values of the underlying options supporting the fixed index life products and corresponding amount credited to policyholder account liabilities. Such amounts were $5.7 million, $2.9 million, $.6 million, $9.4 million, $(16.6) million, $5.8 million, $6.7 million and $9.6 million in 1Q19, 2Q19, 3Q19, 4Q19, 1Q20, 2Q20, 3Q20 and 4Q20, respectively.

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

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

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

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

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

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

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

Page 21