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): May 5, 2020

CNO Financial Group, Inc.
(Exact Name of Registrant as Specified in Charter)

	
			
Delaware	001-31792	75-3108137	
(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 class	 	Trading Symbol	 	Name of each exchange on which registered	
Common Stock, par value $0.01 per share	 	CNO	 	New York Stock Exchange	
Rights to purchase Series D Junior Participating Preferred Stock	 	 	 	New York Stock Exchange	

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

Emerging growth company ☐

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

1

	
		
Item 2.02.	Results of Operations and Financial Condition.	

On May 5, 2020, CNO Financial Group, Inc. (the "Company") issued: (i) a press release announcing its financial results for the quarter ended March 31, 2020, a copy of which is attached hereto as Exhibit 99.1 and is incorporated herein by reference; (ii) the Quarterly Financial Supplement for March 31, 2020, a copy of which is attached hereto as Exhibit 99.2 and is incorporated herein by reference; and (iii) additional financial information related to its financial and operating results for the quarter ended March 31, 2020, a copy of which is attached hereto as Exhibit 99.3 and is incorporated herein by reference.

On May 5, 2020, the Company also issued a Revised Quarterly Financial Supplement for the fourth quarter of 2019 (a copy of which is attached hereto as Exhibit 99.4 and is incorporated herein by reference). The Company had previously issued an earlier version of the revised Quarterly Financial Supplement for the fourth quarter of 2019 which was filed as Exhibit 99.2 to the Current Report on Form 8-K dated February 26, 2020, which reflected changes we made to our segment structure based on the way management views the Company's operations when making operating decisions and assessing performance. As the Company prepared its financial reports for the quarterly period ended March 31, 2020 (the first period under the new segment structure), certain refinements were made to the method used to allocate investment income between the product lines and the non-product line category. The reallocations had no impact on total operating earnings or net income. All periods presented in the Revised Quarterly Financial Supplement for the fourth quarter of 2019 have been revised to conform to the new investment income allocation method.
The information contained under Item 2.02 in this Current Report on Form 8-K (including Exhibits 99.1, 99.2, 99.3 and 99.4) is being furnished and shall not be deemed "filed" for purposes of Section 18 of the Securities Exchange Act of 1934, as amended (the "Exchange Act"), or otherwise subject to the liabilities of that Section. The information contained in this Current Report on Form 8-K shall not be incorporated by reference into any registration statement or other document pursuant to the Securities Act of 1933, as amended, or the Exchange Act, except as shall be expressly set forth by specific reference in any such filing.

	
		
Item 9.01(d).	Financial Statements and Exhibits.	

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

	
		
99.1	Press release dated May 5, 2020 related to financial results for the quarter ended March 31, 2020.	
99.2	Quarterly Financial Supplement - 1Q2020.	
99.3	First Quarter 2020 Financial and Operating Results for the period ended March 31, 2020.	
99.4	Revised Quarterly Financial Supplement - 4Q2019.	

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: May 5, 2020	 	
 	By:	/s/ John R. Kline	 	
 	 	John R. Kline	 	
 	 	Senior Vice President and
Chief Accounting Officer	 	

3

Exhibit 99.1

 News

For Immediate Release

CNO Financial Group Reports First Quarter 2020 Results
Solid first quarter operating results; entered COVID-19 crisis from a position of strength

Carmel, Ind., May 5, 2020 - CNO Financial Group, Inc. (NYSE: CNO) today announced first quarter 2020 results.
Financial market volatility in March 2020 resulted in a net loss of $21.2 million, or $.15 per diluted share in 1Q20, compared to net income of $51.8 million, or $0.32 per diluted share in 1Q19. Our 1Q20 net operating income (1) was $84.3 million, or $.58 per diluted share, compared to $65.8 million, or $0.41 per diluted share in 1Q19.
"As the global COVID-19 crisis unfolds, never before have we been so forcefully reminded of the critical role that CNO plays in safeguarding the hopes, dreams and financial security of middle-income Americans," said Gary C. Bhojwani, chief executive officer. "In this tragedy, we recognize and embrace our obligation to help those who count on us. The health, safety and financial security of our associates, agents, consumers and community continues to be our priority."

"From the onset of the pandemic, CNO implemented our business continuity plan that transitioned nearly the entire company to remote working arrangements. I wish to thank the more than 3,000 associates and 5,000 exclusive agents for their incredible dedication and hard work that has enabled the company to support our clients during these difficult times."

"Our solid first quarter operating results built on our 2019 performance," continued Bhojwani. "We posted our highest ever operating EPS. Our performance reflected significant growth in health and life production coupled with stable margins and rigorous expense control. Our GAAP net income was impacted by a variety of non-operating and accounting factors."

"Sales were disrupted only late in the quarter as consumers and employers paused purchase activity when the pandemic response deepened. While it is too early to predict the full impact of the COVID-19 crisis on CNO and the country, our financial position remains strong and our business model is resilient. We expect to effectively manage the near-term disruption and to emerge from the crisis even stronger."

Highlights

•	Net loss of $21.2 million compared to net income of $51.8 million in 1Q19, reflecting non-operating items, including the impact of the new credit loss standard	

•	Operating (1) EPS increased 41% from 1Q19 to a record $0.58	

•	Life and health sales up 7% from 1Q19; insurance product margin up 1%	

•	Continued strong cash flow generation, reflecting 98% net operating income conversion	

•	Returned $99.2 million to shareholders in the form of share repurchases ($83.0 million) and dividends ($16.2 million); reduced weighted average share count by 10% since 1Q19	

•	Generated return on equity (ROE) of 7.8%; operating ROE, as adjusted (6), of 11.1%	

1

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

Net operating income, a non-GAAP(a) financial measure, is used consistently by CNO’s management to evaluate the operating performance of the Company and is a measure commonly used in the life insurance industry. It differs from net income primarily because it excludes certain non-operating items such as realized investment gains (losses), changes in fair values of embedded derivatives, equity securities and the liability for a deferred compensation plan, and certain significant and unusual items included in net income. Management believes an analysis of net operating income is important in understanding the profitability and operating trends of the Company’s business. Net income is the most directly comparable GAAP measure.

																								
 	Per diluted share	 	 	 	 	 	 	 	
 	Quarter ended	 	Quarter ended	
 	March 31,	 	March 31,	
 	2020	 	 	2019	 	% change	 	2020	 	 	2019	 	% change	
 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Income from insurance products (b)	$	0.37		 	 	$	0.33		 	12		 	$	54.1		 	 	$	53.8		 	1		
Fee income	0.05		 	 	0.03		 	67		 	7.8		 	 	4.4		 	77		
Investment income not allocated to product lines (c)	0.40		 	 	0.27		 	48		 	57.4		 	 	43.3		 	33		
Expenses not allocated to product lines	(0.09	)	 	 	(0.11	)	 	18		 	(13.8	)	 	 	(18.1	)	 	24		
Operating earnings before taxes	0.73		 	 	0.52		 	 	 	105.5		 	 	83.4		 	 	
Income tax expense on operating income	(0.15	)	 	 	(0.11	)	 	(36	)	 	(21.2	)	 	 	(17.6	)	 	(20	)	
Net operating income (1)	0.58		 	 	0.41		 	41		 	84.3		 	 	65.8		 	28		
Net realized investment gains (losses) from sales, impairments and change in allowance for credit losses (net of related amortization)	(0.44	)	 	 	—		 	 	 	(63.7	)	 	 	(0.7	)	 	 	
Net change in market value of investments recognized in earnings	(0.33	)	 	 	0.10		 	 	 	(48.4	)	 	 	16.6		 	 	
Fair value changes in embedded derivative liabilities (net of related amortization)	(0.46	)	 	 	(0.18	)	 	 	 	(66.7	)	 	 	(29.6	)	 	 	
Other	0.02		 	 	(0.03	)	 	 	 	2.3		 	 	(4.1	)	 	 	
Non-operating loss before taxes	(1.21	)	 	 	(0.11	)	 	 	 	(176.5	)	 	 	(17.8	)	 	 	
Income tax benefit on non-operating income	(0.25	)	 	 	(0.02	)	 	 	 	(37.0	)	 	 	(3.8	)	 	 	
Valuation allowance for deferred tax assets and other tax items	(0.23	)	 	 	—		 	 	 	(34.0	)	 	 	—		 	 	
Net non-operating loss	(0.73	)	 	 	(0.09	)	 	 	 	(105.5	)	 	 	(14.0	)	 	 	
Net income (loss)	$	(0.15	)	 	 	$	0.32		 	 	 	$	(21.2	)	 	 	$	51.8		 	 	
 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Weighted average diluted shares outstanding	145.8		 	 	162.2		 	 	 	 	 	 	 	 	 	

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

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	
 	March 31,	
 	2020	 	2019	
 	 	 	 	
Trailing twelve months return on equity (a)	7.8	%	 	(8.9	)%	
Trailing twelve months operating return, excluding significant items, on equity, excluding accumulated other comprehensive income and net operating loss carryforwards (a non-GAAP financial measure) (6)	11.1	%	 	10.5	 %	

Shareholders’ equity	$	3,765.8		 	$	3,837.9		
Accumulated other comprehensive income	(595.2	)	 	(654.9	)	
 	 	 	 	
Shareholders’ equity, excluding accumulated other comprehensive income	3,170.6		 	3,183.0		
Net operating loss carryforwards	(469.4	)	 	(479.6	)	
Shareholders' equity, excluding accumulated other comprehensive income and net operating loss carryforwards	$	2,701.2		 	$	2,703.4		
 	 	 	 	
Book value per diluted share	$	26.16		 	$	23.82		
Accumulated other comprehensive income	(4.13	)	 	(4.06	)	
 	 	 	 	
Book value per diluted share, excluding accumulated other comprehensive income (a non-GAAP financial measure) (2)	$	22.03		 	$	19.76		

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

3

CONTINUING INSURANCE OPERATIONS
Comparing 1Q2020 with 1Q2019

The annuity segment accounted for 31 percent of the Company’s margin for the quarter.

Annuity premiums collected decreased 7 percent, reflecting pricing discipline, while annuity account values increased 8 percent.

Health products accounted for 39 percent of CNO’s insurance margin for the quarter and 57 percent of insurance policy income.

Life products accounted for 23 percent of the Company’s insurance margin for the quarter and 31 percent of insurance policy income.

Long-term care products accounted for 7 percent of CNO’s insurance margin for the quarter and 11 percent of insurance policy income.

Sales of health products increased by 11 percent, sales of life products were up 4 percent and sales of long-term care products were up 2 percent.

ANNUITY COLLECTED PREMIUMS
(Dollars in millions)
(Unaudited)

											
 	Quarter ended March 31,	 	 	
 	2020	 	2019	 	% change	
Annuity collected premiums	$	292.2		 	$	315.7		 	(7	)	

INSURANCE POLICY INCOME
(Dollars in millions)
(Unaudited)

											
 	Quarter ended March 31,	 	 	
 	2020	 	2019	 	% change	
Annuity riders	$	5.6		 	$	6.6		 	(15	)	
Health	362.1		 	358.2		 	1		
Life	194.1		 	187.2		 	4		
Long-term care	66.9		 	67.3		 	(1	)	
Total insurance policy income	$	628.7		 	$	619.3		 	2		

SALES MEASURED AS NEW ANNUALIZED PREMIUMS FOR
LIFE AND HEALTH PRODUCTS
(Dollars in millions)
(Unaudited)

										
 	Quarter ended March 31,	 	 	
 	2020	 	2019	 	% change	
Health	$	38.1		 	$	34.3		 	11	
Life	41.1		 	39.7		 	4	
Long-term care	5.9		 	5.8		 	2	
Total new annualized premiums (4)	$	85.1		 	$	79.8		 	7	

4

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

Insurance margin is management’s measure of profitability of its annuity, health, life and long-term care segments’ performance and consists of premiums plus allocated investment income less insurance policy benefits, interest credited, commissions, advertising expense and amortization of acquisition costs. Income from insurance products is the sum of the insurance margins of the annuity, health, life and long-term care segments, less allocated insurance administrative expenses. It excludes the fee income segment, excess investment income, parent company expenses and income taxes. Management believes this information helps provide a better understanding of the business and a more meaningful analysis of our operations. Insurance income, a non-GAAP measure, is a component of net operating income, which is reconciled to net income in the Financial Summary section above.

	
																
 	Quarter ended	
 	March 31,
2020	 	% of insurance policy income	 	 	March 31,
2019	 	% of insurance policy income	 	% change	
Margin	 	 	 	 	 	 	 	 	 	 	
Annuity interest margin	$	59.5		 	 	 	 	$	56.2		 	 	 	6		
Life insurance interest margin	18.0		 	 	 	 	14.9		 	 	 	21		
Total interest-sensitive margin	77.5		 	 	 	 	71.1		 	 	 	9		
Insurance margin	 	 	 	 	 	 	 	 	 	 	
Health	73.6		 	20	 	 	78.9		 	22	 	(7	)	
Life (a)	26.3		 	17	 	 	28.2		 	19	 	(7	)	
Long-term care	13.3		 	20	 	 	11.5		 	17	 	16		
Total other insurance margin	113.2		 	19	 	 	118.6		 	21	 	(5	)	
 	 	 	 	 	 	 	 	 	 	 	
Total insurance margin	190.7		 	 	 	 	189.7		 	 	 	 	
 	 	 	 	 	 	 	 	 	 	 	
Allocated expenses	(136.6	)	 	 	 	 	(135.9	)	 	 	 	 	
Income from insurance products	$	54.1		 	 	 	 	$	53.8		 	 	 	 	
 	 	 	 	 	 	 	 	 	 	 	
Per diluted share	$	0.37		 	 	 	 	$	0.33		 	 	 	 	
Weighted average diluted shares	145.8		 	 	 	 	162.2		 	 	 	 	

		
(a)	Net of $20.0 million and $16.7 million of non-deferred television advertising expense related to our direct distribution channel in the 2020 and 2019 periods, respectively.	

Total allocated expenses were $136.6 million, up .5 percent from the year-ago quarter.

5

ANNUITY RESULTS BY PRODUCT TYPE
(Dollars in millions)
(Unaudited)

	
								
Annuity margin	
 	Quarter ended	
 	March 31,	
 	2020	 	2019	
Fixed index annuities	$	44.4		 	$	41.1		
Fixed interest annuities	11.3		 	13.8		
Other annuities	3.8		 	1.3		
Total	$	59.5		 	$	56.2		

	
								
Annuity collected premiums	
 	Quarter ended	
 	March 31,	
 	2020	 	2019	
Annuity collected premiums	$	292.2		 	$	315.7		

	
								
Average net insurance liabilities (5)	
 	Quarter ended	
 	March 31,	
 	2020	 	2019	
Fixed index annuities	$	6,921.4		 	$	6,193.8		
Fixed interest annuities	2,146.2		 	2,417.3		
Other annuities	551.5		 	575.7		
Total	$	9,619.1		 	$	9,186.8		

	
						
Margin/average net insurance liabilities (a)	
 	Quarter ended	
 	March 31,	
 	2020	 	2019	
Fixed index annuities	2.57	%	 	2.65	%	
Fixed interest annuities	2.11	%	 	2.28	%	
Other annuities	2.76	%	 	0.90	%	
Total	2.47	%	 	2.45	%	

(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	
 	March 31,	
 	2020	 	2019	 	 	
 	Amount	 	% of insurance policy income	 	Amount	 	% of insurance policy income	 	% change	
Supplemental health and other health	$	42.2		 	25	 	$	47.5		 	29	 	(11	)	
Medicare supplement	31.4		 	16	 	31.4		 	16	 	—		
Total	$	73.6		 	20	 	$	78.9		 	22	 	(7	)	

	
											
Health insurance policy income	
 	Quarter ended	 	 	
 	March 31,	 	 	
 	2020	 	2019	 	% change	
Supplemental health and other health	$	169.8		 	$	163.2		 	4		
Medicare supplement	192.3		 	195.0		 	(1	)	
Total	$	362.1		 	$	358.2		 	1		

	
											
Health NAP (4)	
 	Quarter ended	 	 	
 	March 31,	 	 	
 	2020	 	2019	 	% change	
Supplemental health and other health	$	28.4		 	$	21.9		 	30		
Medicare supplement	9.7		 	12.4		 	(22	)	
Total	$	38.1		 	$	34.3		 	11		

7

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

	
																	
Life margin	
 	Quarter ended	 	 	
 	March 31,	 	 	
 	2020	 	2019	 	 	
 	Amount	 	% of insurance policy income	 	Amount	 	% of insurance policy income	 	% change	
Life insurance interest margin	$	1.5		 	 	 	$	1.6		 	 	 	(6	)	
Life insurance margin:	 	 	 	 	 	 	 	 	 	
Traditional life	26.3		 	17		 	28.2		 	19		 	(7	)	
Interest sensitive life	16.5		 	42		 	13.3		 	37		 	24		
Subtotal	42.8		 	22		 	41.5		 	22		 	3		
Total margin	$	44.3		 	 	 	$	43.1		 	 	 	3		

	
										
Life insurance policy income	
 	Quarter ended	 	 	
 	March 31,	 	 	
 	2020	 	2019	 	% change	
Traditional life	$	154.5		 	$	151.0		 	2	
Interest sensitive life	39.6		 	36.2		 	9	
Total	$	194.1		 	$	187.2		 	4	

	
										
Life NAP (4)	
 	Quarter ended	 	 	
 	March 31,	 	 	
 	2020	 	2019	 	% change	
Traditional life	$	33.0		 	$	31.7		 	4	
Interest sensitive life	8.1		 	8.0		 	1	
Total	$	41.1		 	$	39.7		 	4	

	
											
Average net insurance liabilities (5) and interest margin	 	 	
 	Quarter ended	 	 	
 	March 31,	 	 	
 	2020	 	2019	 	% change	
Interest sensitive life products	$	900.1		 	$	852.0		 	6		
Interest margin/average net insurance liabilities (5)	0.67	%	 	0.75	%	 	(11	)	

8

LONG-TERM CARE RESULTS
(Dollars in millions)
(Unaudited)

	
														
Long-term care margin	
 	Quarter ended	 	 	
 	March 31,	 	 	
 	2020	 	2019	 	 	
 	Amount	 	% of insurance policy income	 	Amount	 	% of insurance policy income	 	% change	
Long-term care	$	13.3		 	20	 	$	11.5		 	17	 	16	

	
											
Long-term care insurance policy income	
 	Quarter ended	 	 	
 	March 31,	 	 	
 	2020	 	2019	 	% change	
Long-term care	$	66.9		 	$	67.3		 	(1	)	

	
										
Long-term care NAP (4)	
 	Quarter ended	 	 	
 	March 31,	 	 	
 	2020	 	2019	 	% change	
Long-term care	$	5.9		 	$	5.8		 	2	

9

QUARTERLY AVERAGE PRODUCING AGENTS

	
								
 	Average Producing Agent Count	
 	Quarter ended	 	 	
 	March 31,	 	%	
 	2020	 	2019	 	change	
Consumer	 	 	 	 	 	
Producing agents	4,531		 	4,436		 	2	
Financial representatives	591		 	583		 	1	
Worksite	421		 	371		 	13	

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 March 31,	 	 	
 	2020	 	2019	 	% change	
Net investment income	$	169.6		 	$	355.8		 	(52	)	
Allocated to product lines:	 	 	 	 	 	
Annuity	(117.4	)	 	(115.8	)	 	1		
Health	(36.1	)	 	(36.2	)	 	—		
Life	(34.3	)	 	(34.5	)	 	(1	)	
Long-term care	(34.3	)	 	(33.3	)	 	3		
Equity returns credited to policyholder account balances	136.5		 	(43.6	)	 	(413	)	
Amounts allocated to product lines and credited to policyholder account balances	(85.6	)	 	(263.4	)	 	(68	)	
Amount related to variable interest entities and other non-operating items	(11.6	)	 	(19.2	)	 	(40	)	
Interest expense on corporate debt	(13.6	)	 	(12.1	)	 	12		
Interest expense on investment borrowings	(9.1	)	 	(12.4	)	 	(27	)	
Less amounts credited to deferred compensation plans (offsetting investment income)	7.7		 	(5.4	)	 	(243	)	
Total adjustments	(26.6	)	 	$	(49.1	)	 	 	
Investment income not allocated to product lines	$	57.4		 	$	43.3		 	33		
 	 	 	 	 	 	
Per share	$	0.40		 	$	0.27		 	 	

10

INVESTMENT PORTFOLIO
(Dollars in millions)

The composition of the investment portfolio at March 31, 2020 is as follows:

						
 	$	 	% of total	
Fixed maturities, available for sale, at fair value	$	20,379.1		 	84	
Equity securities at fair value	50.1		 	—	
Mortgage loans	1,484.1		 	6	
Policy loans	124.7		 	1	
Trading securities	227.8		 	1	
Investments held by variable interest entities	1,038.1		 	4	
Other invested assets	953.3		 	4	
Total investment portfolio	$	24,257.2		 	100	

Fixed maturities, available for sale, at amortized cost by asset class as of March 31, 2020 are as follows:

												
 	Investment grade	 	Below investment grade	 	Total	
Corporate securities	$	11,050.9		 	$	689.9		 	$	11,740.8		
United States Treasury securities and obligations of the United States government and agencies	150.5		 	—		 	150.5		
States and political subdivisions	1,970.6		 	—		 	1,970.6		
Debt securities issued by foreign governments	88.1		 	—		 	88.1		
Asset-backed securities	1,201.7		 	70.7		 	1,272.4		
Agency residential mortgage-backed securities	72.7		 	—		 	72.7		
Non-agency residential mortgage-backed securities	765.8		 	1,088.4		(a)	1,854.2		
Collateralized loan obligations	458.4		 	—		 	458.4		
Commercial mortgage-backed securities	1,732.0		 	80.5		 	1,812.5		
 	 	 	 	 	 	
Total	$	17,490.7		 	$	1,929.5		 	$	19,420.2		

____________________
		
(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 $20.4 billion compared with an amortized cost of $19.4 billion. Net unrealized gains were comprised of gross unrealized gains of $1.6 billion and gross unrealized losses of $657 million. The allowance for credit losses was $20 million at March 31, 2020.

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

Acquisitions of fixed maturity investments during the quarter totaled $2.0 billion. Comparable information for acquisitions of fixed maturity investments is as follows:

								
 	Fixed maturity acquisitions	
 	Quarter ended	
 	March 31,	
 	2020	 	2019	
Total fixed maturity acquisitions	$	1,982.7		 	$	2,960.9		
Annual effective yield	3.96		 	4.30		
Average rating	A-		 	A		
Average life (in years)	5.3		 	9.3		

11

Non-Operating Items
Net realized investment losses in 1Q20 were $63.7 million (net of related amortization) including other-than-temporary impairment losses of $8.1 million and the change in allowance for credit losses of $47.3 million which were recorded in earnings. Net realized investment losses in 1Q19 were $.7 million (net of related amortization) including other-than-temporary impairment losses of $2.2 million which were recorded in earnings.

During 1Q20 and 1Q19, we recognized an increase (decrease) in earnings of $(48.4) million and $16.6 million, respectively, due to the net change in market value of investments recognized in earnings.
 
During 1Q20 and 1Q19, we recognized a decrease in earnings of $66.7 million and $29.6 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.

During 1Q20, we recognized a $34.0 million income tax benefit related to certain provisions of the Coronavirus Aid, Relief, and Economic Security (“CARES”) Act which permitted the carryback of net operating losses to prior periods.

Statutory (based on non-GAAP measures) and GAAP Capital Information
Our consolidated statutory risk-based capital ratio was estimated at 406% at March 31, 2020, reflecting estimated 1Q20 statutory operating income of $134 million and the payment of insurance company dividends to the holding company of $67.8 million. Statutory operating income and capital and surplus were favorably impacted by $99 million and $53 million, respectively, related to certain provisions in the CARES Act.

During the first quarter of 2020, we repurchased $83.0 million of common stock under our securities repurchase program. We repurchased 5.1 million common shares at an average cost of $16.33 per share. As of March 31, 2020, we had 143.6 million shares outstanding and had authority to repurchase up to an additional $449.3 million of our common stock. During 1Q20, dividends paid on common stock totaled $16.2 million.

Unrestricted cash and investments held by our holding company were $168 million at March 31, 2020, compared to $187 million at December 31, 2019.

Book value per common share was $26.22 at March 31, 2020 compared to $31.58 at December 31, 2019. Book value per diluted share, excluding accumulated other comprehensive income (loss) (2), was $22.03 at March 31, 2020, compared to $22.09 at December 31, 2019.

The debt-to-capital ratio was 20.8 percent and 17.5 percent at March 31, 2020 and December 31, 2019, respectively. Our debt-to-total capital ratio, excluding accumulated other comprehensive income (3) was 23.8 percent at March 31, 2020 compared to 23.0 percent at December 31, 2019.

Return on equity for the trailing four quarters ended March 31, 2020 and 2019, was 7.8% and (8.9)%, respectively. Operating return, excluding significant items, on equity, excluding accumulated other comprehensive income and net operating loss carryforwards (6) for the trailing four quarters ended March 31, 2020 and 2019, was 11.1% and 10.5%, 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.

12

CAUTION REGARDING FORWARD-LOOKING STATEMENTS:

This press release may contain forward-looking statements within the meaning of federal securities laws. These prospective statements reflect management’s current expectations, but are not guarantees of future performance. Accordingly, please refer to CNO’s cautionary statement regarding forward-looking statements, and the business environment in which the Company operates, contained in the Company’s Form 10-K for the year ended December 31, 2019 on file with the Securities and Exchange Commission and on the Company’s website at CNOinc.com in the Investors section. In addition to the factors set forth in the Form 10-K cautionary statement regarding forward-looking statements, the impact of the COVID-19 pandemic on our business, financial position, results of operations, liquidity and capital resources, and overall business operations may cause actual results to be materially different than those contemplated by the forward-looking statements. 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 May 6, 2020 at 1:00 p.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 dial (833) 513-0548, or (236) 714-2213 for international participants, at least five minutes before the call start time. The operator will ask you to identify yourself and your company, and to provide the conference ID “4496705.”

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.

13

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

	
								
 	March 31,
2020	 	December 31, 2019	
ASSETS	 	 	 	
Investments:	 	 	 	
Fixed maturities, available for sale, at fair value (net of allowance for credit losses of $19.9 at March 31, 2020; amortized cost: March 31, 2020 - $19,420.2; December 31, 2019 - $19,179.5)	$	20,379.1		 	$	21,295.2		
Equity securities at fair value (cost: March 31, 2020 - $65.9; December 31, 2019 - $44.2)	50.1		 	44.1		
Mortgage loans (net of allowance for credit losses of $8.3 at March 31, 2020)	1,484.1		 	1,566.1		
Policy loans	124.7		 	124.5		
Trading securities	227.8		 	243.9		
Investments held by variable interest entities (net of allowance for credit losses of $37.7 at March 31, 2020; amortized cost: March 31, 2020 - $1,216.4; December 31, 2019 - $1,206.3)	1,038.1		 	1,188.6		
Other invested assets	953.3		 	1,118.5		
Total investments	24,257.2		 	25,580.9		
Cash and cash equivalents - unrestricted	482.0		 	580.0		
Cash and cash equivalents held by variable interest entities	68.5		 	74.7		
Accrued investment income	213.0		 	205.9		
Present value of future profits	282.2		 	275.4		
Deferred acquisition costs	1,398.6		 	1,215.5		
Reinsurance receivables (net of allowance for credit losses of $4.0 at March 31, 2020)	4,727.5		 	4,785.7		
Income tax assets, net	703.2		 	432.6		
Assets held in separate accounts	3.2		 	4.2		
Other assets	599.6		 	476.0		
Total assets	$	32,735.0		 	$	33,630.9		
LIABILITIES AND SHAREHOLDERS' EQUITY	 	 	 	
Liabilities:	 		 	 		
Liabilities for insurance products:	 		 	 		
Policyholder account liabilities	$	12,138.1		 	$	12,132.3		
Future policy benefits	11,429.9		 	11,498.5		
Liability for policy and contract claims	510.7		 	522.3		
Unearned and advanced premiums	251.0		 	260.5		
Liabilities related to separate accounts	3.2		 	4.2		
Other liabilities	850.7		 	750.2		
Investment borrowings	1,643.9		 	1,644.3		
Borrowings related to variable interest entities	1,152.3		 	1,152.5		
Notes payable – direct corporate obligations	989.4		 	989.1		
Total liabilities	28,969.2		 	28,953.9		
Commitments and Contingencies	 	 	 	
Shareholders' equity:	 		 	 		
Common stock ($0.01 par value, 8,000,000,000 shares authorized, shares issued and outstanding: March 31, 2020 – 143,610,046; December 31, 2019 – 148,084,178)	1.4		 	1.5		
Additional paid-in capital	2,688.5		 	2,767.3		
Accumulated other comprehensive income	595.2		 	1,372.5		
Retained earnings	480.7		 	535.7		
Total shareholders' equity	3,765.8		 	4,677.0		
Total liabilities and shareholders' equity	$	32,735.0		 	$	33,630.9		

14

CNO FINANCIAL GROUP, INC. AND SUBSIDIARIES
CONSOLIDATED STATEMENT OF OPERATIONS
(Dollars in millions, except per share data)
(unaudited)

								
 	Three months ended	
 	March 31,	
 	2020	 	2019	
Revenues:	 	 	 	
Insurance policy income	$	628.7		 	$	619.3		
Net investment income:	 	 	 	
General account assets	280.3		 	268.8		
Policyholder and other special-purpose portfolios	(110.7	)	 	87.0		
Realized investment gains (losses):	 	 	 	
Net realized investment gains (losses)	(60.1	)	 	18.3		
Change in allowance for credit losses and other-than-temporary impairment losses (a)	(55.4	)	 	(2.2	)	
Total realized gains (losses)	(115.5	)	 	16.1		
Fee revenue and other income	34.4		 	31.8		
Total revenues	717.2		 	1,023.0		
Benefits and expenses:	 	 	 	
Insurance policy benefits	490.8		 	623.5		
Interest expense	33.4		 	41.0		
Amortization	50.2		 	58.2		
Other operating costs and expenses	213.8		 	234.7		
Total benefits and expenses	788.2		 	957.4		
Income (loss) before income taxes	(71.0	)	 	65.6		
Income tax expense (benefit):	 	 	 	
Tax expense (benefit) on period income	(15.8	)	 	13.8		
Valuation allowance for deferred tax assets and other tax items	(34.0	)	 	—		
Net income (loss)	$	(21.2	)	 	$	51.8		
Earnings per common share:	 	 	 	
Basic:	 	 	 	
Weighted average shares outstanding	145,829,000		 	160,948,000		
Net income (loss)	$	(.15	)	 	$	.32		
Diluted:	 	 	 	
Weighted average shares outstanding	145,829,000		 	162,189,000		
Net income (loss)	$	(.15	)	 	$	.32		

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

15

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

16

	
										
 	 	 	Trailing twelve months ended	
 	 	 	1Q20	 	1Q19	
Net operating income	$	308.5		 	$	295.0		
 	 	 	 	 	 	
Net operating income, excluding significant items	$	300.6		 	$	310.1		
 	 	 	 	 	 	
Net income (loss)	$	336.4		 	$	(347.5	)	
 	 	 	 	 	 	
Average common equity, excluding accumulated other	 	 	 	
 	comprehensive income (loss) and net operating loss	 	 	 	
 	carryforwards (a non-GAAP financial measure)	$	2,713.0		 	$	2,942.5		
 	 	 	 	 	 	
Average common shareholders' equity	$	4,321.1		 	$	3,918.3		
 	 	 	 	 	 	
Operating return on equity, excluding accumulated other	 	 	 	
 	comprehensive income (loss) and net operating loss	 	 	 	
 	carryforwards (a non-GAAP financial measure)	11.4	%	 	10.0	 %	
 	 	 	 	 	 	
Operating return, excluding significant items, on equity, excluding	 	 	 	
 	accumulated other comprehensive income (loss) and net	 	 	 	
 	operating loss carryforwards (a non-GAAP financial measure)	11.1	%	 	10.5	 %	
 	 	 	 	 	 	
Return on equity	7.8	%	 	(8.9	)%	

The following summarizes: (i) operating earnings; (ii) significant items; (iii) operating earnings, excluding significant items; and (iv) net income (loss) (dollars in millions):

																									
 	 	 	 	 	 	 	 	Net operating	 	 	 	 	
 	 	 	 	 	 	Net operating	 	income,	 	 	 	 	
 	 	 	 	 	 	income,	 	excluding	 	 	 	Net	
 	 	 	 	 	 	excluding	 	significant	 	 	 	income (loss) -	
 	 	Net operating	 	Significant	 	significant	 	items - trailing	 	Net	 	trailing	
 	 	income	 	items	 	items	 	four quarters	 	income (loss)	 	four quarters	
2Q18	 	$	81.9		 	$	—		 	$	81.9		 	$	309.0		 	$	102.2		 	$	216.4		
3Q18	 	87.5		 	—		 	87.5		 	321.8		 	(529.8	)	 	(414.2	)	
4Q18	 	59.8		 	15.1		(a)	74.9		 	317.3		 	28.3		 	(315.0	)	
1Q19	 	65.8		 	—		 	65.8		 	310.1		 	51.8		 	(347.5	)	
2Q19	 	76.4		 	—		 	76.4		 	304.6		 	37.6		 	(412.1	)	
3Q19	 	69.2		 	—		 	69.2		 	286.3		 	42.0		 	159.7		
4Q19	 	78.6		 	(7.9	)	(b)	70.7		 	282.1		 	278.0		 	409.4		
1Q20	 	84.3		 	—		 	84.3		 	300.6		 	(21.2	)	 	336.4		
 	 	 	 	 	 	 	 	 	 	 	 	 	
(a) Comprised of: (i) $.9 million of unfavorable adjustments arising from our comprehensive annual actuarial review of assumptions; (ii) $14.4 million unfavorable impact of current market conditions on the value of investments backing our Company-owned life insurance ("COLI") used as a vehicle to fund an agent deferred compensation plan; and (iii) a decrease in tax expense of $.2 million (changes in the value of COLI investments are not subject to income taxes).	
 	 	 	 	 	 	 	 	 	 	 	 	 	
(b) Comprised of: (i) $10.0 million of unfavorable adjustments arising from our comprehensive annual actuarial review of assumptions; (ii) $20.0 million of the net favorable impact from legal and regulatory matters; and (iii) an increase in tax expense of $2.1 million.	

17

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

										
 	 	 	Twelve months ended	
 	 	 	1Q20	 	1Q19	
Pretax operating earnings (a non-GAAP financial measure)	$	390.4		 	$	369.7		
Income tax expense	(81.9	)	 	(74.7	)	
Net operating income	308.5		 	295.0		
Non-operating items:	 	 	 	
Net realized investment gains (losses) from sales and impairments, net of related amortization	(60.9	)	 	36.7		
Net change in market value of investments recognized in earnings	(39.5	)	 	(16.5	)	
Fair value changes in embedded derivative liabilities, net of related amortization	(118.5	)	 	(17.7	)	
Fair value changes and amendment related to the agent deferred compensation plan	(15.1	)	 	25.1		
Loss on reinsurance transaction	—		 	(704.2	)	
Loss on extinguishment of debt	(7.3	)	 	—		
Other	(11.5	)	 	(.4	)	
Non-operating loss before taxes	(252.8	)	 	(677.0	)	
Income tax expense (benefit):	 	 	 	
    On non-operating loss	(53.0	)	 	(142.3	)	
    Valuation allowance for deferred tax assets and other tax items	(227.7	)	 	107.8		
Net non-operating income (loss)	27.9		 	(642.5	)	
Net income (loss)	$	336.4		 	$	(347.5	)	

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

18

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	
 	 	 	1Q20	 	1Q19	
Consolidated capital, excluding accumulated other comprehensive	 	 	 	
 	income (loss) and net operating loss carryforwards	 	 	 	
 	(a non-GAAP financial measure)	$	2,713.0		 	$	2,942.5		
Net operating loss carryforwards	473.4		 	461.8		
Accumulated other comprehensive income	1,134.7		 	514.0		
Common shareholders' equity	$	4,321.1		 	$	3,918.3		

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

19

Exhibit 99.2

	

 	 	 	 	 	 	
Quarterly Financial Supplement - 1Q2020	 	 	 	 	 	

 	 	 	 	 	 	

 	 	 	 	 	 	

 	 	 	 	 	 	

May 5, 2020	 	 	 	 	 	

Page 1

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

Page 2

CNO FINANCIAL GROUP, INC.
CONSOLIDATED BALANCE SHEET
(Dollars in millions)
(Unaudited)

	

 	Mar-19	 	Jun-19	 	Sep-19	 	Dec-19	 	Mar-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		
  Equity securities at fair value	40.8		 	38.8		 	39.3		 	44.1		 	50.1		
  Mortgage loans	1,626.1		 	1,596.5		 	1,561.7		 	1,566.1		 	1,484.1		
  Policy loans	121.3		 	121.6		 	122.8		 	124.5		 	124.7		
  Trading securities	237.9		 	248.3		 	247.3		 	243.9		 	227.8		
  Investments held by variable interest entities	1,241.4		 	1,215.2		 	1,204.2		 	1,188.6		 	1,038.1		
  Other invested assets	943.3		 	1,018.8		 	1,070.9		 	1,118.5		 	953.3		
  Total investments	23,679.2		 	24,676.4		 	25,335.4		 	25,580.9		 	24,257.2		
Cash and cash equivalents - unrestricted	621.6		 	557.4		 	760.3		 	580.0		 	482.0		
Cash and cash equivalents held by variable interest entities	69.7		 	50.5		 	61.7		 	74.7		 	68.5		
Accrued investment income	214.8		 	211.2		 	212.7		 	205.9		 	213.0		
Present value of future profits	333.6		 	299.3		 	284.0		 	275.4		 	282.2		
Deferred acquisition costs	1,289.1		 	1,253.2		 	1,138.8		 	1,215.5		 	1,398.6		
Reinsurance receivables	4,879.7		 	4,829.4		 	4,802.4		 	4,785.7		 	4,727.5		
Income tax assets, net	479.9		 	348.3		 	241.5		 	432.6		 	703.2		
Assets held in separate accounts	4.9		 	4.9		 	4.2		 	4.2		 	3.2		
Other assets	741.9		 	485.4		 	438.8		 	476.0		 	599.6		
Total assets	$	32,314.4		 	$	32,716.0		 	$	33,279.8		 	$	33,630.9		 	$	32,735.0		
Liabilities	 	 	 	 	 	 	 	 	 	
Liabilities for insurance products:	 	 	 	 	 	 	 	 	 	
  Policyholder account liabilities	$	11,676.9		 	$	11,851.4		 	$	11,998.9		 	$	12,132.3		 	$	12,138.1		
  Future policy benefits	11,234.2		 	11,314.3		 	11,423.2		 	11,498.5		 	11,429.9		
  Liability for policy and contract claims	521.0		 	517.8		 	508.9		 	522.3		 	510.7		
  Unearned and advanced premiums	255.9		 	248.1		 	242.8		 	260.5		 	251.0		
  Liabilities related to separate accounts	4.9		 	4.9		 	4.2		 	4.2		 	3.2		
Other liabilities	804.0		 	740.2		 	762.0		 	750.2		 	850.7		
Investment borrowings	1,645.5		 	1,645.2		 	1,644.8		 	1,644.3		 	1,643.9		
Borrowings related to variable interest entities	1,416.8		 	1,153.6		 	1,153.0		 	1,152.5		 	1,152.3		
Notes payable - direct corporate obligations	917.3		 	988.3		 	988.7		 	989.1		 	989.4		
Total liabilities	28,476.5		 	28,463.8		 	28,726.5		 	28,953.9		 	28,969.2		
Shareholders' equity	 	 	 	 	 	 	 	 	 	
Common stock	1.6		 	1.6		 	1.5		 	1.5		 	1.4		
Additional paid-in capital	2,952.2		 	2,903.2		 	2,834.6		 	2,767.3		 	2,688.5		
Retained earnings	229.2		 	249.2		 	274.3		 	535.7		 	480.7		
Total shareholders' equity before accumulated other comprehensive income	3,183.0		 	3,154.0		 	3,110.4		 	3,304.5		 	3,170.6		
Accumulated other comprehensive income	654.9		 	1,098.2		 	1,442.9		 	1,372.5		 	595.2		
Total shareholders' equity	3,837.9		 	4,252.2		 	4,553.3		 	4,677.0		 	3,765.8		
Total liabilities and shareholders' equity	$	32,314.4		 	$	32,716.0		 	$	33,279.8		 	$	33,630.9		 	$	32,735.0		

 	 	 	 	 	 	 	 	 	 	
 	Mar-19	 	Jun-19	 	Sep-19	 	Dec-19	 	Mar-20	
 	 	 	 	 	 	 	 	 	 	
Book value per common share	$	23.99		 	$	27.12		 	$	29.92		 	$	31.58		 	$	26.22		
 	 	 	 	 	 	 	 	 	 	
Book value per common share, excluding accumulated other comprehensive income (1) (2)	$	19.90		 	$	20.12		 	$	20.44		 	$	22.32		 	$	22.08		
 	 	 	 	 	 	 	 	 	 	
Book value per diluted share (1) (3)	$	19.76		 	$	20.00		 	$	20.30		 	$	22.09		 	$	22.03		

Page 3

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

	

 	1Q	 	2Q	 	3Q	 	4Q	 	YTD	 	1Q	
 	2019	 	2019	 	2019	 	2019	 	2019	 	2020	
Revenues	 	 	 	 	 	 	 	 	 	 	 	
Insurance policy income	$	619.3		 	$	618.3		 	$	620.0		 	$	623.2		 	$	2,480.8		 	$	628.7		
Net investment income:	 	 	 	 	 	 	 	 	 	 	 	
   General account assets	268.8		 	284.9		 	274.1		 	270.2		 	1,098.0		 	280.3		
Policyholder and other special-purpose portfolios	87.0		 	49.6		 	25.4		 	102.9		 	264.9		 	(110.7	)	
Realized investment gains (losses):	 	 	 	 	 	 	 	 	 	 	 	
Net realized investment gains (losses)	18.3		 	5.3		 	5.7		 	11.3		 	40.6		 	(60.1	)	
Change in allowance for credit losses and other-than-temporary impairment losses (a)	(2.2	)	 	—		 	(3.4	)	 	(6.8	)	 	(12.4	)	 	(55.4	)	
Total realized gains (losses)	16.1		 	5.3		 	2.3		 	4.5		 	28.2		 	(115.5	)	
Fee revenue and other income	31.8		 	21.7		 	22.2		 	68.2		 	143.9		 	34.4		
Total revenues	1,023.0		 	979.8		 	944.0		 	1,069.0		 	4,015.8		 	717.2		
 	 	 	 	 	 	 	 	 	 	 	 	
Benefits and expenses	 	 	 	 	 	 	 	 	 	 	 	
Insurance policy benefits	623.5		 	610.4		 	582.8		 	600.3		 	2,417.0		 	490.8		
Interest expense	41.0		 	38.6		 	37.5		 	35.2		 	152.3		 	33.4		
Amortization	58.2		 	46.2		 	51.6		 	76.1		 	232.1		 	50.2		
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		
Total benefits and expenses	957.4		 	932.1		 	890.5		 	961.6		 	3,741.6		 	788.2		
 	 	 	 	 	 	 	 	 	 	 	 	
Income (loss) before income taxes	65.6		 	47.7		 	53.5		 	107.4		 	274.2		 	(71.0	)	
Income tax expense (benefit) on period income	13.8		 	10.1		 	11.5		 	23.1		 	58.5		 	(15.8	)	
Valuation allowance for deferred tax assets and other tax items	—		 	—		 	—		 	(193.7	)	 	(193.7	)	 	(34.0	)	
Net income (loss)	$	51.8		 	$	37.6		 	$	42.0		 	$	278.0		 	$	409.4		 	$	(21.2	)	

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

Page 4

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

	

 	1Q	 	2Q	 	3Q	 	4Q	 	YTD	 	1Q	
 	2019	 	2019	 	2019	 	2019	 	2019	 	2020	
Insurance product margin (4)	 	 	 	 	 	 	 	 	 	 	 	
Annuity margin	$	56.2		 	$	57.2		 	$	56.2		 	$	60.5		 	$	230.1		 	$	59.5		
Health margin	78.9		 	78.3		 	77.0		 	79.0		 	313.2		 	73.6		
Life margin	43.1		 	51.7		 	54.6		 	46.7		 	196.1		 	44.3		
Long-term care margin	11.5		 	11.9		 	12.3		 	14.0		 	49.7		 	13.3		
Total insurance product margin	189.7		 	199.1		 	200.1		 	200.2		 	789.1		 	190.7		
Allocated expenses	(135.9	)	 	(135.2	)	 	(131.3	)	 	(140.6	)	 	(543.0	)	 	(136.6	)	
Income from insurance products (5)	53.8		 	63.9		 	68.8		 	59.6		 	246.1		 	54.1		
Fee income	4.4		 	4.4		 	3.0		 	11.7		 	23.5		 	7.8		
Investment income not allocated to product lines (9)	43.3		 	48.3		 	34.3		 	26.2		 	152.1		 	57.4		
Expenses not allocated to product lines	(18.1	)	 	(19.9	)	 	(18.2	)	 	2.8		 	(53.4	)	 	(13.8	)	
Operating earnings before taxes	83.4		 	96.7		 	87.9		 	100.3		 	368.3		 	105.5		
Income tax expense on operating income	(17.6	)	 	(20.3	)	 	(18.7	)	 	(21.7	)	 	(78.3	)	 	(21.2	)	
Net operating income (10)	65.8		 	76.4		 	69.2		 	78.6		 	290.0		 	84.3		
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	)	
Net change in market value of investments recognized in earnings	16.6		 	6.8		 	4.7		 	(2.6	)	 	25.5		 	(48.4	)	
Fair value changes related to agent deferred compensation plan	(5.3	)	 	(11.6	)	 	(6.0	)	 	2.5		 	(20.4	)	 	—		
Fair value changes in embedded derivative liabilities (net of related amortization)	(29.6	)	 	(35.9	)	 	(29.3	)	 	13.4		 	(81.4	)	 	(66.7	)	
Loss on extinguishment of debt	—		 	(7.3	)	 	—		 	—		 	(7.3	)	 	—		
Other	1.2		 	0.7		 	(1.2	)	 	(13.3	)	 	(12.6	)	 	2.3		
Net non-operating income (loss) before taxes	(17.8	)	 	(49.0	)	 	(34.4	)	 	7.1		 	(94.1	)	 	(176.5	)	
Income tax expense (benefit) on non-operating income (loss)	(3.8	)	 	(10.2	)	 	(7.2	)	 	1.4		 	(19.8	)	 	(37.0	)	
Valuation allowance for deferred tax assets and other tax items	—		 	—		 	—		 	(193.7	)	 	(193.7	)	 	(34.0	)	
Net non-operating income (loss)	(14.0	)	 	(38.8	)	 	(27.2	)	 	199.4		 	119.4		 	(105.5	)	
Net income (loss)	$	51.8		 	$	37.6		 	$	42.0		 	$	278.0		 	$	409.4		 	$	(21.2	)	
Per diluted share	 	 	 	 	 	 	 	 	 	 	 	
Net operating income	$	0.41		 	$	0.48		 	$	0.45		 	$	0.52		 	$	1.85		 	$	0.58		
Net non-operating income (loss)	(0.09	)	 	(0.24	)	 	(0.18	)	 	1.32		 	0.76		 	(0.73	)	
Net income (loss)	$	0.32		 	$	0.24		 	$	0.27		 	$	1.84		 	$	2.61		 	$	(0.15	)	

Page 5

CNO FINANCIAL GROUP, INC.
Insurance Operations
(Dollars in millions)
(Unaudited)

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

Page 6

CNO FINANCIAL GROUP, INC.
Margin from Annuity Products
(Dollars in millions)
(Unaudited)

																								
 	 	 	 	 	 	 	 	 	 	 	 	
 	1Q	 	2Q	 	3Q	 	4Q	 	YTD	 	1Q	
 	2019	 	2019	 	2019	 	2019	 	2019	 	2020	
Annuity margin (4):	 	 	 	 	 	 	 	 	 	 	 	
Fixed index annuities	 	 	 	 	 	 	 	 	 	 	 	
Insurance policy income	$	3.1		 	$	2.8		 	$	2.9		 	$	2.8		 	$	11.6		 	$	3.3		
Net investment income (5) (6)	75.3		 	76.0		 	78.7		 	80.6		 	310.6		 	82.1		
Insurance policy benefits	0.5		 	(0.5	)	 	(1.1	)	 	15.3		 	14.2		 	(1.0	)	
Interest credited (6)	(25.7	)	 	(24.7	)	 	(25.4	)	 	(24.0	)	 	(99.8	)	 	(26.2	)	
Amortization and non-deferred commissions	(12.1	)	 	(12.1	)	 	(12.9	)	 	(20.1	)	 	(57.2	)	 	(13.8	)	
Margin from fixed index annuities	$	41.1		 	$	41.5		 	$	42.2		 	$	54.6		 	$	179.4		 	$	44.4		
Average net insurance liabilities (11)	$	6,193.8		 	$	6,388.9		 	$	6,587.5		 	$	6,751.0		 	$	6,480.3		 	$	6,921.4		
Margin/average net insurance liabilities (12)	2.65	%	 	2.60	%	 	2.56	%	 	3.24	%	 	2.77	%	 	2.57	%	
Fixed interest annuities	 	 	 	 	 	 	 	 	 	 	 	
Insurance policy income	$	0.5		 	$	0.4		 	$	0.4		 	$	0.2		 	$	1.5		 	$	0.3		
Net investment income (5)	32.8		 	31.2		 	30.2		 	29.0		 	123.2		 	28.1		
Insurance policy benefits	(0.1	)	 	(0.1	)	 	—		 	(0.2	)	 	(0.4	)	 	(0.1	)	
Interest credited	(16.4	)	 	(16.0	)	 	(15.7	)	 	(15.2	)	 	(63.3	)	 	(14.9	)	
Amortization and non-deferred commissions	(3.0	)	 	(3.0	)	 	(3.2	)	 	(9.2	)	 	(18.4	)	 	(2.1	)	
Margin from fixed interest annuities	$	13.8		 	$	12.5		 	$	11.7		 	$	4.6		 	$	42.6		 	$	11.3		
Average net insurance liabilities (11)	$	2,417.3		 	$	2,337.9		 	$	2,263.4		 	$	2,204.3		 	$	2,305.7		 	$	2,146.2		
Margin/average net insurance liabilities (12)	2.28	%	 	2.14	%	 	2.07	%	 	0.83	%	 	1.85	%	 	2.11	%	
Other annuities	 	 	 	 	 	 	 	 	 	 	 	
Insurance policy income	$	3.0		 	$	1.0		 	$	1.8		 	$	2.2		 	$	8.0		 	$	2.0		
Net investment income (5)	7.7		 	7.6		 	7.6		 	7.7		 	30.6		 	7.2		
Insurance policy benefits	(8.3	)	 	(4.5	)	 	(6.2	)	 	(7.6	)	 	(26.6	)	 	(4.4	)	
Interest credited	(1.1	)	 	(0.9	)	 	(0.9	)	 	(0.9	)	 	(3.8	)	 	(0.9	)	
Amortization and non-deferred commissions	—		 	—		 	—		 	(0.1	)	 	(0.1	)	 	(0.1	)	
Margin from other annuities	$	1.3		 	$	3.2		 	$	2.3		 	$	1.3		 	$	8.1		 	$	3.8		
Average net insurance liabilities (11)	$	575.7		 	$	574.4		 	$	569.8		 	$	565.0		 	$	571.2		 	$	551.5		
Margin/average net insurance liabilities (12)	0.90	%	 	2.23	%	 	1.61	%	 	0.92	%	 	1.42	%	 	2.76	%	
Total annuity margin	$	56.2		 	$	57.2		 	$	56.2		 	$	60.5		 	$	230.1		 	$	59.5		
Average net insurance liabilities (11)	$	9,186.8		 	$	9,301.2		 	$	9,420.7		 	$	9,520.3		 	$	9,357.2		 	$	9,619.1		
Margin/average net insurance liabilities (12)	2.45	%	 	2.46	%	 	2.39	%	 	2.54	%	 	2.46	%	 	2.47	%	

Page 7

CNO FINANCIAL GROUP, INC.
Margin from Health Products
(Dollars in millions)
(Unaudited)

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

Page 8

CNO FINANCIAL GROUP, INC.
Margin from Life Products
(Dollars in millions)
(Unaudited)

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

Page 9

CNO FINANCIAL GROUP, INC.
Margin from Long-Term Care Products
(Dollars in millions)
(Unaudited)

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

Page 10

CNO FINANCIAL GROUP, INC.
Collected Premiums From Annuity and Interest Sensitive Life Products
and Insurance Policy Income
(Dollars in millions)
(Unaudited)

																								
 	 	 	 	 	 	 	 	 	 	 	 	
 	1Q	 	2Q	 	3Q	 	4Q	 	YTD	 	1Q	
 	2019	 	2019	 	2019	 	2019	 	2019	 	2020	
Collected premiums from annuity and interest- sensitive life products:	 	 	 	 	 	 	 	 	 	 	 	
Annuities	$	315.7		 	$	341.2		 	$	325.2		 	$	324.3		 	$	1,306.4		 	$	292.2		
Interest-sensitive life	47.5		 	51.9		 	51.1		 	50.8		 	201.3		 	53.1		
Total collected premiums from annuity and interest-sensitive life products	$	363.2		 	$	393.1		 	$	376.3		 	$	375.1		 	$	1,507.7		 	$	345.3		
 		 		 		 		 		 	 	
Insurance policy income:		 		 		 		 		 	 	
Annuity products	 	 	 	 	 	 	 	 	 	 	 	
Fixed index annuities	$	3.1		 	$	2.8		 	$	2.9		 	$	2.8		 	$	11.6		 	$	3.3		
Fixed interest annuities	0.5		 	0.4		 	0.4		 	0.2		 	1.5		 	0.3		
Other annuities	3.0		 	1.0		 	1.8		 	2.2		 	8.0		 	2.0		
Total annuity insurance policy income	6.6		 	4.2		 	5.1		 	5.2		 	21.1		 	5.6		
Health products		 		 		 		 		 	 	
Supplemental health	163.2		 	164.4		 	165.3		 	167.5		 	660.4		 	169.8		
Medicare supplement	195.0		 	193.7		 	192.8		 	191.5		 	773.0		 	192.3		
Total health insurance policy income	358.2		 	358.1		 	358.1		 	359.0		 	1,433.4		 	362.1		
Life products	 	 	 	 	 	 	 	 	 	 	 	
Interest-sensitive life	36.2		 	37.3		 	37.1		 	38.0		 	148.6		 	39.6		
Traditional life	151.0		 	151.7		 	152.5		 	154.3		 	609.5		 	154.5		
Total life insurance policy income	187.2		 	189.0		 	189.6		 	192.3		 	758.1		 	194.1		
Long-term care	67.3		 	67.0		 	67.2		 	66.7		 	268.2		 	66.9		
Total insurance policy income	$	619.3		 	$	618.3		 	$	620.0		 	$	623.2		 	$	2,480.8		 	$	628.7		

Page 11

CNO FINANCIAL GROUP, INC.
Health and Life
New Annualized Premiums ("NAP")
(Dollars in millions)
(Unaudited)

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

Page 12

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

	

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

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

Page 13

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

	

 	 	1Q	 	2Q	 	3Q	 	4Q	 	YTD	 	1Q	
 	 	2019	 	2019	 	2019	 	2019	 	2019	 	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		
Gross deposits	 	300.1		 	325.4		 	311.1		 	305.2		 	1,241.8		 	281.7		
Withdrawals	 	(156.9	)	 	(156.5	)	 	(154.1	)	 	(179.8	)	 	(647.3	)	 	168.9		
Returns reinvested	 	17.6		 	23.9		 	12.4		 	50.8		 	104.7		 	51.3		
Balance as of the end of the period	 	$	6,594.7		 	$	6,787.5		 	$	6,956.9		 	$	7,133.1		 	$	7,133.1		 	$	7,635.0		
 	 	 	 	 	 	 	 	 	 	 	 	 	
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		
Gross deposits	 	13.6		 	14.3		 	11.8		 	17.1		 	56.8		 	9.3		
Withdrawals	 	(113.4	)	 	(110.9	)	 	(99.8	)	 	(88.0	)	 	(412.1	)	 	(94.3	)	
Returns reinvested	 	16.3		 	16.0		 	15.8		 	15.4		 	63.5		 	14.9		
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		
 	 	 	 	 	 	 	 	 	 	 	 	 	
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		
Gross deposits	 	313.7		 	339.7		 	322.9		 	322.3		 	1,298.6		 	291.0		
Withdrawals	 	(270.3	)	 	(267.4	)	 	(253.9	)	 	(267.8	)	 	(1,059.4	)	 	74.6		
Returns reinvested	 	33.9		 	39.9		 	28.2		 	66.2		 	168.2		 	66.2		
Balance as of the end of the period	 	$	9,020.5		 	$	9,132.7		 	$	9,229.9		 	$	9,350.6		 	$	9,350.6		 	$	9,782.4		

Page 14

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

	

 	1Q	 	2Q	 	3Q	 	4Q	 	YTD	 	1Q	
 	2019	 	2019	 	2019	 	2019 (a)	 	2019 (a)	 	2020 (b)(c)	
 	 	 	 	 	 	 	 	 	 	 	 	
Net gain from operations before interest expense and federal income taxes	$	97.8		 	$	86.0		 	$	62.1		 	$	66.2		 	$	312.1		 	$	33.3		
Interest expense on surplus debentures held by parent company	12.6		 	12.3		 	22.7		 	12.3		 	59.9		 	12.1		
Net gain from operations before federal income taxes	85.2		 	73.7		 	39.4		 	53.9		 	252.2		 	21.2		
Federal income tax expense (benefit)	1.9		 	(5.4	)	 	(4.5	)	 	(47.8	)	 	(55.8	)	 	(113.0	)	
Net gain from operations before net realized capital gains (losses)	83.3		 	79.1		 	43.9		 	101.7		 	308.0		 	134.2		
Net realized capital losses	(9.9	)	 	(3.6	)	 	(0.1	)	 	(3.0	)	 	(16.6	)	 	(3.3	)	
Net income	$	73.4		 	$	75.5		 	$	43.8		 	$	98.7		 	$	291.4		 	$	130.9		

Capital and surplus	$	1,717.4		 	$	1,698.5		 	$	1,695.3		 	$	1,696.6		 	$	1,696.6		 	$	1,750.3		
Asset valuation reserve (AVR)	248.0		 	254.5		 	261.0		 	295.9		 	295.9		 	236.4		
Capital, surplus and AVR	1,965.4		 	1,953.0		 	1,956.3		 	1,992.5		 	1,992.5		 	1,986.7		
Interest maintenance reserve (IMR)	418.3		 	415.4		 	415.1		 	420.1		 	420.1		 	408.2		
Total statutory capital, surplus, AVR & IMR	$	2,383.7		 	$	2,368.4		 	$	2,371.4		 	$	2,412.6		 	$	2,412.6		 	$	2,394.9		
 	 	 	 	 	 	 	 	 	 	 	 	
Risk-based capital ratio	416	%	 	409	%	 	405	%	 	408	%	 	408	%	 	406	%	

___________
		
(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)	Such amounts are preliminary as the statutory basis financial statements of our insurance subsidiaries for 1Q20 will be filed with the respective insurance regulators on or about May 15, 2020.	
		
(c)	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.	

Page 15

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

	

 	 	1Q	 	2Q	 	3Q	 	4Q	 	YTD	 	1Q	
 	 	2019	 	2019	 	2019	 	2019	 	2019	 	2020	
Net investment income	 	$	355.8		 	$	334.5		 	$	299.5		 	$	373.1		 	$	1,362.9		 	$	169.6		
Allocated to product lines:	 	 	 	 	 	 	 	 	 		 	 	
Annuity	 	(115.8	)	 	(114.8	)	 	(116.5	)	 	(117.3	)	 	(464.4	)	 	(117.4	)	
Health	 	(36.2	)	 	(35.8	)	 	(35.4	)	 	(35.7	)	 	(143.1	)	 	(36.1	)	
Life	 	(34.5	)	 	(34.8	)	 	(34.6	)	 	(34.4	)	 	(138.3	)	 	(34.3	)	
Long-term care	 	(33.3	)	 	(34.0	)	 	(34.7	)	 	(34.8	)	 	(136.8	)	 	(34.3	)	
Equity returns credited to policyholder account balances	 	(43.6	)	 	(23.1	)	 	(3.6	)	 	(83.4	)	 	(153.7	)	 	136.5		
Amounts allocated to product lines and credited to policyholder account balances	 	(263.4	)	 	(242.5	)	 	(224.8	)	 	(305.6	)	 	(1,036.3	)	 	(85.6	)	
Amount related to variable interest entities and other non-operating items	 	(19.2	)	 	(16.0	)	 	(13.7	)	 	(12.7	)	 	(61.6	)	 	(11.6	)	
Interest expense on debt	 	(12.1	)	 	(12.6	)	 	(13.9	)	 	(13.8	)	 	(52.4	)	 	(13.6	)	
Interest expense on investment borrowings	 	(12.4	)	 	(12.3	)	 	(11.4	)	 	(10.1	)	 	(46.2	)	 	(9.1	)	
Less amounts credited to deferred compensation plans (offsetting investment income)	 	(5.4	)	 	(2.8	)	 	(1.4	)	 	(4.7	)	 	(14.3	)	 	7.7		
Total adjustments	 	(49.1	)	 	(43.7	)	 	(40.4	)	 	(41.3	)	 	(174.5	)	 	(26.6	)	
Investment income not allocated to product lines	 	$	43.3		 	$	48.3		 	$	34.3		 	$	26.2		 	$	152.1		 	$	57.4		

Page 16

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

	

 	 	1Q	 	2Q	 	3Q	 	4Q	 	YTD	 	1Q	
 	 	2019	 	2019	 	2019	 	2019	 	2019	 	2020	
Investment income not allocated:	 	 	 	 	 	 	 	 	 	 	 	 	
Less variable components:	 	 	 	 	 	 	 	 	 	 	 	 	
From general account assets	 	$	28.7		 	$	30.2		 	$	26.2		 	$	20.8		 	$	105.9		 	$	23.3		
Other investment income	 	1.4		 	0.8		 	1.5		 	1.0		 	4.7		 	0.5		
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		
Investment borrowing expenses	 	(12.4	)	 	(12.3	)	 	(11.4	)	 	(10.1	)	 	(46.2	)	 	(9.1	)	
Net spread income	 	6.6		 	6.2		 	4.6		 	6.5		 	23.9		 	4.4		
Interest expense on corporate debt	 	(12.1	)	 	(12.6	)	 	(13.9	)	 	(13.8	)	 	(52.4	)	 	(13.6	)	
Total less variable components	 	24.6		 	24.6		 	18.4		 	14.5		 	82.1		 	14.6		
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		
Increase in liability for agent deferred compensation plan	 	(1.5	)	 	(1.5	)	 	(1.5	)	 	(1.8	)	 	(6.3	)	 	(1.6	)	
Net COLI income (loss)	 	12.9		 	3.5		 	1.6		 	(2.0	)	 	16.0		 	1.6		
Other variable components:	 	 	 	 	 	 	 	 	 	 	 	 	
Hedge variance related to fixed index products	 	(0.8	)	 	(0.6	)	 	(0.1	)	 	(0.2	)	 	(1.7	)	 	(0.1	)	
Trading account	 	4.0		 	2.3		 	1.5		 	1.1		 	8.9		 	17.3		
Other (a)	 	2.6		 	18.5		 	12.9		 	12.8		 	46.8		 	24.0		
Total variable components	 	18.7		 	23.7		 	15.9		 	11.7		 	70.0		 	42.8		
Total investment income not allocated to product lines	 	$	43.3		 	$	48.3		 	$	34.3		 	$	26.2		 	$	152.1		 	$	57.4		

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

Page 17

CNO FINANCIAL GROUP, INC.
Investment Income Allocated to Product Lines (5)
(Dollars in millions)
(Unaudited)

																									
 	 	 	 	 	 	 	 	 	 	 	 	 	
 	 	1Q	 	2Q	 	3Q	 	4Q	 	YTD	 	1Q	
 	 	2019	 	2019	 	2019	 	2019	 	2019	 	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		
Fixed interest annuities	 	2,417.3		 	2,337.9		 	2,263.4		 	2,204.3		 	2,305.7		 	2,146.2		
Other annuities	 	575.7		 	574.4		 	569.8		 	565.0		 	571.2		 	551.5		
Total annuity average net insurance liabilities (11)	 	9,186.8		 	9,301.2		 	9,420.7		 	9,520.3		 	9,357.2		 	9,619.1		
Health:	 	 	 	 	 	 	 	 	 	 	 	 	
Supplemental health	 	2,743.3		 	2,779.9		 	2,815.0		 	2,849.8		 	2,797.0		 	2,887.1		
Medicare supplement	 	99.0		 	94.7		 	89.9		 	97.5		 	95.3		 	102.5		
Total health average net insurance liabilities (11)	 	2,842.3		 	2,874.6		 	2,904.9		 	2,947.3		 	2,892.3		 	2,989.6		
Life:	 	 	 	 	 	 	 	 	 	 	 	 	
   Interest sensitive	 	852.0		 	860.7		 	869.2		 	883.4		 	866.3		 	900.1		
Traditional	 	1,793.0		 	1,813.3		 	1,834.9		 	1,859.0		 	1,825.1		 	1,872.5		
Total life average net insurance liabilities (11)	 	2,645.0		 	2,674.0		 	2,704.1		 	2,742.4		 	2,691.4		 	2,772.6		
Long-term care average net insurance liabilities (11)	 	2,372.2		 	2,421.8		 	2,471.0		 	2,502.0		 	2,441.7		 	2,482.8		
Total average net insurance liabilities (11)	 	$	17,046.3		 	$	17,271.6		 	$	17,500.7		 	$	17,712.0		 	$	17,382.6		 	$	17,864.1		
 	 	 	 	 	 	 	 	 	 	 	 	 	
Average yield on allocated investments	 	 	 	 	 	 	 	 	 	 	 	 	
Annuity:	 	 	 	 	 	 	 	 	 	 	 	 	
Fixed index annuities	 	4.86	%	 	4.76	%	 	4.78	%	 	4.78	%	 	4.79	%	 	4.74	%	
Fixed interest annuities	 	5.43	%	 	5.34	%	 	5.34	%	 	5.26	%	 	5.34	%	 	5.24	%	
Other annuities	 	5.35	%	 	5.29	%	 	5.34	%	 	5.45	%	 	5.36	%	 	5.22	%	
Average yield on investments allocated to annuities	 	5.04	%	 	4.94	%	 	4.95	%	 	4.93	%	 	4.96	%	 	4.88	%	
Health:	 	 	 	 	 	 	 	 	 	 	 	 	
Supplemental health	 	5.10	%	 	4.99	%	 	4.89	%	 	4.86	%	 	4.96	%	 	4.84	%	
Medicare supplement	 	4.53	%	 	4.56	%	 	4.48	%	 	4.39	%	 	4.49	%	 	4.41	%	
Average yield on investments allocated to health products	 	5.09	%	 	4.98	%	 	4.87	%	 	4.85	%	 	4.95	%	 	4.83	%	
Life:	 	 	 	 	 	 	 	 	 	 	 	 	
   Interest sensitive	 	5.45	%	 	5.44	%	 	5.38	%	 	5.30	%	 	5.39	%	 	5.20	%	
Traditional	 	5.11	%	 	5.10	%	 	4.99	%	 	4.88	%	 	5.02	%	 	4.83	%	
Average yield on investments allocated to life products	 	5.22	%	 	5.21	%	 	5.12	%	 	5.02	%	 	5.14	%	 	4.95	%	
Average yield on investments allocated to long-term care products	 	5.62	%	 	5.62	%	 	5.62	%	 	5.56	%	 	5.60	%	 	5.53	%	
Total average yield	 	5.16	%	 	5.08	%	 	5.06	%	 	5.02	%	 	5.08	%	 	4.97	%	
 	 	 	 	 	 	 	 	 	 	 	 	 	
Allocated investment income	 	 	 	 	 	 	 	 	 	 	 	 	
Annuity:	 	 	 	 	 	 	 	 	 	 	 	 	
Fixed index annuities	 	$	75.3		 	$	76.0		 	$	78.7		 	$	80.6		 	$	310.6		 	$	82.1		
Fixed interest annuities	 	32.8		 	31.2		 	30.2		 	29.0		 	123.2		 	28.1		
Other annuities	 	7.7		 	7.6		 	7.6		 	7.7		 	30.6		 	7.2		
Total investment income allocated to annuities	 	115.8		 	114.8		 	116.5		 	117.3		 	464.4		 	117.4		
Health:	 	 	 	 	 	 	 	 	 	 	 	 	
Supplemental health	 	35.0		 	34.7		 	34.4		 	34.6		 	138.7		 	34.9		
Medicare supplement	 	1.2		 	1.1		 	1.0		 	1.1		 	4.4		 	1.2		
Total investment income allocated to health products	 	36.2		 	35.8		 	35.4		 	35.7		 	143.1		 	36.1		
Life:	 	 	 	 	 	 	 	 	 	 	 	 	
   Interest sensitive	 	11.6		 	11.7		 	11.7		 	11.7		 	46.7		 	11.7		
Traditional	 	22.9		 	23.1		 	22.9		 	22.7		 	91.6		 	22.6		
Total investment income allocated to life products	 	34.5		 	34.8		 	34.6		 	34.4		 	138.3		 	34.3		
Total investment income allocated to long-term care products	 	33.3		 	34.0		 	34.7		 	34.8		 	136.8		 	34.3		
Total allocated investment income	 	$	219.8		 	$	219.4		 	$	221.2		 	$	222.2		 	$	882.6		 	$	222.1		

Page 18

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

	

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

Other Investment Data

	

 	 	1Q	 	2Q	 	3Q	 	4Q	 	1Q	
 	 	2019	 	2019	 	2019	 	2019	 	2020	
Average invested assets and cash	 	$	21,848.9		 	$	21,990.3		 	$	22,188.4		 	$	22,394.2		 	$	22,597.5		
Net investment income from general account investments	 	268.8		 	284.9		 	274.1		 	270.2		 	280.3		
New money rate	 	4.38	%	 	4.58	%	 	4.66	%	 	4.08	%	 	4.46	%	
Book yield	 	5.15	%	 	5.08	%	 	5.03	%	 	4.97	%	 	4.90	%	
Earned yield	 	5.02	%	 	5.30	%	 	5.11	%	 	4.97	%	 	5.19	%	
Pre-pay/ call/ make-whole income	 	$	2.5		 	$	6.6		 	$	3.0		 	$	4.6		 	$	8.9		
Alternative investment income	 	5.5		 	17.1		 	17.7		 	12.9		 	17.2		
Impairments	 	2.2		 	—		 	3.4		 	6.8		 	8.1		

Page 19

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

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

	
													
 	 	Three months ended	
 	 	December 31, 2019	
 	 	Actual results	 	Significant items	 	Excluding significant
items	
Insurance product margin (4)	 	 	 	 	 	 	
Annuity margin	 	$	60.5		 	$	0.3		(a)	$	60.8		
Health margin	 	79.0		 	—		 	79.0		
Life margin	 	46.7		 	9.7		(a)	56.4		
Long-term care margin	 	14.0		 	—		 	14.0		
Total insurance product margin	 	200.2		 	10.0		 	210.2		
Allocated expenses	 	(140.6	)	 	—		 	(140.6	)	
Income from insurance products (5)	 	59.6		 	10.0		 	69.6		
Fee income	 	11.7		 	—		 	11.7		
Investment income not allocated to product lines (9)	 	26.2		 	—		 	26.2		
Expenses not allocated to product lines	 	2.8		 	(20.0	)	(b)	(17.2	)	
Operating earnings before taxes	 	100.3		 	(10.0	)	 	90.3		
Income tax (expense) benefit on operating income	 	(21.7	)	 	2.1		 	(19.6	)	
Net operating income (10)	 	$	78.6		 	$	(7.9	)	 	$	70.7		
 	 	 	 	 	 	 	
Net operating income per diluted share	 	$	0.52		 	$	(0.05	)	 	$	0.47		
___________
		
(a)	Adjustments arising from our comprehensive annual actuarial review of assumptions.	
		
(b)	$20.0 million of the net favorable impact from legal and regulatory matters.	

Page 20

Notes

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

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

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

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

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

(6)	Excludes the change in market values of the underlying options supporting the fixed index annuity products and corresponding amount credited to policyholder account liabilities. Such amounts were $37.9 million, $20.2 million, $3.0 million, $74.0 million and $(119.9) million in 1Q19, 2Q19, 3Q19, 4Q19 and 1Q20, 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 and $(16.6) million in 1Q19, 2Q19, 3Q19, 4Q19 and 1Q20, respectively.	

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

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

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

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

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

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

Page 21

Page 22

Exhibit 99.3 First Quarter 2020 Financial and operating results for the period ended March 31, 2020 May 5, 2020 Unless otherwise specified, comparisons in this presentation are between 1Q19 and 1Q20.

 

Important Legal Information Forward-Looking Statements Certain statements made in this presentation should be considered forward-looking statements as defined in the Private Securities Litigation Reform Act of 1995. These include statements about future results of operations and capital plans. We caution investors that these forward-looking statements are not guarantees of future performance, and actual results may differ materially. Investors should consider the important risks and uncertainties that may cause actual results to differ, including those included in our press release issued on May 5, 2020, our Quarterly Reports on Form 10-Q, our Annual Report on Form 10-K and other filings we make with the Securities and Exchange Commission. We assume no obligation to update this presentation, which speaks as of today’s date. Non-GAAP Measures This presentation contains financial measures that differ from the comparable measures under Generally Accepted Accounting Principles (GAAP). Reconciliations between those non-GAAP measures and the comparable GAAP measures are included in the Appendix, or on the page such measure is presented. While management believes the measures are useful to enhance understanding and comparability of our financial results, these non-GAAP measures should not be considered substitutes for the most directly comparable GAAP measures. Additional information concerning non-GAAP measures is included in our periodic filings with the Securities and Exchange Commission that are available in the “Investors – SEC Filings” section of CNO’s website, CNOinc.com. CNO Financial Group | First Quarter 2020 Earnings | May 5, 2020 2

 

CNO Financial Group | First Quarter 2020 Earnings | May 5, 2020 3

 

COVID-19 Response: Committed to Key Stakeholders Embracing our obligations; rising to the challenge Supporting our Helping our Associates & Agents Customers Giving Back to Others • Committed to no COVID-19 • Call centers, claims • Committed to maintaining related layoffs in 2020 processing, other services 2020 annual budget for operating remotely corporate donations to our • Introduced agent financial philanthropic community support programs • Allowing deferral of premium partners payments of up to 90 days • Provided technology, training, • Engaged associates in virtual & other tools to support • Enhanced digital capabilities volunteering opportunities to effective working from home and servicing support local food banks and first responders • COVID-19 testing & treatment • Providing agents with tools to reimbursed at 100% support virtual sales and • Donated $300,000 to support servicing; digital applications funds for associates and • Expanded PTO policies agents impacted by COVID-19 • Continuing to provide products or other personal financial • Free LiveHealth tele-visits to protect the health and emergencies retirement needs of our • Employee Assistance customers programs offering 24/7 counseling CNO Financial Group | First Quarter 2020 Earnings | May 5, 2020 4

 

Quarter in Review Operating progress despite challenging environment • Operating income1 up 28%; record operating income per share +41% • Life and health sales up 7% Strong • Annuity collected premiums down 7%; account values up 8% Operational • Insurance policy income up 2%; insurance product margin up 1% Performance • Fee income up 77% to $7.8 million • Allocated expenses up $0.7 million; non-allocated expenses down $4.3 million • Statutory capital and surplus of $1.75 billion; RBC of 406% Building on • Returned $99 million to shareholders; $83 million in share buybacks Track Record • Weighted average shares down 10% YoY; 4% sequentially of Execution • Early success with Transformation initiatives • Operating ROE1, excluding significant items, of 11.1% 1 A non-GAAP measure. See the Appendix for a reconciliation to the corresponding GAAP measure. CNO Financial Group | First Quarter 2020 Earnings | May 5, 2020 5

 

Growth Scorecard Four of five metrics up Q/Q (dollars in millions) 2019 2020 % Change 1Q 2Q 3Q 4Q TY 1Q Q/Q New Annualized Premium 1 Life Insurance $39.7 $39.4 $37.3 $34.9 $151.3 $41.1 3.5% Health Insurance 40.1 45.8 46.7 62.7 195.3 44.0 9.7% Total Life & Health Insurance $79.8 $85.2 $84.0 $97.6 $346.6 $85.1 6.6% Insurance Policy Income Health $358.2 $358.1 $358.1 $359.0 $1,433.4 $362.1 1.1% Life 187.2 189.0 189.6 192.3 758.1 194.1 3.7% Drive Growth Drive Long-term Care 67.3 67.0 67.2 66.7 268.2 66.9 -0.6% Total Life & Health $612.7 $614.1 $614.9 $618.0 $2,459.7 $623.1 1.7% Annuity Collected Premiums $315.7 $341.2 $325.2 $324.3 $1,306.4 $292.2 -7.4% Client Assets in BD and Advisory 2 $1,234.4 $1,303.0 $1,362.7 $1,515.0 $1,515.0 $1,358.7 10.1% the Right the 3 Expand to Expand Fee Income $4.4 $4.4 $3.0 $11.7 $23.5 $7.8 77.3% 1 Measured as 100% of new term life and health annualized premiums and 10% of single premium whole life deposits. 2 Client assets include cash and securities in brokerage and managed advisory accounts. 3 Represents fee income, net of related expenses, from the sales of third-party insurance products, services provided by WBD, our broker-dealer and registered investment advisor. CNO Financial Group | First Quarter 2020 Earnings | May 5, 2020 6

 

Consumer Division Update Continued progress with initiatives; early success transitioning to a new environment Key Initiatives First Quarter Highlights • Life and Health NAP up 8% Maintain growth • Health up 11%, Life up 5% momentum • Annuity account value up 8% to $9.8 billion • Total client assets at BD/RIA $1.4 billion • Producing agent count up 2%; 7th consecutive quarter of Optimize growth distribution • FA count up 3%; 13% of agent force is dually licensed • Deployed digital agent tools to serve consumers virtually Expand reach • Accelerating lead sharing from D2C to career agents CNO Financial Group | First Quarter 2020 Earnings | May 5, 2020 7

 

Worksite Division Update 2020 off to strong start through mid-March; significant near-term challenges Key Initiatives First Quarter Highlights Continue worksite • Worksite NAP up 12% through mid-March; down 1% total growth in small • Worksite producing agent count up 13% employer market • Independent producer sales up 16% • WBD integration progressing; fees +8%; drove 6% of sales Expand to larger • Growth in benefit broker relationships small businesses • Continued success in government-like entities: education, public administration and utilities • New Hospital Indemnity product delivered $0.9mm; +34% Enhance portfolio • 3% of new sales from enrollment solution offering • Additional group product development underway CNO Financial Group | First Quarter 2020 Earnings | May 5, 2020 8

 

Excess Capital Allocation Strategy Disciplined and opportunistic approach to maximize shareholder value Organic investments to sustain and grow the core businesses Return capital to shareholders • $83 million in share repurchases in 1Q • Dividend payout ratio targeted at 20-25% • Repurchases paused in mid-March; will resume as conditions evolve Opportunistic transactions • Highly selective M&A to expand productivity offerings or enhance distribution CNO Financial Group | First Quarter 2020 Earnings | May 5, 2020 9

 

Financial Highlights Net operating EPS up 41% to record $0.58 First Quarter 2020 Earnings Results (dollars in millions, except where noted) 1 • Net operating EPS of $0.58, up 41% from $0.41 in 1Q19 $0.58 • Non-operating loss of $105 million $0.41 • Mark-to-market impact from certain investments Net operating & embedded derivative liability income per share1 $0.32 • Change in allowance for credit losses/CECL Net income (loss) per share • CARES Act drove favorable tax rate • Weighted average share count down 10% YoY, 4% $(0.15) sequentially • Disciplined expense management 1Q19 1Q20 • Allocated expenses up $0.7 million or ~0.05% Net Operating Income1 $65.8 $84.3 • Non-allocated expenses down $4.3 million or 24% Net Income (Loss) $51.8 $(21.2) • Operating ROE1, excluding significant items, of 11.1% • Statutory operating income estimated to be $134 million Weighted Average Shares 162.2 145.8 Outstanding (in millions) • Statutory capital and surplus of $1.75 billion 1 A non-GAAP measure. See the Appendix for a reconciliation to the corresponding GAAP measure. CNO Financial Group | First Quarter 2020 Earnings | May 5, 2020 10

 

Insurance Product Margin Margin continues to be strong; growth in core blocks offsets lower book yields (dollars in millions) Insurance Product Margin1 1Q19 2Q19 3Q19 4Q19 1Q20 Highlights Annuity $56.2 $57.2 $56.2 $60.8 $59.5 • Total margin up 1% Margin / average net insurance liabilities 2.45% 2.46% 2.39% 2.54% 2.47% • Annuity results reflect growth in fixed index $78.9 $78.3 $77.0 $79.0 $73.6 • Annuity margin up 6%; annuity Health margin / average net insurance Margin / insurance policy 22% 22% 22% 22% 20% income liabilities essentially flat at 2.47% • Health results Life $43.1 $51.7 $54.6 $56.4 $44.3 ISL: Margin / average net • Solid Supplemental Health results 0.75% 0.60% 0.55% 0.68% 0.67% insurance liabilities despite YoY decline; significant ISL: Underwriting margin / 37% 41% 45% 26% 42% insurance policy income outperformance in 1Q19 Trad: Margin / insurance 19% 23% 24% 23% 17% • Medicare Supplement in line with policy income seasonally lower 1Q; margin flat Trad: Margin ex. Adv. Exp. / 30% 33% 35% 32% 30% insurance policy income • Life results reflect growth in ISL block; higher advertising expense in Traditional Long-term Care $11.5 $11.9 $12.3 $14.0 $13.3 Margin / insurance policy 17% 18% 18% 21% 20% • LTC margin benefited from favorable income persistency Total Margin $189.7 $199.1 $200.1 $210.2 $190.7 1 Excluding significant items. CNO Financial Group | First Quarter 2020 Earnings | May 5, 2020 11

 

Investment Results Steady NII allocated to product lines; variable investment returns boost overall results (dollars in millions) Investment Income Allocated Investment Income Not to Product Lines Allocated to Product Lines Total Net Investment Income1 $400.0 $400.0 $400.0 $279.5 $300.0 $300.0 $300.0 $263.1 $219.8 $222.1 $200.0 $200.0 $200.0 $100.0 $100.0 $100.0 $43.3 $57.4 $- $- $- 1Q 2019 1Q 2020 1Q 2019 1Q 2020 1Q 2019 1Q 2020 Annuity Health Life LTC Annuity Health Life LTC Not Allocated • Total Net Investment Income up 6.2% on 2.4% increase in invested assets • Investment Income Allocated to Product Lines steady despite lower interest rates • Investment Income Not Allocated to Product Lines increased by 32.6% due to strong alternatives results and higher prepayments and calls • New money rate of 4.46% reflects selective opportunistic investments during market dislocation • Average yield on allocated investments was 4.97% compared to 5.16% in 1Q19 1 Reflects sum of allocated and non-allocated investment income. Refer to pages 16-18 of the financial supplement for more information on the components of net investment income. CNO Financial Group | First Quarter 2020 Earnings | May 5, 2020 12

 

Portfolio Composition High quality; well-positioned for current environment $25 billion of Invested Assets Highlights (Fair Value as of 3/31/2020) Mortgage • 66% of portfolio in corporate and government bonds Loans, 6.7% HY Corporates, 2.7% Non-Agency RMBS, 8.0% • $20 billion of assets with high degree of liquidity CMBS, • ~$11.9 billion public corporate bonds 7.6% Municipals, 9.3% • ~$5.3 billion structured securities • ~$2.6 billion municipal, political subdivisions, and US and foreign government bonds Govts/Agency, ABS, 5.1% 1.7% • Strong credit risk profile across portfolio IG Corporates, CLO, 1.7% • Underweight COVID-19 impacted sectors 50.3% Equities, 0.2% • 96% rated NAIC 1 / 2 Other Invested Assets, 4.0% • Diversified commercial and residential Alternatives, 0.0% mortgages with low LTVs Policy Loans, 0.5% Cash, 2.3% • Significant credit enhancement in structured products General Approach • Alternative investments that avoid binary • Positioned for stable performance across credit cycles outcomes • Emphasizing quality • Lower than average allocation to most higher risk categories – all carefully calibrated • Low impairments through multiple cycles 1 Not including policies with lifetime benefits. CNO Financial Group | First Quarter 2020 Earnings | May 5, 2020 13

 

Update on Tax Assets CARES Act NOL utilization provisions provide benefits (dollars in millions) CARES Act Impacts Life Non-life • Repeal of the 80% limitation for utilization of NOLs created after 2017 NOL deferred tax assets at December 31, 2019$ 110.0 $ 422.0 • Accelerates the utilization of $105 million of Impacts of CARES Act life NOLs and restores $35 million of non- Repeal of 80% limitation (22.0) 8.0 life NOLs Allow NOL carrybacks (78.0) 27.0 • Allows NOLs created after 2017 to be carried Impacts of 1Q 2020 taxable income - (7.0) back NOL deferred tax assets at March 31, 2020$ 10.0 $ 450.0 • Accelerates the utilization of $375 million of life NOLs and restores $130 million of non- life NOLs • Tax rate differential between current 21% rate and 35% rate in carryback years results in a $34 million permanent tax benefit CNO Financial Group | First Quarter 2020 Earnings | May 5, 2020 14

 

Cash Flow Profile Strong free cash flow generation and conversion (dollars in millions) For the Quarter 1Q19 1Q20 Net Operating Income1 $ 65.8 $ 84.3 Holding Company Cash Flows: Dividends from Subsidiaries$ 49.0 $ 87.8 Management Fees 29.2 29.8 Surplus Debenture Interest 12.6 12.1 Earnings on Corporate Investments 5.1 15.1 Tax Refund 5.8 - Other (9.5) (22.9) Holding Company Sources of Cash 92.2 121.9 Holding Company Expenses and Other (24.4) (39.3) Interest Payments (1.0) (0.2) Excess Cash Flow to Holding Company 66.8 82.4 Share Repurchases (41.0) (84.8) Dividend Payments to Stockholders (16.4) (16.2) Net Change in Holding Company Cash and Investments 9.4 (18.6) Cash and Investments, Beginning of Period 220.4 186.7 Cash and Investments, End of Period$ 229.8 $ 168.1 1 A non-GAAP measure. See the Appendix for a reconciliation to the corresponding GAAP measure. CNO Financial Group | First Quarter 2020 Earnings | May 5, 2020 15

 

Capital and Liquidity Overview Conservative approach to capital structure (dollars in millions) Consolidated Risk Based Capital (“RBC”) Ratio1 408% 406% 393%  Targeted consolidated RBC ratio of 375-400%  Excess due to certain 1x favorable benefits to statutory capital  RBC variability can be expected in periods of market volatility 2018 2019 1Q 2020 Debt to Capital2 22.3% 23.0% 23.8%  Target leverage of 22.5 – 25.0%  Debt covenant ceiling of 35%  Debt capacity within limit of target leverage $67.5 million 2018 2019 1Q 2020 x Holding Company Liquidity $220.4 $186.7 $168.1  Minimum targeted holding company liquidity of $150 million  Liquidity bolstered by $250 million undrawn revolver  No outstanding debt maturities until 2025 2018 2019 1Q 2020 1 The ratio of the combined capital of the insurance companies to the minimum amount of capital appropriate to support the overall business operations, as determined based on the methodology developed by the National Association of Insurance Commissioners. 2 Excluding accumulated other comprehensive income (a non-GAAP measure). See the Appendix for a reconciliation to the corresponding GAAP measure. CNO Financial Group | First Quarter 2020 Earnings | May 5, 2020 16

 

2020 Outlook – Maintain RBC, Liquidity, Leverage Targets Maintaining dividend; capacity to resume modest share repurchases • Base case scenario • Assumes social distancing through June • Economy picks up thereafter • 80,000 U.S. COVID-19 deaths • Alt case scenario • Assumes second wave of COVID-19 in mid-July • 120,000 U.S. COVID-19 deaths • Shelter-in-place restrictions reintroduced until 1Q21 when vaccine produced • Other assumptions • GDP, equity market downturn, housing market correction, interest rates, spreads, default rates/fallen angels approximate GFC levels; unemployment worse • 2020 impacts • 2Q20 earnings depressed from projected alts performance and anticipated COVID-19 claims • 2H20 earnings potentially impacted from lower interest rates, COVID-19 margin pressure; higher lapse rates could counterbalance • Offsetting impacts to capital from credit migration and lower sales/less capital strain CNO Financial Group | First Quarter 2020 Earnings | May 5, 2020 17

 

Delivering On Our Commitments Maximize Turnaround / De-risking Pivot to Growth Profitability Pre 2017 2017-2019 2020 and Beyond  Reinsured life block (2009)  Completed Senior Leadership  Customer-centric business  Recapitalized company (2012) additions realignment  Initiated dividend (2012)  Reinsured LTC block  Omnichannel delivery model  Sold Legacy Life Insurance Block  Achieved investment grade  Enhance growth and margin (2014) credit ratings profile  Migrated ratings upwards–within  Up-in-quality portfolio repositioning  Maximize distributable cash flow non-investment grade ratings  Sustainable momentum in recruiting  Accelerate pace of capital classes and sales deployment  Reduced risk and volatility  Leverage technology CNO Financial Group | First Quarter 2020 Earnings | May 5, 2020 18

 

Investment Highlights Well-positioned in Favorable Highly Sustainable Strong balance underserved senior demographic differentiated growth initiatives sheet; robust middle-income tailwinds business model in place free cash flow market generation CNO Financial Group | First Quarter 2020 Earnings | May 5, 2020 19

 

Questions and Answers CNO Financial Group | First Quarter 2020 Earnings | May 5, 2020 20

 

Appendix 1: Quarter in Review Strong Operational Performance • Broker-Dealer/Registered Investment Advisor Slide 22 • Agent Counts Slide 23 Building on Strong Track Record of Execution • Retained LTC Insurance Slide 24 • Portfolio Overview Slides 25-27 CNO Financial Group | First Quarter 2020 Earnings | May 5, 2020 21

 

Broker-Dealer/Registered Investment Advisor Account values up YoY; $1.4 billion in client assets (dollars in millions) 2019 2020 1Q 2Q 3Q 4Q 1Q Net New Client Assets in Brokerage -$3.0 $5.1 $13.4 $17.4 $15.3 Brokerage and Advisory1 Advisory 35.7 33.2 29.9 45.4 65.7 Total $32.7 $38.3 $43.3 $62.8 $81.0 Client Assets in Brokerage and Brokerage $861.6 $886.0 $913.7 $982.9 $842.3 Advisory1 at end of period Advisory 372.8 417.0 449.0 532.1 516.4 Total $1,234.4 $1,303.0 $1,362.7 $1,515.0 $1,358.7 1 Client assets include cash and securities in brokerage and managed advisory accounts. Net new client assets includes total inflows of cash and securities into brokerage and managed advisory accounts less outflows. Inflows include interest and dividends and exclude changes due to market fluctuations. Bankers Life is the marketing brand of various affiliated companies of CNO Financial Group including, Bankers Life and Casualty Company, Bankers Life Securities, Inc., and Bankers Life Advisory Services, Inc. Non-affiliated insurance products are offered through Bankers Life General Agency, Inc. (dba BL General Insurance Agency, Inc., AK, AL, CA, NV, PA). Agents who are financial advisors are registered with Bankers Life Securities, Inc. Securities and variable annuity products and services are offered by Bankers Life Securities, Inc. Member FINRA/SIPC, (dba BL Securities, Inc., AL, GA, IA, IL, MI, NV, PA). Advisory products and services are offered by Bankers Life Advisory Services, Inc. SEC Registered Investment Adviser (dba BL Advisory Services, Inc., AL, GA, IA, MT, NV, PA). Home Office: 111 East Wacker Drive, Suite 1900, Chicago, IL 60601 CNO Financial Group | First Quarter 2020 Earnings | May 5, 2020 22

 

Agent Counts All producing agent counts up YoY 2019 2020 % Change Consumer 1Q 2Q 3Q 4Q 1Q Q/Q Total Quarterly Average Producing Agents1,3 4,436 4,602 4,579 4,709 4,531 2.1% Quarterly Average Financial Representatives2,3 583 595 596 596 591 1.4% Worksite Total Quarterly Average Producing Agents1,3 371 417 420 453 421 13.5% 1 Producing agents are agents that have submitted at least one policy in the month. 2 Financial representatives are agents who are licensed to sell certain securities brokerage products and services. 3 Quarterly average agent and advisor counts represent the average of the last 3 months. CNO Financial Group | First Quarter 2020 Earnings | May 5, 2020 23

 

Retained Long-Term Care Insurance Highly differentiated in-force block; prudently managed . New sales (~$25 million annually) focused on short duration products – 98% of new sales for policies with 2 years or less in benefits – Average benefit period of 11 months – New business 25% reinsured since 2008 . Reserve assumptions informed by historical experience – No morbidity improvement – No mortality improvement – Minimal future rate increases – Ultimate new money rate lowered to target 4.00% 10-year Treasury rate . Favorable economic profile – 2019 Loss Recognition Testing margin increased to $255 million or ~11% of Net GAAP Liabilities – Statutory reserves ~$160 million higher than GAAP reserves – Total LTC is just 13% of overall CNO reserves – Potential adverse impact from severe stress scenarios is significantly reduced CNO Financial Group | First Quarter 2020 Earnings | May 5, 2020 24

 

Portfolio Overview – Sector Breakdown Underweight COVID-19 impacted sectors (dollars in millions) Sector Exposure Market Value Portfolio% Over|Underweight Airlines 0.4 $0.4 0.002% Underweight Aircraft Lease Securitizations 68.7 $52.2 0.23% Underweight Energy 766.0 $675.3 2.92% Underweight Gaming - - - Underweight Hotels 36.1 $34.6 0.15% Underweight Retail ex Grocery 81.5 $93.2 0.40% Underweight Restaurants 37.3 $36.6 0.16% Underweight Whole Business Securitizations 400.6 $376.9 1.63% Overweight CNO Financial Group | First Quarter 2020 Earnings | May 5, 2020 25

 

Portfolio Overview: Commercial Mortgage Loans Very conservatively underwritten; loss resistant Key Portfolio Facts Portfolio Geography East $1.5 billion of net invested assets 26.3% Central 12.5% Mountain 9.4% 100% 97.1% 51% 1.96x South 32.0% First Rated Weighted Weighted Pacific Mortgage CM1-2 Avg LTV DSCR 16.3% Underlying Property Type Ratings Composition Idustrial CM1 21.1% Other 71.7% 11.2% Office 16.9% Multifamily CM2 33.4% 25.4% Retail 17.4% CM3 1.5% CM7 0.4% CM4 1.0% CNO Financial Group | First Quarter 2020 Earnings | May 5, 2020 26

 

Portfolio Overview: CLO Debt Significant cushion against stress scenarios 12/31/2016 3/31/2020 A+, 2.1% AA, AA, 50.8% A+, 1.4% 29.5% A, 18.8% A-, 0.0% BBB+, 0.3% AA+, A, 0.9% BBB, 8.9% 31.9% AAA, 75% 100% 24.3% BBB-, 12.6% AAA, AAA-A AA+, 12.3% AAA-A 2.4% B-, 1.6% BB-, 1.0% A-, 1.3% Key Portfolio Metrics Cumulative Loss / Breakpoint Analysis AAA AA A 38.4 Credit Support Portfolio 36% 25% 17% 28.0 Market 37% 25% 19% 21.0 18.0 15.7 17.6 16.3 15.8 17.2 WARF 11.5 11.8 11.5 Portfolio 2,770 2,822 2,735 Market 2,800 2,817 2,837 Diversity Score AAA AA A Portfolio 77 77 79 Base Case NAIC stress GFC Break Point Market 77 75 75 CDR at Break Point 54.7% 27.8% 17.2% WAPx CDR at Base Case 4.5% 4.5% 4.5% Portfolio 76.85 79.47 79.35 CDR at GFC 5.8% 5.8% 5.8% Market 78.96 78.86 78.87 CNO Financial Group | First Quarter 2020 Earnings | May 5, 2020 27

 

Appendix 2: Financial Exhibits • Non-GAAP Financial Measures Slides 29-41 CNO Financial Group | First Quarter 2020 Earnings | May 5, 2020 28

 

4Q19 Significant Items The table below summarizes the financial impact of significant items on our 4Q19 net operating income. Management believes that identifying the impact of these items enhances the understanding of our operating results. (dollars in millions, except per-share amounts) Three months ended December 31, 2019 Excluding significant Actual results Significant items items Insurance product margin Annuity$ 60.5 $ 0.3 (1) $ 60.8 Health 79.0 - 79.0 Life 46.7 9.7 (1) 56.4 Long-term care 14.0 14.0 Total insurance product margin 200.2 10.0 210.2 Allocated expenses (140.6) - (140.6) Income from insurance products 59.6 10.0 69.6 Fee income 11.7 - 11.7 Investment income not allocated to product lines 26.2 - 26.2 Expenses not allocated to product lines 2.8 (20.0) (2) (17.2) Operating earnings before taxes 100.3 (10.0) 90.3 Income tax expense on operating income (21.7) 2.1 (19.6) Net operating income (3)$ 78.6 $ (7.9) $ 70.7 Net operating income per diluted share (3)$ 0.52 $ (0.05) $ 0.47 (1) Adjustments arising from our comprehensive annual actuarial review of assumptions. (2) $20.0 million of the net favorable impact from legal and regulatory matters. (3) A non-GAAP measure. See pages 30 and 32 for a reconciliation to the corresponding GAAP measure. CNO Financial Group | First Quarter 2020 Earnings | May 5, 2020 29

 

Quarterly Earnings (dollars in millions) 1Q19 2Q19 3Q19 4Q19 1Q20 Insurance product margin Annuity$ 56.2 $ 57.2 $ 56.2 $ 60.5 $ 59.5 Health 78.9 78.3 77.0 79.0 73.6 Life 43.1 51.7 54.6 46.7 44.3 Long-term care 11.5 11.9 12.3 14.0 13.3 Total insurance product margin 189.7 199.1 200.1 200.2 190.7 Allocated expenses (135.9) (135.2) (131.3) (140.6) (136.6) Income from insurance products 53.8 63.9 68.8 59.6 54.1 Fee income 4.4 4.4 3.0 11.7 7.8 Investment income not allocated to product lines 43.3 48.3 34.3 26.2 57.4 Expenses not allocated to product lines (18.1) (19.9) (18.2) 2.8 (13.8) Operating earnings before taxes 83.4 96.7 87.9 100.3 105.5 Income tax expense on operating income (17.6) (20.3) (18.7) (21.7) (21.2) Net operating income 65.8 76.4 69.2 78.6 84.3 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 (63.7) Net change in market value of investments recognized in earnings 16.6 6.8 4.7 (2.6) (48.4) Fair value changes in embedded derivative liabilities (net of related amortization) (29.6) (35.9) (29.3) 13.4 (66.7) Fair value changes related to agent deferred compensation plan (5.3) (11.6) (6.0) 2.5 - Loss on extinguishment of debt - (7.3) - - - Other 1.2 0.7 (1.2) (13.3) 2.3 Non-operating income (loss) before taxes (17.8) (49.0) (34.4) 7.1 (176.5) Income tax expense (benefit): On non-operating income (loss) (3.8) (10.2) (7.2) 1.4 (37.0) Valuation allowance for deferred tax assets and other tax items - - - (193.7) (34.0) Net non-operating income (loss) (14.0) (38.8) (27.2) 199.4 (105.5) Net income (loss)$ 51.8 $ 37.6 $ 42.0 $ 278.0 $ (21.2) *Management believes that an analysis of earnings before net realized investment gains (losses) from sales, impairments and change in allowance for credit losses, net change in market value of investments recognized in earnings, fair value changes in embedded derivative liabilities, fair value changes related to the agent deferred compensation plan, loss on extinguishment of debt, loss related to reinsurance transaction, other non-operating items, corporate interest expense and taxes (“Adjusted EBIT,” a non-GAAP financial measure) provides a clearer comparison of the operating results of the company quarter-over-quarter because it excludes: (1) net realized investment gains (losses) from sales, impairments and change in allowance for credit losses; (2) net change in market value of investments recognized in earnings; (3) fair value changes due to fluctuations in the interest rates used to discount embedded derivative liabilities related to our fixed index annuities that are unrelated to the company’s underlying fundamentals; (4) loss on extinguishment of debt; (5) fair value changes related to the agent deferred compensation plan; (6) loss related to reinsurance transaction; (7) charges in the valuation allowance for deferred tax assets and other tax items; and (8) other non-operating items consisting primarily of earnings attributable to variable interest entities. The table above provides a reconciliation of Adjusted EBIT to net income. CNO Financial Group | First Quarter 2020 Earnings | May 5, 2020 30

 

Information Related to Certain Non-GAAP Financial Measures The following provides additional information regarding certain non-GAAP measures used in this presentation. A non-GAAP measure is a numerical measure of a company’s performance, financial position, or cash flows that excludes or includes amounts that are normally excluded or included in the most directly comparable measure calculated and presented in accordance with GAAP. While management believes these measures are useful to enhance understanding and comparability of our financial results, these non-GAAP measures should not be considered as substitutes for the most directly comparable GAAP measures. Additional information concerning non-GAAP measures is included in our periodic filings with the Securities and Exchange Commission that are available in the “Investors – SEC Filings” section of CNO’s website, www.CNOinc.com. Operating earnings measures Management believes that an analysis of net income applicable to common stock before net realized investment gains or losses from sales, impairments and change in allowance for credit losses, net change in market value of investments recognized in earnings, fair value changes due to fluctuations in the interest rates used to discount embedded derivative liabilities related to our fixed index annuities, fair value changes related to the agent deferred compensation plan, loss on extinguishment of debt, loss related to reinsurance transaction, changes in the valuation allowance for deferred tax assets and other tax items and other non-operating items consisting primarily of earnings attributable to variable interest entities (“net operating income,” a non-GAAP financial measure) is important to evaluate the financial performance of the Company and is a key measure commonly used in the life insurance industry. Management uses this measure to evaluate performance because the items excluded from net operating income can be affected by events that are unrelated to the Company’s underlying fundamentals. CNO Financial Group | First Quarter 2020 Earnings | May 5, 2020 31

 

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) 1Q19 2Q19 3Q19 4Q19 1Q20 Net income (loss) applicable to common stock $ 51.8 $ 37.6 $ 42.0 $ 278.0 $ (21.2) Non-operating items: Net realized investment (gains) losses from sales and impairments, net of related amortization 0.7 1.7 2.6 (7.1) 63.7 Net change in market value of investments recognized in earnings (16.6) (6.8) (4.7) 2.6 48.4 Fair value changes in embedded derivative liabilities, net of related amortization 29.6 35.9 29.3 (13.4) 66.7 Fair value changes related to the agent deferred compensation plan 5.3 11.6 6.0 (2.5) - Loss on extinguishment of debt - 7.3 - - - Other (1.2) (0.7) 1.2 13.3 (2.3) Non-operating (income) loss before taxes 17.8 49.0 34.4 (7.1) 176.5 Income tax (expense) benefit On non-operating (income) loss 3.8 10.2 7.2 (1.4) 37.0 Valuation allowance for deferred tax assets and other tax items - - - 193.7 34.0 Net non-operating (income) loss 14.0 38.8 27.2 (199.4) 105.5 Net operating income (a non-GAAP financial measure) $ 65.8 $ 76.4 $ 69.2 $ 78.6 $ 84.3 Per diluted share: Net income (loss) $ 0.32 $ 0.24 $ 0.27 $ 1.84 $ (0.15) Net realized investment (gains) losses from sales and impairments (net of related amortization and taxes) - 0.01 0.01 (0.04) 0.35 Net change in market value of investments recognized in earnings (net of taxes) (0.08) (0.04) (0.02) 0.01 0.26 Fair value changes in embedded derivative liabilities (net of related amortization and taxes) 0.15 0.18 0.15 (0.07) 0.36 Fair value changes related to the agent deferred compensation plan (net of taxes) 0.03 0.06 0.03 (0.01) - Loss on extinguishment of debt - 0.03 - - - Valuation allowance for deferred tax assets and other tax items - - - (1.28) (0.23) Other (0.01) - 0.01 0.07 (0.01) Net operating income (a non-GAAP financial measure) $ 0.41 $ 0.48 $ 0.45 $ 0.52 $ 0.58 CNO Financial Group | First Quarter 2020 Earnings | May 5, 2020 32

 

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) 1Q19 2Q19 3Q19 4Q19 1Q20 (a) Operating income$ 65.8 $ 76.4 $ 69.2 $ 78.6 $ 84.3 Weighted average shares outstanding for basic earnings per share 160,948 158,816 154,257 150,138 145,829 Effect of dilutive securities on weighted average shares: Stock options, restricted stock and performance units 1,241 919 1,003 1,271 - Weighted average shares outstanding for diluted earnings per share 162,189 159,735 155,260 151,409 145,829 Net operating income per diluted share$ 0.41 $ 0.48 $ 0.45 $ 0.52 $ 0.58 (a) Equivalent common shares of 768 were not included in the diluted weighted average shares outstanding due to the net less recognized in 1Q20. CNO Financial Group | First Quarter 2020 Earnings | May 5, 2020 33

 

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) 1Q19 2Q19 3Q19 4Q19 1Q20 Total shareholders' equity$ 3,837.9 $ 4,252.2 $ 4,553.3 $ 4,677.0 $ 3,765.8 Shares outstanding for the period 159,955,172 156,768,002 152,183,491 148,084,178 143,610,046 Book value per share$ 23.99 $ 27.12 $ 29.92 $ 31.58 $ 26.22 Total shareholders' equity$ 3,837.9 $ 4,252.2 $ 4,553.3 $ 4,677.0 $ 3,765.8 Less accumulated other comprehensive income (654.9) (1,098.2) (1,442.9) (1,372.5) (595.2) Adjusted shareholders' equity excluding AOCI$ 3,183.0 $ 3,154.0 $ 3,110.4 $ 3,304.5 $ 3,170.6 Shares outstanding for the period 159,955,172 156,768,002 152,183,491 148,084,178 143,610,046 Dilutive common stock equivalents related to: Stock options, restricted stock and performance units 1,168,027 894,456 1,059,278 1,496,546 326,110 Diluted shares outstanding 161,123,199 157,662,458 153,242,769 149,580,724 143,936,156 Book value per diluted share (a non-GAAP measure)$ 19.76 $ 20.00 $ 20.30 $ 22.09 $ 22.03 CNO Financial Group | First Quarter 2020 Earnings | May 5, 2020 34

 

Information Related to Certain Non-GAAP Financial Measures Operating return measures Management believes that an analysis of net income applicable to common stock before net realized investment gains or losses from sales, impairments and change in allowance for credit losses, net change in market value of investments recognized in earnings, fair value changes due to fluctuations in the interest rates used to discount embedded derivative liabilities related to our fixed index annuities, fair value changes related to the agent deferred compensation plan, loss on extinguishment of debt, loss on reinsurance transaction, changes in the valuation allowance for deferred tax assets and other tax items, loss on extinguishment of debt and other non-operating items consisting primarily of earnings attributable to variable interest entities (“net operating income,” a non-GAAP financial measure) is important to evaluate the financial performance of the Company and is a key measure commonly used in the life insurance industry. Management uses this measure to evaluate performance because the items excluded from net operating income can be affected by events that are unrelated to the Company’s underlying fundamentals. Management also believes that an operating return, excluding significant items, is important as the impact of these items enhances the understanding of our operating results. This non-GAAP financial measure also differs from return on equity because accumulated other comprehensive income (loss) has been excluded from the value of equity used to determine this ratio. Management believes this non-GAAP financial measure is useful because it removes the volatility that arises from changes in accumulated other comprehensive income (loss). Such volatility is often caused by changes in the estimated fair value of our investment portfolio resulting from changes in general market interest rates rather than the business decisions made by management. In addition, our equity includes the value of significant net operating loss carryforwards (included in income tax assets). In accordance with GAAP, these assets are not discounted, and accordingly will not provide a return to shareholders (until after it is realized as a reduction to taxes that would otherwise be paid). Management believes that excluding this value from the equity component of this measure enhances the understanding of the effect these non-discounted assets have on operating returns and the comparability of these measures from period-to-period. Operating return measures are used in measuring the performance of our business units and are used as a basis for incentive compensation. CNO Financial Group | First Quarter 2020 Earnings | May 5, 2020 35

 

Information Related to Certain Non-GAAP Financial Measures The calculations of: (i) operating return on equity, excluding accumulated other comprehensive income (loss) and net operating loss carryforwards (a non-GAAP financial measure); (ii) operating return, excluding significant item, on equity, excluding accumulated other comprehensive income (loss) and net operating loss carryforwards (a non-GAAP financial measure); and (iii) return on equity are as follows: (dollars in millions) Trailing Twelve Months Ended 1Q19 2Q19 3Q19 4Q19 1Q20 Operating income$ 295.0 $ 289.5 $ 271.2 $ 290.0 $ 308.5 Operating income, excluding significant items$ 310.1 $ 304.6 $ 286.3 $ 282.1 $ 300.6 Net income (loss)$ (347.5) $ (412.1) $ 159.7 $ 409.4 $ 336.4 Average common equity, excluding accumulated other comprehensive income (loss) and net operating loss carryforwards (a non-GAAP financial measure) $ 2,942.5 $ 2,782.7 $ 2,697.2 $ 2,703.9 $ 2,713.0 Avearge common shareholders' equity$ 3,918.3 $ 3,795.6 $ 3,886.9 $ 4,166.8 $ 4,321.1 Operating return on equity, excluding accumulated other comprehensive income (loss) and net operating loss carryforwards (a non-GAAP financial measure) 10.0% 10.4% 10.1% 10.7% 11.4% Operating return, excluding significant items, on equity, excluding accumulated other comprehensive income (loss) and net operating loss carryforwards (a non-GAAP financial measure) 10.5% 10.9% 10.6% 10.4% 11.1% Return on equity -8.9% -10.9% 4.1% 9.8% 7.8% (Continued on next page) CNO Financial Group | First Quarter 2020 Earnings | May 5, 2020 36

 

Information Related to Certain Non-GAAP Financial Measures The following summarizes: (i) operating earnings; (ii) significant items; (iii) operating earnings, excluding significant items; and (iv) net income (loss): (dollars in millions) Net operating Net operating income, income, excluding excluding significant Net income Net operating Significant significant items - trailing Net income (loss) - trailing income items (a) items four quarters (loss) four quarters 2Q18$ 81.9 $ - $ 81.9 $ 309.0 $ 102.2 $ 216.4 3Q18 87.5 - 87.5 321.8 (529.8) (414.2) 4Q18 59.8 15.1 74.9 317.3 28.3 (315.0) 1Q19 65.8 - 65.8 310.1 51.8 (347.5) 2Q19 76.4 - 76.4 304.6 37.6 (412.1) 3Q19 69.2 - 69.2 286.3 42.0 159.7 4Q19 78.6 (7.9) 70.7 282.1 278.0 409.4 1Q20 84.3 - 84.3 300.6 (21.2) 336.4 (a) The significant items have been discussed in prior press releases. (Continued on next page) CNO Financial Group | First Quarter 2020 Earnings | May 5, 2020 37

 

Information Related to Certain Non-GAAP Financial Measures The calculations of: (i) operating return on equity, excluding accumulated other comprehensive income (loss) and net operating loss carryforwards (a non-GAAP financial measure); (ii) operating return, excluding significant item, on equity, excluding accumulated other comprehensive income (loss) and net operating loss carryforwards (a non-GAAP financial measure); and (iii) return on equity are as follows: (dollars in millions) Twelve Months Ended 1Q19 2Q19 3Q19 4Q19 1Q20 Pretax operating earnings (a non-GAAP financial measure)$ 369.7 $ 362.3 $ 341.2 $ 368.3 $ 390.4 Income tax expense (74.7) (72.8) (70.0) (78.3) (81.9) Operating return 295.0 289.5 271.2 290.0 308.5 Non-operating items: Net realized investment gains (losses) from sales and impairments, net of related amortization 36.7 24.1 (15.5) 2.1 (60.9) Net change in market value of investments recognized in earnings (16.5) (9.4) 0.6 25.5 (39.5) Fair value changes in embedded derivative liabilities, net of related amortization 0.8 (43.4) (95.6) (81.4) (118.5) Fair value changes and amendment related to the agent deferred compensation plan 6.6 (16.0) (22.0) (20.4) (15.1) Loss on extinguishment of debt - (7.3) (7.3) (7.3) (7.3) Loss on reinsurance transaction (704.2) (704.2) - - - Other (0.4) 4.5 2.5 (12.6) (11.5) Non-operating loss before taxes (677.0) (751.7) (137.3) (94.1) (252.8) Income tax expense (benefit): On non-operating loss (142.3) (157.9) (28.8) (19.8) (53.0) Valuation allowance for deferred tax assets and other tax items 107.8 107.8 3.0 (193.7) (227.7) Net non-operating loss (642.5) (701.6) (111.5) 119.4 27.9 Net income (loss)$ (347.5) $ (412.1) $ 159.7 $ 409.4 $ 336.4 (Continued on next page) CNO Financial Group | First Quarter 2020 Earnings | May 5, 2020 38

 

Information Related to Certain Non-GAAP Financial Measures A reconciliation of consolidated capital, excluding accumulated other comprehensive income (loss) and net operating loss carryforwards (a non-GAAP financial measure) to common shareholders’ equity, is as follows: (dollars in millions) 1Q17 2Q17 3Q17 4Q17 Consolidated capital, excluding accumulated other comprehensive income (loss) and net operating loss carryforwards (a non-GAAP financial measure)$ 3,236.6 $ 3,263.2 $ 3,335.0 $ 3,225.6 Net operating loss carryforwards 640.6 621.6 613.1 409.8 Accumulated other comprehensive income 729.6 894.5 933.6 1,212.1 Common shareholders' equity$ 4,606.8 $ 4,779.3 $ 4,881.7 $ 4,847.5 1Q18 2Q18 3Q18 4Q18 Consolidated capital, excluding accumulated other comprehensive income (loss) and net operating loss carryforwards (a non-GAAP financial measure)$ 3,318.7 $ 3,366.0 $ 2,705.8 $ 2,687.3 Net operating loss carryforwards 404.2 388.7 510.6 505.9 Accumulated other comprehensive income 894.3 700.2 403.5 177.7 Common shareholders' equity$ 4,617.2 $ 4,454.9 $ 3,619.9 $ 3,370.9 1Q19 2Q19 3Q19 4Q19 Consolidated capital, excluding accumulated other comprehensive income (loss) and net operating loss carryforwards (a non-GAAP financial measure)$ 2,703.4 $ 2,702.9 $ 2,685.0 $ 2,761.9 Net operating loss carryforwards 479.6 451.1 425.4 542.6 Accumulated other comprehensive income 654.9 1,098.2 1,442.9 1,372.5 Common shareholders' equity$ 3,837.9 $ 4,252.2 $ 4,553.3 $ 4,677.0 1Q20 Consolidated capital, excluding accumulated other comprehensive income (loss) and net operating loss carryforwards (a non-GAAP financial measure)$ 2,701.2 Net operating loss carryforwards 469.4 Accumulated other comprehensive income 595.2 Common shareholders' equity$ 3,765.8 CNO Financial Group | First Quarter 2020 Earnings | May 5, 2020 39

 

Information Related to Certain Non-GAAP Financial Measures A reconciliation of consolidated capital, excluding accumulated other comprehensive income (loss) and net operating loss carryforwards (a non-GAAP financial measure) to common shareholders’ equity, is as follows: (dollars in millions) Trailing Four Quarter Average 1Q19 2Q19 3Q19 4Q19 1Q20 Consolidated capital, excluding accumulated other comprehensive income (loss) and net operating loss carryforwards (a non-GAAP financial measure)$ 2,942.5 $ 2,782.7 $ 2,697.2 $ 2,703.9 $ 2,713.0 Net operating loss carryforwards 461.8 479.0 476.2 470.1 473.4 Accumulated other comprehensive income 514.0 533.8 713.5 992.8 1,134.7 Common shareholders' equity$ 3,918.3 $ 3,795.5 $ 3,886.9 $ 4,166.8 $ 4,321.1 CNO Financial Group | First Quarter 2020 Earnings | May 5, 2020 40

 

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) 1Q19 2Q19 3Q19 4Q19 1Q20 Corporate notes payable$ 917.3 $ 988.3 $ 988.7 $ 989.1 $ 989.4 Total shareholders' equity 3,837.9 4,252.2 4,553.3 4,677.0 3,765.8 Total capital$ 4,755.2 $ 5,240.5 $ 5,542.0 $ 5,666.1 $ 4,755.2 Corporate debt to capital 19.3% 18.9% 17.8% 17.5% 20.8% Corporate notes payable$ 917.3 $ 988.3 $ 988.7 $ 989.1 $ 989.4 Total shareholders' equity 3,837.9 4,252.2 4,553.3 4,677.0 3,765.8 Less accumulated other comprehensive income (654.9) (1,098.2) (1,442.9) (1,372.5) (595.2) Total capital$ 4,100.3 $ 4,142.3 $ 4,099.1 $ 4,293.6 $ 4,160.0 Debt to total capital ratio, excluding AOCI (a non-GAAP financial measure) 22.4% 23.9% 24.1% 23.0% 23.8% CNO Financial Group | First Quarter 2020 Earnings | May 5, 2020 41

 

Exhibit 99.4

	

 	 	 	 	 	 	
Quarterly Financial Supplement - 4Q2019*	 	 	 	 	 	

 	 	 	 	 	 	
* Historical information has been revised to reflect changes in our allocation of net investment income to our product lines. All periods included in this financial supplement have been revised to conform to the new reporting structure.	 	 	 	 	 	

 	 	 	 	 	 	

 	 	 	 	 	 	

May 5, 2020	 	 	 	 	 	

Page 1

	
					
Table of Contents	 	 	 	Page	
 	 	 	 	 	
Consolidated balance sheet	 	 	 	3	
Consolidated statement of operations	 	 	 	4	
Financial summary	 	 	 	5	
Insurance operations	 	 	 	6	
Margin from insurance products	 	 	 	7-10	
Collected premiums from annuity and interest sensitive life products and insurance policy income	 	 	 	11	
Health and life new annualized premiums	 	 	 	12	
Computation of weighted average shares outstanding	 	 	 	13	
Annuities - account value rollforwards	 	 	 	14	
Statutory information	 	 	 	15	
Investment income not allocated to product lines and investment income allocated to product lines	 	 	 	16-17	
Significant items	 	 	 	18-20	
Notes	 	 	 	21-22	

Page 2

CNO FINANCIAL GROUP, INC.
CONSOLIDATED BALANCE SHEET
(Dollars in millions)
(Unaudited)

	

 	Mar-18	 	Jun-18	 	Sep-18	 	Dec-18	 	Mar-19	 	Jun-19	 	Sep-19	 	Dec-19	
Assets	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Investments:	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
  Fixed maturities, available for sale, at fair value	$	22,375.5		 	$	22,080.9		 	$	18,512.4		 	$	18,447.7		 	$	19,468.4		 	$	20,437.2		 	$	21,089.2		 	$	21,295.2		
  Equity securities at fair value	498.7		 	366.1		 	335.5		 	291.0		 	40.8		 	38.8		 	39.3		 	44.1		
  Mortgage loans	1,601.2		 	1,649.4		 	1,680.6		 	1,602.1		 	1,626.1		 	1,596.5		 	1,561.7		 	1,566.1		
  Policy loans	116.0		 	116.0		 	117.4		 	119.7		 	121.3		 	121.6		 	122.8		 	124.5		
  Trading securities	289.6		 	254.2		 	239.0		 	233.1		 	237.9		 	248.3		 	247.3		 	243.9		
  Investments held by variable interest entities	1,583.9		 	1,543.3		 	1,550.5		 	1,468.4		 	1,241.4		 	1,215.2		 	1,204.2		 	1,188.6		
  Other invested assets	951.1		 	946.0		 	920.0		 	833.4		 	943.3		 	1,018.8		 	1,070.9		 	1,118.5		
  Total investments	27,416.0		 	26,955.9		 	23,355.4		 	22,995.4		 	23,679.2		 	24,676.4		 	25,335.4		 	25,580.9		
Cash and cash equivalents - unrestricted	610.8		 	639.3		 	539.2		 	594.2		 	621.6		 	557.4		 	760.3		 	580.0		
Cash and cash equivalents held by variable interest entities	115.6		 	106.4		 	56.4		 	62.4		 	69.7		 	50.5		 	61.7		 	74.7		
Accrued investment income	268.1		 	252.5		 	224.7		 	205.2		 	214.8		 	211.2		 	212.7		 	205.9		
Present value of future profits	350.4		 	345.5		 	351.6		 	343.6		 	333.6		 	299.3		 	284.0		 	275.4		
Deferred acquisition costs	1,083.6		 	1,237.4		 	1,291.1		 	1,322.5		 	1,289.1		 	1,253.2		 	1,138.8		 	1,215.5		
Reinsurance receivables	2,153.5		 	2,127.4		 	4,946.3		 	4,925.4		 	4,879.7		 	4,829.4		 	4,802.4		 	4,785.7		
Income tax assets, net	450.4		 	484.8		 	577.8		 	630.0		 	479.9		 	348.3		 	241.5		 	432.6		
Assets held in separate accounts	4.7		 	4.8		 	5.1		 	4.4		 	4.9		 	4.9		 	4.2		 	4.2		
Other assets	356.0		 	318.2		 	299.6		 	356.7		 	741.9		 	485.4		 	438.8		 	476.0		
Total assets	$	32,809.1		 	$	32,472.2		 	$	31,647.2		 	$	31,439.8		 	$	32,314.4		 	$	32,716.0		 	$	33,279.8		 	$	33,630.9		
Liabilities	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Liabilities for insurance products:	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
  Policyholder account liabilities	$	11,328.7		 	$	11,401.1		 	$	11,492.7		 	$	11,522.8		 	$	11,676.9		 	$	11,851.4		 	$	11,998.9		 	$	12,132.3		
  Future policy benefits	11,238.0		 	11,217.1		 	11,097.5		 	11,153.7		 	11,234.2		 	11,314.3		 	11,423.2		 	11,498.5		
  Liability for policy and contract claims	509.1		 	499.5		 	513.4		 	521.9		 	521.0		 	517.8		 	508.9		 	522.3		
  Unearned and advanced premiums	270.3		 	260.5		 	249.2		 	253.9		 	255.9		 	248.1		 	242.8		 	260.5		
  Liabilities related to separate accounts	4.7		 	4.8		 	5.1		 	4.4		 	4.9		 	4.9		 	4.2		 	4.2		
Other liabilities	869.0		 	654.2		 	689.5		 	632.4		 	804.0		 	740.2		 	762.0		 	750.2		
Investment borrowings	1,646.5		 	1,646.3		 	1,646.1		 	1,645.8		 	1,645.5		 	1,645.2		 	1,644.8		 	1,644.3		
Borrowings related to variable interest entities	1,410.5		 	1,418.1		 	1,417.6		 	1,417.2		 	1,416.8		 	1,153.6		 	1,153.0		 	1,152.5		
Notes payable - direct corporate obligations	915.1		 	915.7		 	916.2		 	916.8		 	917.3		 	988.3		 	988.7		 	989.1		
Total liabilities	28,191.9		 	28,017.3		 	28,027.3		 	28,068.9		 	28,476.5		 	28,463.8		 	28,726.5		 	28,953.9		
Shareholders' equity	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Common stock	1.6		 	1.6		 	1.6		 	1.6		 	1.6		 	1.6		 	1.5		 	1.5		
Additional paid-in capital	3,075.6		 	3,021.9		 	3,030.0		 	2,995.0		 	2,952.2		 	2,903.2		 	2,834.6		 	2,767.3		
Retained earnings	645.7		 	731.2		 	184.8		 	196.6		 	229.2		 	249.2		 	274.3		 	535.7		
Total shareholders' equity before accumulated other comprehensive income	3,722.9		 	3,754.7		 	3,216.4		 	3,193.2		 	3,183.0		 	3,154.0		 	3,110.4		 	3,304.5		
Accumulated other comprehensive income	894.3		 	700.2		 	403.5		 	177.7		 	654.9		 	1,098.2		 	1,442.9		 	1,372.5		
Total shareholders' equity	4,617.2		 	4,454.9		 	3,619.9		 	3,370.9		 	3,837.9		 	4,252.2		 	4,553.3		 	4,677.0		
Total liabilities and shareholders' equity	$	32,809.1		 	$	32,472.2		 	$	31,647.2		 	$	31,439.8		 	$	32,314.4		 	$	32,716.0		 	$	33,279.8		 	$	33,630.9		

 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
 	Mar-18	 	Jun-18	 	Sep-18	 	Dec-18	 	Mar-19	 	Jun-19	 	Sep-19	 	Dec-19	
 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Book value per common share	$	27.59		 	$	27.09		 	$	21.99		 	$	20.78		 	$	23.99		 	$	27.12		 	$	29.92		 	$	31.58		
 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Book value per common share, excluding accumulated other comprehensive income (1) (2)	$	22.25		 	$	22.83		 	$	19.54		 	$	19.69		 	$	19.90		 	$	20.12		 	$	20.44		 	$	22.32		
 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Book value per diluted share (1) (3)	$	21.94		 	$	22.62		 	$	19.28		 	$	19.52		 	$	19.76		 	$	20.00		 	$	20.30		 	$	22.09		

Page 3

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

	

 	1Q	 	2Q	 	3Q	 	4Q	 	YTD	 	1Q	 	2Q	 	3Q	 	4Q	 	YTD	
 	2018	 	2018	 	2018	 	2018	 	2018	 	2019	 	2019	 	2019	 	2019	 	2019	
Revenues	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Insurance policy income	$	659.9		 	$	659.8		 	$	656.9		 	$	616.5		 	$	2,593.1		 	$	619.3		 	$	618.3		 	$	620.0		 	$	623.2		 	$	2,480.8		
Net investment income:	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
   General account assets	327.3		 	326.4		 	330.2		 	288.6		 	1,272.5		 	268.8		 	284.9		 	274.1		 	270.2		 	1,098.0		
Policyholder and other special-purpose portfolios	14.6		 	37.5		 	87.6		 	(106.0	)	 	33.7		 	87.0		 	49.6		 	25.4		 	102.9		 	264.9		
Realized investment gains (losses):	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Net realized gains on the transfer of assets related to reinsurance transaction	—		 	—		 	363.4		 	—		 	363.4		 	—		 	—		 	—		 	—		 	—		
Other net realized investment gains (losses), excluding impairment losses	(15.2	)	 	11.0		 	33.3		 	(37.8	)	 	(8.7	)	 	18.3		 	5.3		 	5.7		 	11.3		 	40.6		
Other-than-temporary impairments:	 	 	 	 	 	 	 	 		 	 	 	 	 	 	 	 	 	 	
Total other-than-temporary impairment losses	—		 	—		 	(2.1	)	 	(0.5	)	 	(2.6	)	 	(2.2	)	 	—		 	(3.4	)	 	(6.8	)	 	(12.4	)	
Change in other-than-temporary impairment losses recognized in accumulated other comprehensive income	—		 	—		 	—		 	—		 	—		 	—		 	—		 	—		 	—		 	—		
Net impairment losses recognized	—		 	—		 	(2.1	)	 	(0.5	)	 	(2.6	)	 	(2.2	)	 	—		 	(3.4	)	 	(6.8	)	 	(12.4	)	
Total realized gains (losses)	(15.2	)	 	11.0		 	394.6		 	(38.3	)	 	352.1		 	16.1		 	5.3		 	2.3		 	4.5		 	28.2		
Fee revenue and other income	21.2		 	11.6		 	11.9		 	17.4		 	62.1		 	31.8		 	21.7		 	22.2		 	68.2		 	143.9		
Total revenues	1,007.8		 	1,046.3		 	1,481.2		 	778.2		 	4,313.5		 	1,023.0		 	979.8		 	944.0		 	1,069.0		 	4,015.8		
 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Benefits and expenses	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Insurance policy benefits	586.6		 	618.2		 	646.9		 	426.9		 	2,278.6		 	623.5		 	610.4		 	582.8		 	600.3		 	2,417.0		
Loss related to reinsurance transaction	—		 	—		 	1,067.6		 	—		 	1,067.6		 	—		 	—		 	—		 	—		 	—		
Interest expense	33.6		 	37.7		 	38.8		 	39.7		 	149.8		 	41.0		 	38.6		 	37.5		 	35.2		 	152.3		
Amortization	71.9		 	61.0		 	62.4		 	69.0		 	264.3		 	58.2		 	46.2		 	51.6		 	76.1		 	232.1		
Loss on extinguishment of debt	—		 	—		 	—		 	—		 	—		 	—		 	7.3		 	—		 	—		 	7.3		
Loss on extinguishment of borrowings related to variable interest entities	—		 	3.8		 	—		 	—		 	3.8		 	—		 	—		 	—		 	—		 	—		
Other operating costs and expenses	207.6		 	195.8		 	205.3		 	205.5		 	814.2		 	234.7		 	229.6		 	218.6		 	250.0		 	932.9		
Total benefits and expenses	899.7		 	916.5		 	2,021.0		 	741.1		 	4,578.3		 	957.4		 	932.1		 	890.5		 	961.6		 	3,741.6		
 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Income (loss) before income taxes	108.1		 	129.8		 	(539.8	)	 	37.1		 	(264.8	)	 	65.6		 	47.7		 	53.5		 	107.4		 	274.2		
Income tax expense (benefit) on period income (loss)	23.8		 	27.6		 	(114.8	)	 	5.8		 	(57.6	)	 	13.8		 	10.1		 	11.5		 	23.1		 	58.5		
Valuation allowance for deferred tax assets and other tax items	—		 	—		 	104.8		 	3.0		 	107.8		 	—		 	—		 	—		 	(193.7	)	 	(193.7	)	
Net income (loss)	$	84.3		 	$	102.2		 	$	(529.8	)	 	$	28.3		 	$	(315.0	)	 	$	51.8		 	$	37.6		 	$	42.0		 	$	278.0		 	$	409.4		

Page 4

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

	

 	1Q	 	2Q	 	3Q	 	4Q	 	YTD	 	1Q	 	2Q	 	3Q	 	4Q	 	YTD	
 	2018	 	2018	 	2018	 	2018	 	2018	 	2019	 	2019	 	2019	 	2019	 	2019	
Insurance product margin (4)	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Annuity margin	$	48.7		 	$	56.1		 	$	60.3		 	$	49.7		 	$	214.8		 	$	56.2		 	$	57.2		 	$	56.2		 	$	60.5		 	$	230.1		
Health margin	79.5		 	80.4		 	77.1		 	78.4		 	315.4		 	78.9		 	78.3		 	77.0		 	79.0		 	313.2		
Life margin	41.2		 	50.3		 	57.7		 	55.1		 	204.3		 	43.1		 	51.7		 	54.6		 	46.7		 	196.1		
Long-term care margin	10.3		 	12.2		 	5.9		 	9.9		 	38.3		 	11.5		 	11.9		 	12.3		 	14.0		 	49.7		
Total insurance product margin	179.7		 	199.0		 	201.0		 	193.1		 	772.8		 	189.7		 	199.1		 	200.1		 	200.2		 	789.1		
Allocated expenses	(125.1	)	 	(129.9	)	 	(126.3	)	 	(139.8	)	 	(521.1	)	 	(135.9	)	 	(135.2	)	 	(131.3	)	 	(140.6	)	 	(543.0	)	
Income from insurance products (5)	54.6		 	69.1		 	74.7		 	53.3		 	251.7		 	53.8		 	63.9		 	68.8		 	59.6		 	246.1		
Ceded long-term care block (14)	12.0		 	5.4		 	2.1		 	—		 	19.5		 	—		 	—		 	—		 	—		 	—		
Fee income	1.1		 	3.8		 	2.8		 	2.8		 	10.5		 	4.4		 	4.4		 	3.0		 	11.7		 	23.5		
Investment income not allocated to product lines (9)	46.3		 	47.8		 	53.0		 	33.7		 	180.8		 	43.3		 	48.3		 	34.3		 	26.2		 	152.1		
Expenses not allocated to product lines	(19.1	)	 	(22.0	)	 	(23.6	)	 	(16.6	)	 	(81.3	)	 	(18.1	)	 	(19.9	)	 	(18.2	)	 	2.8		 	(53.4	)	
Operating earnings before taxes	94.9		 	104.1		 	109.0		 	73.2		 	381.2		 	83.4		 	96.7		 	87.9		 	100.3		 	368.3		
Income tax expense on operating income	(21.0	)	 	(22.2	)	 	(21.5	)	 	(13.4	)	 	(78.1	)	 	(17.6	)	 	(20.3	)	 	(18.7	)	 	(21.7	)	 	(78.3	)	
Net operating income (10)	73.9		 	81.9		 	87.5		 	59.8		 	303.1		 	65.8		 	76.4		 	69.2		 	78.6		 	290.0		
Net realized gains/losses from sales and impairments (net of related amortization)	0.5		 	10.9		 	37.0		 	(10.5	)	 	37.9		 	(0.7	)	 	(1.7	)	 	(2.6	)	 	7.1		 	2.1		
Net change in market value of investments recognized in earnings	(15.7	)	 	(0.3	)	 	(5.3	)	 	(27.5	)	 	(48.8	)	 	16.6		 	6.8		 	4.7		 	(2.6	)	 	25.5		
Fair value changes related to agent deferred compensation plan	—		 	11.0		 	—		 	0.9		 	11.9		 	(5.3	)	 	(11.6	)	 	(6.0	)	 	2.5		 	(20.4	)	
Fair value changes in embedded derivative liabilities (net of related amortization)	25.1		 	8.3		 	22.9		 	(0.8	)	 	55.5		 	(29.6	)	 	(35.9	)	 	(29.3	)	 	13.4		 	(81.4	)	
Loss related to reinsurance transaction	—		 	—		 	(704.2	)	 	—		 	(704.2	)	 	—		 	—		 	—		 	—		 	—		
Loss on extinguishment of debt	—		 	—		 	—		 	—		 	—		 	—		 	(7.3	)	 	—		 	—		 	(7.3	)	
Other	3.3		 	(4.2	)	 	0.8		 	1.8		 	1.7		 	1.2		 	0.7		 	(1.2	)	 	(13.3	)	 	(12.6	)	
Net non-operating income (loss) before taxes	13.2		 	25.7		 	(648.8	)	 	(36.1	)	 	(646.0	)	 	(17.8	)	 	(49.0	)	 	(34.4	)	 	7.1		 	(94.1	)	
Income tax expense (benefit) on non-operating income (loss)	2.8		 	5.4		 	(136.3	)	 	(7.6	)	 	(135.7	)	 	(3.8	)	 	(10.2	)	 	(7.2	)	 	1.4		 	(19.8	)	
Valuation allowance for deferred tax assets and other tax items	—		 	—		 	104.8		 	3.0		 	107.8		 	—		 	—		 	—		 	(193.7	)	 	(193.7	)	
Net non-operating income (loss)	10.4		 	20.3		 	(617.3	)	 	(31.5	)	 	(618.1	)	 	(14.0	)	 	(38.8	)	 	(27.2	)	 	199.4		 	119.4		
Net income (loss)	$	84.3		 	$	102.2		 	$	(529.8	)	 	$	28.3		 	$	(315.0	)	 	$	51.8		 	$	37.6		 	$	42.0		 	$	278.0		 	$	409.4		
Per diluted share	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Net operating income	$	0.44		 	$	0.49		 	$	0.53		 	$	0.36		 	$	1.83		 	$	0.41		 	$	0.48		 	$	0.45		 	$	0.52		 	$	1.85		
Net non-operating income (loss)	0.06		 	0.12		 	(3.75	)	 	(0.19	)	 	(3.73	)	 	(0.09	)	 	(0.24	)	 	(0.18	)	 	1.32		 	0.76		
Net income (loss)	$	0.50		 	$	0.61		 	$	(3.22	)	 	$	0.17		 	$	(1.90	)	 	$	0.32		 	$	0.24		 	$	0.27		 	$	1.84		 	$	2.61		

Page 5

CNO FINANCIAL GROUP, INC.
Insurance Operations
(Dollars in millions)
(Unaudited)

																																								
 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
 	1Q	 	2Q	 	3Q	 	4Q	 	YTD	 	1Q	 	2Q	 	3Q	 	4Q	 	YTD	
 	2018	 	2018	 	2018	 	2018	 	2018	 	2019	 	2019	 	2019	 	2019	 	2019	
Insurance product margin (4)	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Annuity:	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Insurance policy income	$	5.1		 	$	5.0		 	$	4.6		 	$	5.2		 	$	19.9		 	$	6.6		 	$	4.2		 	$	5.1		 	$	5.2		 	$	21.1		
Net investment income (5) (6)	112.4		 	113.3		 	114.5		 	116.3		 	456.5		 	115.8		 	114.8		 	116.5		 	117.3		 	464.4		
Insurance policy benefits	(19.4	)	 	(9.5	)	 	(6.5	)	 	(1.7	)	 	(37.1	)	 	(7.9	)	 	(5.1	)	 	(7.3	)	 	7.5		 	(12.8	)	
Interest credited (6)	(35.9	)	 	(38.5	)	 	(38.7	)	 	(42.5	)	 	(155.6	)	 	(43.2	)	 	(41.6	)	 	(42.0	)	 	(40.1	)	 	(166.9	)	
Amortization and non-deferred commissions	(13.5	)	 	(14.2	)	 	(13.6	)	 	(27.6	)	 	(68.9	)	 	(15.1	)	 	(15.1	)	 	(16.1	)	 	(29.4	)	 	(75.7	)	
Annuity margin	48.7		 	56.1		 	60.3		 	49.7		 	214.8		 	56.2		 	57.2		 	56.2		 	60.5		 	230.1		
Health:	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Insurance policy income	357.0		 	356.6		 	356.4		 	358.2		 	1,428.2		 	358.2		 	358.1		 	358.1		 	359.0		 	1,433.4		
Net investment income (5)	35.2		 	35.5		 	35.7		 	36.1		 	142.5		 	36.2		 	35.8		 	35.4		 	35.7		 	143.1		
Insurance policy benefits	(267.0	)	 	(270.9	)	 	(274.9	)	 	(272.8	)	 	(1,085.6	)	 	(264.9	)	 	(272.7	)	 	(274.2	)	 	(271.3	)	 	(1,083.1	)	
Amortization and non-deferred commissions	(45.7	)	 	(40.8	)	 	(40.1	)	 	(43.1	)	 	(169.7	)	 	(50.6	)	 	(42.9	)	 	(42.3	)	 	(44.4	)	 	(180.2	)	
Health margin	79.5		 	80.4		 	77.1		 	78.4		 	315.4		 	78.9		 	78.3		 	77.0		 	79.0		 	313.2		
Life:	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Insurance policy income	184.1		 	186.1		 	185.2		 	185.4		 	740.8		 	187.2		 	189.0		 	189.6		 	192.3		 	758.1		
Net investment income (5) (7)	33.4		 	33.7		 	34.1		 	34.3		 	135.5		 	34.5		 	34.8		 	34.6		 	34.4		 	138.3		
Insurance policy benefits	(132.1	)	 	(125.2	)	 	(117.9	)	 	(122.2	)	 	(497.4	)	 	(130.8	)	 	(126.2	)	 	(121.4	)	 	(135.2	)	 	(513.6	)	
Interest credited (7)	(10.0	)	 	(10.7	)	 	(9.3	)	 	(10.5	)	 	(40.5	)	 	(10.2	)	 	(10.6	)	 	(10.7	)	 	(10.4	)	 	(41.9	)	
Amortization and non-deferred commissions	(20.1	)	 	(19.6	)	 	(20.4	)	 	(17.1	)	 	(77.2	)	 	(20.9	)	 	(20.3	)	 	(21.4	)	 	(19.9	)	 	(82.5	)	
Advertising expense	(14.1	)	 	(14.0	)	 	(14.0	)	 	(14.8	)	 	(56.9	)	 	(16.7	)	 	(15.0	)	 	(16.1	)	 	(14.5	)	 	(62.3	)	
Life margin	41.2		 	50.3		 	57.7		 	55.1		 	204.3		 	43.1		 	51.7		 	54.6		 	46.7		 	196.1		
Long-term care:	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Insurance policy income	68.3		 	68.0		 	67.5		 	67.6		 	271.4		 	67.3		 	67.0		 	67.2		 	66.7		 	268.2		
Net investment income (5)	33.1		 	33.5		 	32.5		 	32.7		 	131.8		 	33.3		 	34.0		 	34.7		 	34.8		 	136.8		
Insurance policy benefits	(86.7	)	 	(85.8	)	 	(90.0	)	 	(86.6	)	 	(349.1	)	 	(85.5	)	 	(85.7	)	 	(86.2	)	 	(84.4	)	 	(341.8	)	
Amortization and non-deferred commissions	(4.4	)	 	(3.5	)	 	(4.1	)	 	(3.8	)	 	(15.8	)	 	(3.6	)	 	(3.4	)	 	(3.4	)	 	(3.1	)	 	(13.5	)	
Long-term care margin	10.3		 	12.2		 	5.9		 	9.9		 	38.3		 	11.5		 	11.9		 	12.3		 	14.0		 	49.7		
Total insurance product margin	179.7		 	199.0		 	201.0		 	193.1		 	772.8		 	189.7		 	199.1		 	200.1		 	200.2		 	789.1		
Allocated expenses:	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Branch office expenses	(20.3	)	 	(17.9	)	 	(18.6	)	 	(18.5	)	 	(75.3	)	 	(22.3	)	 	(16.3	)	 	(18.3	)	 	(18.9	)	 	(75.8	)	
Other allocated expenses	(104.8	)	 	(112.0	)	 	(107.7	)	 	(121.3	)	 	(445.8	)	 	(113.6	)	 	(118.9	)	 	(113.0	)	 	(121.7	)	 	(467.2	)	
Income from insurance products (8)	54.6		 	69.1		 	74.7		 	53.3		 	251.7		 	53.8		 	63.9		 	68.8		 	59.6		 	246.1		
Ceded long-term care block	12.0		 	5.4		 	2.1		 	—		 	19.5		 	—		 	—		 	—		 	—		 	—		
Fee income	1.1		 	3.8		 	2.8		 	2.8		 	10.5		 	4.4		 	4.4		 	3.0		 	11.7		 	23.5		
Investment income not allocated to product lines (9)	46.3		 	47.8		 	53.0		 	33.7		 	180.8		 	43.3		 	48.3		 	34.3		 	26.2		 	152.1		
Expenses not allocated to product lines	(19.1	)	 	(22.0	)	 	(23.6	)	 	(16.6	)	 	(81.3	)	 	(18.1	)	 	(19.9	)	 	(18.2	)	 	2.8		 	(53.4	)	
Operating earnings before taxes	94.9		 	104.1		 	109.0		 	73.2		 	381.2		 	83.4		 	96.7		 	87.9		 	100.3		 	368.3		
Income tax expense on operating income	(21.0	)	 	(22.2	)	 	(21.5	)	 	(13.4	)	 	(78.1	)	 	(17.6	)	 	(20.3	)	 	(18.7	)	 	(21.7	)	 	(78.3	)	
Net operating income (10)	$	73.9		 	$	81.9		 	$	87.5		 	$	59.8		 	$	303.1		 	$	65.8		 	$	76.4		 	$	69.2		 	$	78.6		 	$	290.0		

Page 6

CNO FINANCIAL GROUP, INC.
Margin from Annuity Products
(Dollars in millions)
(Unaudited)

																																								
 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
 	1Q	 	2Q	 	3Q	 	4Q	 	YTD	 	1Q	 	2Q	 	3Q	 	4Q	 	YTD	
 	2018	 	2018	 	2018	 	2018	 	2018	 	2019	 	2019	 	2019	 	2019	 	2019	
Annuity margin (4):	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Fixed index annuities	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Insurance policy income	$	2.9		 	$	2.8		 	$	2.8		 	$	2.5		 	$	11.0		 	$	3.1		 	$	2.8		 	$	2.9		 	$	2.8		 	$	11.6		
Net investment income (5) (6)	68.0		 	70.1		 	71.8		 	74.1		 	284.0		 	75.3		 	76.0		 	78.7		 	80.6		 	310.6		
Insurance policy benefits	(12.0	)	 	(3.8	)	 	(1.2	)	 	6.6		 	(10.4	)	 	0.5		 	(0.5	)	 	(1.1	)	 	15.3		 	14.2		
Interest credited (6)	(16.8	)	 	(19.7	)	 	(20.3	)	 	(24.4	)	 	(81.2	)	 	(25.7	)	 	(24.7	)	 	(25.4	)	 	(24.0	)	 	(99.8	)	
Amortization and non-deferred commissions	(10.0	)	 	(10.5	)	 	(10.1	)	 	(27.5	)	 	(58.1	)	 	(12.1	)	 	(12.1	)	 	(12.9	)	 	(20.1	)	 	(57.2	)	
Margin from fixed index annuities	$	32.1		 	$	38.9		 	$	43.0		 	$	31.3		 	$	145.3		 	$	41.1		 	$	41.5		 	$	42.2		 	$	54.6		 	$	179.4		
Average net insurance liabilities (11)	$	5,496.9		 	$	5,637.2		 	$	5,799.8		 	$	5,990.8		 	$	5,731.2		 	$	6,193.8		 	$	6,388.9		 	$	6,587.5		 	$	6,751.0		 	$	6,480.3		
Margin/average net insurance liabilities (12)	2.34	%	 	2.76	%	 	2.97	%	 	2.09	%	 	2.54	%	 	2.65	%	 	2.60	%	 	2.56	%	 	3.24	%	 	2.77	%	
Fixed interest annuities	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Insurance policy income	$	0.7		 	$	0.6		 	$	0.5		 	$	0.4		 	$	2.2		 	$	0.5		 	$	0.4		 	$	0.4		 	$	0.2		 	$	1.5		
Net investment income (5)	36.2		 	35.1		 	34.7		 	34.2		 	140.2		 	32.8		 	31.2		 	30.2		 	29.0		 	123.2		
Insurance policy benefits	(0.2	)	 	(0.4	)	 	(0.2	)	 	(0.5	)	 	(1.3	)	 	(0.1	)	 	(0.1	)	 	—		 	(0.2	)	 	(0.4	)	
Interest credited	(18.2	)	 	(17.9	)	 	(17.5	)	 	(17.2	)	 	(70.8	)	 	(16.4	)	 	(16.0	)	 	(15.7	)	 	(15.2	)	 	(63.3	)	
Amortization and non-deferred commissions	(3.4	)	 	(3.5	)	 	(3.4	)	 	0.1		 	(10.2	)	 	(3.0	)	 	(3.0	)	 	(3.2	)	 	(9.2	)	 	(18.4	)	
Margin from fixed interest annuities	$	15.1		 	$	13.9		 	$	14.1		 	$	17.0		 	$	60.1		 	$	13.8		 	$	12.5		 	$	11.7		 	$	4.6		 	$	42.6		
Average net insurance liabilities (11)	$	2,746.6		 	$	2,663.7		 	$	2,582.6		 	$	2,500.8		 	$	2,623.4		 	$	2,417.3		 	$	2,337.9		 	$	2,263.4		 	$	2,204.3		 	$	2,305.7		
Margin/average net insurance liabilities (12)	2.20	%	 	2.09	%	 	2.18	%	 	2.72	%	 	2.29	%	 	2.28	%	 	2.14	%	 	2.07	%	 	0.83	%	 	1.85	%	
Other annuities	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Insurance policy income	$	1.5		 	$	1.6		 	$	1.3		 	$	2.3		 	$	6.7		 	$	3.0		 	$	1.0		 	$	1.8		 	$	2.2		 	$	8.0		
Net investment income (5)	8.2		 	8.1		 	8.0		 	8.0		 	32.3		 	7.7		 	7.6		 	7.6		 	7.7		 	30.6		
Insurance policy benefits	(7.2	)	 	(5.3	)	 	(5.1	)	 	(7.8	)	 	(25.4	)	 	(8.3	)	 	(4.5	)	 	(6.2	)	 	(7.6	)	 	(26.6	)	
Interest credited	(0.9	)	 	(0.9	)	 	(0.9	)	 	(0.9	)	 	(3.6	)	 	(1.1	)	 	(0.9	)	 	(0.9	)	 	(0.9	)	 	(3.8	)	
Amortization and non-deferred commissions	(0.1	)	 	(0.2	)	 	(0.1	)	 	(0.2	)	 	(0.6	)	 	—		 	—		 	—		 	(0.1	)	 	(0.1	)	
Margin from other annuities	$	1.5		 	$	3.3		 	$	3.2		 	$	1.4		 	$	9.4		 	$	1.3		 	$	3.2		 	$	2.3		 	$	1.3		 	$	8.1		
Average net insurance liabilities (11)	$	607.1		 	$	595.3		 	$	586.2		 	$	578.3		 	$	591.7		 	$	575.7		 	$	574.4		 	$	569.8		 	$	565.0		 	$	571.2		
Margin/average net insurance liabilities (12)	0.99	%	 	2.22	%	 	2.18	%	 	0.97	%	 	1.59	%	 	0.90	%	 	2.23	%	 	1.61	%	 	0.92	%	 	1.42	%	
Total annuity margin	$	48.7		 	$	56.1		 	$	60.3		 	$	49.7		 	$	214.8		 	$	56.2		 	$	57.2		 	$	56.2		 	$	60.5		 	$	230.1		
Average net insurance liabilities (11)	$	8,850.6		 	$	8,896.2		 	$	8,968.6		 	$	9,069.9		 	$	8,946.3		 	$	9,186.8		 	$	9,301.2		 	$	9,420.7		 	$	9,520.3		 	$	9,357.2		
Margin/average net insurance liabilities (12)	2.20	%	 	2.52	%	 	2.69	%	 	2.19	%	 	2.40	%	 	2.45	%	 	2.46	%	 	2.39	%	 	2.54	%	 	2.46	%	

Page 7

CNO FINANCIAL GROUP, INC.
Margin from Health Products
(Dollars in millions)
(Unaudited)

																																								
 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
 	1Q	 	2Q	 	3Q	 	4Q	 	YTD	 	1Q	 	2Q	 	3Q	 	4Q	 	YTD	
 	2018	 	2018	 	2018	 	2018	 	2018	 	2019	 	2019	 	2019	 	2019	 	2019	
Health margin (4):	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Supplemental health	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Insurance policy income	$	158.7		 	$	159.2		 	$	159.8		 	$	163.5		 	$	641.2		 	$	163.2		 	$	164.4		 	$	165.3		 	$	167.5		 	$	660.4		
Net investment income (5)	34.1		 	34.5		 	34.8		 	35.1		 	138.5		 	35.0		 	34.7		 	34.4		 	34.6		 	138.7		
Insurance policy benefits	(121.6	)	 	(125.3	)	 	(126.8	)	 	(123.6	)	 	(497.3	)	 	(123.1	)	 	(128.9	)	 	(128.2	)	 	(126.9	)	 	(507.1	)	
Amortization and non-deferred commissions	(23.3	)	 	(24.3	)	 	(24.5	)	 	(25.9	)	 	(98.0	)	 	(27.6	)	 	(27.8	)	 	(27.6	)	 	(28.3	)	 	(111.3	)	
Margin from supplemental health	$	47.9		 	$	44.1		 	$	43.3		 	$	49.1		 	$	184.4		 	$	47.5		 	$	42.4		 	$	43.9		 	$	46.9		 	$	180.7		
Margin/insurance policy income	30	%	 	28	%	 	27	%	 	30	%	 	29	%	 	29	%	 	26	%	 	27	%	 	28	%	 	27	%	
Medicare supplement	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Insurance policy income	$	198.3		 	$	197.4		 	$	196.6		 	$	194.7		 	$	787.0		 	$	195.0		 	$	193.7		 	$	192.8		 	$	191.5		 	$	773.0		
Net investment income (5)	1.1		 	1.0		 	0.9		 	1.0		 	4.0		 	1.2		 	1.1		 	1.0		 	1.1		 	4.4		
Insurance policy benefits	(145.4	)	 	(145.6	)	 	(148.1	)	 	(149.2	)	 	(588.3	)	 	(141.8	)	 	(143.8	)	 	(146.0	)	 	(144.4	)	 	(576.0	)	
Amortization and non-deferred commissions	(22.4	)	 	(16.5	)	 	(15.6	)	 	(17.2	)	 	(71.7	)	 	(23.0	)	 	(15.1	)	 	(14.7	)	 	(16.1	)	 	(68.9	)	
Margin from Medicare supplement	$	31.6		 	$	36.3		 	$	33.8		 	$	29.3		 	$	131.0		 	$	31.4		 	$	35.9		 	$	33.1		 	$	32.1		 	$	132.5		
Margin/insurance policy income	16	%	 	18	%	 	17	%	 	15	%	 	17	%	 	16	%	 	19	%	 	17	%	 	17	%	 	17	%	
Total health margin	$	79.5		 	$	80.4		 	$	77.1		 	$	78.4		 	$	315.4		 	$	78.9		 	$	78.3		 	$	77.0		 	$	79.0		 	$	313.2		
Margin/insurance policy income	22	%	 	23	%	 	22	%	 	22	%	 	22	%	 	22	%	 	22	%	 	22	%	 	22	%	 	22	%	

Page 8

CNO FINANCIAL GROUP, INC.
Margin from Life Products
(Dollars in millions)
(Unaudited)

																																								
 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
 	1Q	 	2Q	 	3Q	 	4Q	 	YTD	 	1Q	 	2Q	 	3Q	 	4Q	 	YTD	
 	2018	 	2018	 	2018	 	2018	 	2018	 	2019	 	2019	 	2019	 	2019	 	2019	
Life margin (4):	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Interest sensitive life	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Insurance policy income	$	34.0		 	$	34.6		 	$	34.9		 	$	35.6		 	$	139.1		 	$	36.2		 	$	37.3		 	$	37.1		 	$	38.0		 	$	148.6		
Net investment income (5) (7)	11.2		 	11.3		 	11.5		 	11.6		 	45.6		 	11.6		 	11.7		 	11.7		 	11.7		 	46.7		
Insurance policy benefits	(14.6	)	 	(14.3	)	 	(12.6	)	 	(14.3	)	 	(55.8	)	 	(15.9	)	 	(14.9	)	 	(13.6	)	 	(23.2	)	 	(67.6	)	
Interest credited (7)	(9.8	)	 	(10.5	)	 	(9.1	)	 	(10.3	)	 	(39.7	)	 	(10.0	)	 	(10.4	)	 	(10.5	)	 	(10.2	)	 	(41.1	)	
Amortization and non-deferred commissions	(6.2	)	 	(6.3	)	 	(6.7	)	 	(2.7	)	 	(21.9	)	 	(7.0	)	 	(7.1	)	 	(6.7	)	 	(5.0	)	 	(25.8	)	
Margin from interest sensitive life	$	14.6		 	$	14.8		 	$	18.0		 	$	19.9		 	$	67.3		 	$	14.9		 	$	16.6		 	$	18.0		 	$	11.3		 	$	60.8		
Average net insurance liabilities (11)	$	807.1		 	$	820.9		 	$	834.3		 	$	844.1		 	$	826.6		 	$	852.0		 	$	860.7		 	$	869.2		 	$	883.4		 	$	866.3		
Interest margin	$	1.4		 	$	0.8		 	$	2.4		 	$	1.3		 	$	5.9		 	$	1.6		 	$	1.3		 	$	1.2		 	$	1.5		 	$	5.6		
Interest margin/average net insurance liabilities (12)	0.69	%	 	0.39	%	 	1.15	%	 	0.62	%	 	0.71	%	 	0.75	%	 	0.60	%	 	0.55	%	 	0.68	%	 	0.65	%	
Underwriting margin	$	13.2		 	$	14.0		 	$	15.6		 	$	18.6		 	$	61.4		 	$	13.3		 	$	15.3		 	$	16.8		 	$	9.8		 	$	55.2		
Underwriting margin/insurance policy income	39	%	 	40	%	 	45	%	 	52	%	 	44	%	 	37	%	 	41	%	 	45	%	 	26	%	 	37	%	
Traditional life	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Insurance policy income	$	150.1		 	$	151.5		 	$	150.3		 	$	149.8		 	$	601.7		 	$	151.0		 	$	151.7		 	$	152.5		 	$	154.3		 	$	609.5		
Net investment income (5)	22.2		 	22.4		 	22.6		 	22.7		 	89.9		 	22.9		 	23.1		 	22.9		 	22.7		 	91.6		
Insurance policy benefits	(117.5	)	 	(110.9	)	 	(105.3	)	 	(107.9	)	 	(441.6	)	 	(114.9	)	 	(111.3	)	 	(107.8	)	 	(112.0	)	 	(446.0	)	
Interest credited	(0.2	)	 	(0.2	)	 	(0.2	)	 	(0.2	)	 	(0.8	)	 	(0.2	)	 	(0.2	)	 	(0.2	)	 	(0.2	)	 	(0.8	)	
Amortization and non-deferred commissions	(13.9	)	 	(13.3	)	 	(13.7	)	 	(14.4	)	 	(55.3	)	 	(13.9	)	 	(13.2	)	 	(14.7	)	 	(14.9	)	 	(56.7	)	
Advertising expense	(14.1	)	 	(14.0	)	 	(14.0	)	 	(14.8	)	 	(56.9	)	 	(16.7	)	 	(15.0	)	 	(16.1	)	 	(14.5	)	 	(62.3	)	
Margin from traditional life	$	26.6		 	$	35.5		 	$	39.7		 	$	35.2		 	$	137.0		 	$	28.2		 	$	35.1		 	$	36.6		 	$	35.4		 	$	135.3		
Margin/insurance policy income	18	%	 	23	%	 	26	%	 	23	%	 	23	%	 	19	%	 	23	%	 	24	%	 	23	%	 	22	%	
Margin excluding advertising expense/insurance policy income	27	%	 	33	%	 	36	%	 	33	%	 	32	%	 	30	%	 	33	%	 	35	%	 	32	%	 	32	%	
Total life margin	$	41.2		 	$	50.3		 	$	57.7		 	$	55.1		 	$	204.3		 	$	43.1		 	$	51.7		 	$	54.6		 	$	46.7		 	$	196.1		

Page 9

CNO FINANCIAL GROUP, INC.
Margin from Long-Term Care Products
(Dollars in millions)
(Unaudited)

																																								
 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
 	1Q	 	2Q	 	3Q	 	4Q	 	YTD	 	1Q	 	2Q	 	3Q	 	4Q	 	YTD	
 	2018	 	2018	 	2018	 	2018	 	2018	 	2019	 	2019	 	2019	 	2019	 	2019	
Long-term care margin (4):	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Insurance policy income	$	68.3		 	$	68.0		 	$	67.5		 	$	67.6		 	$	271.4		 	$	67.3		 	$	67.0		 	$	67.2		 	$	66.7		 	$	268.2		
Net investment income (5)	33.1		 	33.5		 	32.5		 	32.7		 	131.8		 	33.3		 	34.0		 	34.7		 	34.8		 	136.8		
Insurance policy benefits	(86.7	)	 	(85.8	)	 	(90.0	)	 	(86.6	)	 	(349.1	)	 	(85.5	)	 	(85.7	)	 	(86.2	)	 	(84.4	)	 	(341.8	)	
Amortization and non-deferred commissions	(4.4	)	 	(3.5	)	 	(4.1	)	 	(3.8	)	 	(15.8	)	 	(3.6	)	 	(3.4	)	 	(3.4	)	 	(3.1	)	 	(13.5	)	
Margin from long-term care	$	10.3		 	$	12.2		 	$	5.9		 	$	9.9		 	$	38.3		 	$	11.5		 	$	11.9		 	$	12.3		 	$	14.0		 	$	49.7		
Margin/insurance policy income	15	%	 	18	%	 	9	%	 	15	%	 	14	%	 	17	%	 	18	%	 	18	%	 	21	%	 	19	%	

Page 10

CNO FINANCIAL GROUP, INC.
Collected Premiums From Annuity and Interest Sensitive Life Products
and Insurance Policy Income
(Dollars in millions)
(Unaudited)

																																								
 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
 	1Q	 	2Q	 	3Q	 	4Q	 	YTD	 	1Q	 	2Q	 	3Q	 	4Q	 	YTD	
 	2018	 	2018	 	2018	 	2018	 	2018	 	2019	 	2019	 	2019	 	2019	 	2019	
Collected premiums from annuity and interest- sensitive life products:	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Annuities	$	251.8		 	$	287.4		 	$	270.8		 	$	354.5		 	$	1,164.5		 	$	315.7		 	$	341.2		 	$	325.2		 	$	324.3		 	$	1,306.4		
Interest-sensitive life	46.0		 	49.5		 	48.0		 	49.6		 	193.1		 	47.5		 	51.9		 	51.1		 	50.8		 	201.3		
Total collected premiums from annuity and interest-sensitive life products	$	297.8		 	$	336.9		 	$	318.8		 	$	404.1		 	$	1,357.6		 	$	363.2		 	$	393.1		 	$	376.3		 	$	375.1		 	$	1,507.7		
 		 		 		 		 		 	 	 	 	 	 	 	 	 	 	
Insurance policy income:		 		 		 		 		 	 	 	 	 	 	 	 	 	 	
Annuity products	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Fixed index annuities	$	2.9		 	$	2.8		 	$	2.8		 	$	2.5		 	$	11.0		 	$	3.1		 	$	2.8		 	$	2.9		 	$	2.8		 	$	11.6		
Fixed interest annuities	0.7		 	0.6		 	0.5		 	0.4		 	2.2		 	0.5		 	0.4		 	0.4		 	0.2		 	1.5		
Other annuities	1.5		 	1.6		 	1.3		 	2.3		 	6.7		 	3.0		 	1.0		 	1.8		 	2.2		 	8.0		
Total annuity insurance policy income	5.1		 	5.0		 	4.6		 	5.2		 	19.9		 	6.6		 	4.2		 	5.1		 	5.2		 	21.1		
Health products		 		 		 		 		 	 	 	 	 	 	 	 	 	 	
Supplemental health	158.7		 	159.2		 	159.8		 	163.5		 	641.2		 	163.2		 	164.4		 	165.3		 	167.5		 	660.4		
Medicare supplement	198.3		 	197.4		 	196.6		 	194.7		 	787.0		 	195.0		 	193.7		 	192.8		 	191.5		 	773.0		
Total health insurance policy income	357.0		 	356.6		 	356.4		 	358.2		 	1,428.2		 	358.2		 	358.1		 	358.1		 	359.0		 	1,433.4		
Life products	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Interest-sensitive life	34.0		 	34.6		 	34.9		 	35.6		 	139.1		 	36.2		 	37.3		 	37.1		 	38.0		 	148.6		
Traditional life	150.1		 	151.5		 	150.3		 	149.8		 	601.7		 	151.0		 	151.7		 	152.5		 	154.3		 	609.5		
Total life insurance policy income	184.1		 	186.1		 	185.2		 	185.4		 	740.8		 	187.2		 	189.0		 	189.6		 	192.3		 	758.1		
Long-term care (a)	68.3		 	68.0		 	67.5		 	67.6		 	271.4		 	67.3		 	67.0		 	67.2		 	66.7		 	268.2		
Total insurance policy income	$	614.5		 	$	615.7		 	$	613.7		 	$	616.4		 	$	2,460.3		 	$	619.3		 	$	618.3		 	$	620.0		 	$	623.2		 	$	2,480.8		

___________________
(a) Excludes insurance policy income related to the long-term care business that was ceded in the third quarter of 2018.

Page 11

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	
 	2018	 	2018	 	2018	 	2018	 	2018	 	2019	 	2019	 	2019	 	2019	 	2019	
Consumer Division	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Health products:	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Supplemental health	$	15.4		 	$	15.9		 	$	15.0		 	$	16.1		 	$	62.4		 	$	13.6		 	$	14.8		 	$	15.4		 	$	25.7		 	$	69.5		
Medicare supplement	12.9		 	14.3		 	13.9		 	17.9		 	59.0		 	12.4		 	14.5		 	14.2		 	17.2		 	58.3		
Total Consumer Division health NAP	28.3		 	30.2		 	28.9		 	34.0		 	121.4		 	26.0		 	29.3		 	29.6		 	42.9		 	127.8		
Life products:	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Interest sensitive life	6.4		 	7.1		 	6.3		 	5.9		 	25.7		 	4.9		 	7.0		 	5.7		 	5.5		 	23.1		
Traditional life	28.8		 	27.9		 	28.7		 	26.5		 	111.9		 	31.7		 	29.8		 	29.0		 	25.1		 	115.6		
Total Consumer Division life NAP	35.2		 	35.0		 	35.0		 	32.4		 	137.6		 	36.6		 	36.8		 	34.7		 	30.6		 	138.7		
Long-term care	5.0		 	5.3		 	6.5		 	7.4		 	24.2		 	5.8		 	6.4		 	6.4		 	8.0		 	26.6		
Total Consumer Division health and life NAP	$	68.5		 	$	70.5		 	$	70.4		 	$	73.8		 	$	283.2		 	$	68.4		 	$	72.5		 	$	70.7		 	$	81.5		 	$	293.1		
Worksite Division	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Health products:	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Supplemental health	$	7.9		 	$	9.4		 	$	8.9		 	$	11.9		 	$	38.1		 	$	8.3		 	$	10.1		 	$	10.7		 	$	11.8		 	$	40.9		
Life products:	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Interest sensitive life	1.7		 	1.9		 	2.4		 	3.9		 	9.9		 	3.1		 	2.6		 	2.6		 	4.3		 	12.6		
Total Worksite Division health and life NAP	$	9.6		 	$	11.3		 	$	11.3		 	$	15.8		 	$	48.0		 	$	11.4		 	$	12.7		 	$	13.3		 	$	16.1		 	$	53.5		
Total NAP (both divisions)	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Health products:	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Supplemental health	$	23.3		 	$	25.3		 	$	23.9		 	$	28.0		 	$	100.5		 	$	21.9		 	$	24.9		 	$	26.1		 	$	37.5		 	$	110.4		
Medicare supplement	12.9		 	14.3		 	13.9		 	17.9		 	59.0		 	12.4		 	14.5		 	14.2		 	17.2		 	58.3		
Total health NAP	36.2		 	39.6		 	37.8		 	45.9		 	159.5		 	34.3		 	39.4		 	40.3		 	54.7		 	168.7		
Life products:	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Interest sensitive life	8.1		 	9.0		 	8.7		 	9.8		 	35.6		 	8.0		 	9.6		 	8.3		 	9.8		 	35.7		
Traditional life	28.8		 	27.9		 	28.7		 	26.5		 	111.9		 	31.7		 	29.8		 	29.0		 	25.1		 	115.6		
Total life NAP	36.9		 	36.9		 	37.4		 	36.3		 	147.5		 	39.7		 	39.4		 	37.3		 	34.9		 	151.3		
Long-term care	5.0		 	5.3		 	6.5		 	7.4		 	24.2		 	5.8		 	6.4		 	6.4		 	8.0		 	26.6		
Total NAP	$	78.1		 	$	81.8		 	$	81.7		 	$	89.6		 	$	331.2		 	$	79.8		 	$	85.2		 	$	84.0		 	$	97.6		 	$	346.6		

Page 12

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

	

 	1Q	 	2Q	 	3Q	 	4Q	 	YTD	 	1Q	 	2Q	 	3Q	 	4Q	 	YTD	
 	2018	 	2018	 	2018 (a)	 	2018	 	2018 (b)	 	2019	 	2019	 	2019	 	2019	 	2019	
Basic	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Shares outstanding, beginning of period	166,857.9		 	167,354.3		 	164,433.1		 	164,634.4		 	166,857.9		 	162,201.7		 	159,955.2		 	156,768.0		 	152,183.5		 	162,201.7		
Weighted average shares issued during the period:	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Shares repurchased	—		 	(1,300.5	)	 	—		 	(549.2	)	 	(1,961.5	)	 	(1,485.6	)	 	(1,238.1	)	 	(2,585.5	)	 	(2,157.3	)	 	(6,906.9	)	
Amounts related to employee benefit plans	307.6		 	66.7		 	119.7		 	35.6		 	813.8		 	320.9		 	127.3		 	76.6		 	114.9		 	974.0		
Shares withheld for the payment of the exercise price and taxes related to employee benefit plans	(105.9	)	 	(22.0	)	 	(1.4	)	 	(2.7	)	 	(253.3	)	 	(88.7	)	 	(28.3	)	 	(2.1	)	 	(2.8	)	 	(228.9	)	
Weighted average basic shares outstanding during the period	167,059.6		 	166,098.5		 	164,551.4		 	164,118.1		 	165,456.9		 	160,948.3		 	158,816.1		 	154,257.0		 	150,138.3		 	156,039.9		
Basic shares outstanding, end of period	167,354.3		 	164,433.1		 	164,634.4		 	162,201.7		 	162,201.7		 	159,955.2		 	156,768.0		 	152,183.5		 	148,084.2		 	148,084.2		
Diluted	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Weighted average basic shares outstanding	167,059.6		 	166,098.5		 	164,551.4		 	164,118.1		 	165,456.9		 	160,948.3		 	158,816.1		 	154,257.0		 	150,138.3		 	156,039.9		
Common stock equivalent shares related to:	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Employee benefit plans	2,617.8		 	1,879.5		 	—		 	1,771.7		 	—		 	1,240.7		 	918.7		 	1,002.7		 	1,268.8		 	1,107.7		
Weighted average diluted shares outstanding during the period	169,677.4		 	167,978.0		 	164,551.4		 	165,889.8		 	165,456.9		 	162,189.0		 	159,734.8		 	155,259.7		 	151,407.1		 	157,147.6		
Diluted shares outstanding, end of period	169,705.4		 	165,971.0		 	166,823.4		 	163,593.2		 	163,593.2		 	161,123.2		 	157,662.5		 	153,242.8		 	149,580.7		 	149,580.7		

____________________
(a) Equivalent common shares of 2,145.7 were not included in the diluted weighted average shares outstanding
due to the net loss recognized in 3Q18.

(b) Equivalent common shares of 2,103.7 were not included in the diluted weighted average shares outstanding
due to the net loss recognized in 2018.

Page 13

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

	

 	 	1Q	 	2Q	 	3Q	 	4Q	 	YTD	 	1Q	 	2Q	 	3Q	 	4Q	 	YTD	
 	 	2018	 	2018	 	2018	 	2018	 	2018	 	2019	 	2019	 	2019	 	2019	 	2019	
 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Fixed index annuities	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Balance as of the beginning of the period	 	$	5,694.7		 	$	5,825.7		 	$	6,008.8		 	$	6,194.4		 	$	5,694.7		 	$	6,433.9		 	$	6,594.7		 	$	6,787.5		 	$	6,956.9		 	$	6,433.9		
Gross deposits	 	235.7		 	274.2		 	260.5		 	342.9		 	1,113.3		 	300.1		 	325.4		 	311.1		 	305.2		 	1,241.8		
Withdrawals	 	(149.2	)	 	(139.4	)	 	(131.1	)	 	(145.7	)	 	(565.4	)	 	(156.9	)	 	(156.5	)	 	(154.1	)	 	(179.8	)	 	(647.3	)	
Returns reinvested	 	44.5		 	48.3		 	56.2		 	42.3		 	191.3		 	17.6		 	23.9		 	12.4		 	50.8		 	104.7		
Balance as of the end of the period	 	$	5,825.7		 	$	6,008.8		 	$	6,194.4		 	$	6,433.9		 	$	6,433.9		 	$	6,594.7		 	$	6,787.5		 	$	6,956.9		 	$	7,133.1		 	$	7,133.1		
 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Fixed interest annuities	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Balance as of the beginning of the period	 	$	2,846.8		 	$	2,763.6		 	$	2,675.3		 	$	2,594.4		 	$	2,846.8		 	$	2,509.3		 	$	2,425.8		 	$	2,345.2		 	$	2,273.0		 	$	2,509.3		
Gross deposits	 	14.3		 	10.8		 	9.2		 	9.4		 	43.7		 	13.6		 	14.3		 	11.8		 	17.1		 	56.8		
Withdrawals	 	(116.1	)	 	(117.3	)	 	(107.6	)	 	(111.6	)	 	(452.6	)	 	(113.4	)	 	(110.9	)	 	(99.8	)	 	(88.0	)	 	(412.1	)	
Returns reinvested	 	18.6		 	18.2		 	17.5		 	17.1		 	71.4		 	16.3		 	16.0		 	15.8		 	15.4		 	63.5		
Balance as of the end of the period	 	$	2,763.6		 	$	2,675.3		 	$	2,594.4		 	$	2,509.3		 	$	2,509.3		 	$	2,425.8		 	$	2,345.2		 	$	2,273.0		 	$	2,217.5		 	$	2,217.5		
 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Total annuities	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Balance as of the beginning of the period	 	$	8,541.5		 	$	8,589.3		 	$	8,684.1		 	$	8,788.8		 	$	8,541.5		 	$	8,943.2		 	$	9,020.5		 	$	9,132.7		 	$	9,229.9		 	$	8,943.2		
Gross deposits	 	250.0		 	285.0		 	269.7		 	352.3		 	1,157.0		 	313.7		 	339.7		 	322.9		 	322.3		 	1,298.6		
Withdrawals	 	(265.3	)	 	(256.7	)	 	(238.7	)	 	(257.3	)	 	(1,018.0	)	 	(270.3	)	 	(267.4	)	 	(253.9	)	 	(267.8	)	 	(1,059.4	)	
Returns reinvested	 	63.1		 	66.5		 	73.7		 	59.4		 	262.7		 	33.9		 	39.9		 	28.2		 	66.2		 	168.2		
Balance as of the end of the period	 	$	8,589.3		 	$	8,684.1		 	$	8,788.8		 	$	8,943.2		 	$	8,943.2		 	$	9,020.5		 	$	9,132.7		 	$	9,229.9		 	$	9,350.6		 	$	9,350.6		

Page 14

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

	

 	1Q	 	2Q	 	3Q	 	4Q	 	YTD	 	1Q	 	2Q	 	3Q	 	4Q	 	YTD	
 	2018	 	2018	 	2018	 	2018	 	2018	 	2019	 	2019	 	2019	 	2019 (a)	 	2019 (a)	
 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Net gain (loss) from operations before interest expense and federal income taxes	$	65.1		 	$	80.5		 	$	(491.1	)	 	$	21.4		 	$	(324.1	)	 	$	97.8		 	$	86.0		 	$	62.1		 	$	66.2		 	$	312.1		
Interest expense on surplus debentures held by parent company	12.0		 	12.2		 	21.7		 	12.3		 	58.2		 	12.6		 	12.3		 	22.7		 	12.3		 	59.9		
Net gain (loss) from operations before federal income taxes	53.1		 	68.3		 	(512.8	)	 	9.1		 	(382.3	)	 	85.2		 	73.7		 	39.4		 	53.9		 	252.2		
Federal income tax expense (benefit)	1.6		 	(2.5	)	 	(23.9	)	 	(20.4	)	 	(45.2	)	 	1.9		 	(5.4	)	 	(4.5	)	 	(47.8	)	 	(55.8	)	
Net gain (loss) from operations before net realized capital gains (losses)	51.5		 	70.8		 	(488.9	)	 	29.5		 	(337.1	)	 	83.3		 	79.1		 	43.9		 	101.7		 	308.0		
Net realized capital gains (losses)	3.7		 	2.7		 	41.3		 	(3.9	)	 	43.8		 	(9.9	)	 	(3.6	)	 	(0.1	)	 	(3.0	)	 	(16.6	)	
Net income (loss)	$	55.2		 	$	73.5		 	$	(447.6	)	 	$	25.6		 	$	(293.3	)	 	$	73.4		 	$	75.5		 	$	43.8		 	$	98.7		 	$	291.4		

Capital and surplus	$	1,918.9		 	$	1,952.0		 	$	1,781.6		 	$	1,652.8		 	$	1,652.8		 	$	1,717.4		 	$	1,698.5		 	$	1,695.3		 	$	1,696.6		 	$	1,696.6		
Asset valuation reserve (AVR)	264.7		 	258.4		 	283.6		 	233.3		 	233.3		 	248.0		 	254.5		 	261.0		 	295.9		 	295.9		
Capital, surplus and AVR	2,183.6		 	2,210.4		 	2,065.2		 	1,886.1		 	1,886.1		 	1,965.4		 	1,953.0		 	1,956.3		 	1,992.5		 	1,992.5		
Interest maintenance reserve (IMR)	479.4		 	492.0		 	439.8		 	425.0		 	425.0		 	418.3		 	415.4		 	415.1		 	420.1		 	420.1		
Total statutory capital, surplus, AVR & IMR	$	2,663.0		 	$	2,702.4		 	$	2,505.0		 	$	2,311.1		 	$	2,311.1		 	$	2,383.7		 	$	2,368.4		 	$	2,371.4		 	$	2,412.6		 	$	2,412.6		
 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Risk-based capital ratio	427	%	 	444	%	 	452	%	 	393	%	 	393	%	 	416	%	 	409	%	 	405	%	 	408	%	 	408	%	

__________________
(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.

Page 15

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

	

 	 	1Q	 	2Q	 	3Q	 	4Q	 	YTD	 	1Q	 	2Q	 	3Q	 	4Q	 	YTD	
 	 	2018	 	2018	 	2018	 	2018	 	2018	 	2019	 	2019	 	2019	 	2019	 	2019	
Net investment income	 	$	341.9		 	$	363.9		 	$	417.8		 	$	182.6		 	$	1,306.2		 	$	355.8		 	$	334.5		 	$	299.5		 	$	373.1		 	$	1,362.9		
Amount allocated to the long-term care block ceded in the third quarter of 2018	 	(46.8	)	 	(46.3	)	 	(45.4	)	 	—		 	(138.5	)	 	—		 	—		 	—		 	—		 	—		
Adjusted net investment income	 	295.1		 	317.6		 	372.4		 	182.6		 	1,167.7		 	355.8		 	334.5		 	299.5		 	373.1		 	1,362.9		
Allocated to product lines:	 	 	 	 	 	 	 	 	 		 	 	 	 	 	 	 	 	 	—		
Annuity	 	(112.4	)	 	(113.3	)	 	(114.5	)	 	(116.3	)	 	(456.5	)	 	(115.8	)	 	(114.8	)	 	(116.5	)	 	(117.3	)	 	(464.4	)	
Health	 	(35.2	)	 	(35.5	)	 	(35.7	)	 	(36.1	)	 	(142.5	)	 	(36.2	)	 	(35.8	)	 	(35.4	)	 	(35.7	)	 	(143.1	)	
Life	 	(33.4	)	 	(33.7	)	 	(34.1	)	 	(34.3	)	 	(135.5	)	 	(34.5	)	 	(34.8	)	 	(34.6	)	 	(34.4	)	 	(138.3	)	
Long-term care	 	(33.1	)	 	(33.5	)	 	(32.5	)	 	(32.7	)	 	(131.8	)	 	(33.3	)	 	(34.0	)	 	(34.7	)	 	(34.8	)	 	(136.8	)	
Equity returns credited to policyholder account balances	 	5.0		 	(12.2	)	 	(58.5	)	 	110.6		 	44.9		 	(43.6	)	 	(23.1	)	 	(3.6	)	 	(83.4	)	 	(153.7	)	
Amounts allocated to product lines and credited to policyholder account balances	 	(209.1	)	 	(228.2	)	 	(275.3	)	 	(108.8	)	 	(821.4	)	 	(263.4	)	 	(242.5	)	 	(224.8	)	 	(305.6	)	 	(1,036.3	)	
Amount related to variable interest entities and other non-operating items	 	(18.0	)	 	(16.4	)	 	(17.8	)	 	(19.7	)	 	(71.9	)	 	(19.2	)	 	(16.0	)	 	(13.7	)	 	(12.7	)	 	(61.6	)	
Interest expense on debt	 	(11.9	)	 	(11.9	)	 	(12.1	)	 	(12.1	)	 	(48.0	)	 	(12.1	)	 	(12.6	)	 	(13.9	)	 	(13.8	)	 	(52.4	)	
Interest expense on investment borrowings	 	(8.5	)	 	(10.6	)	 	(11.2	)	 	(11.6	)	 	(41.9	)	 	(12.4	)	 	(12.3	)	 	(11.4	)	 	(10.1	)	 	(46.2	)	
Less amounts credited to deferred compensation plans (offsetting investment income)	 	(1.3	)	 	(2.7	)	 	(3.0	)	 	3.3		 	(3.7	)	 	(5.4	)	 	(2.8	)	 	(1.4	)	 	(4.7	)	 	(14.3	)	
Total adjustments	 	(39.7	)	 	(41.6	)	 	(44.1	)	 	(40.1	)	 	(165.5	)	 	(49.1	)	 	(43.7	)	 	(40.4	)	 	(41.3	)	 	(174.5	)	
Investment income not allocated to product lines	 	$	46.3		 	$	47.8		 	$	53.0		 	$	33.7		 	$	180.8		 	$	43.3		 	$	48.3		 	$	34.3		 	$	26.2		 	$	152.1		

Page 16

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	
 	 	2018	 	2018	 	2018	 	2018	 	2018	 	2019	 	2019	 	2019	 	2019	 	2019	
Average net insurance liabilities (11)	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Annuity:	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Fixed index annuities	 	$	5,496.9		 	$	5,637.2		 	$	5,799.8		 	$	5,990.8		 	$	5,731.2		 	$	6,193.8		 	$	6,388.9		 	$	6,587.5		 	$	6,751.0		 	$	6,480.3		
Fixed interest annuities	 	2,746.6		 	2,663.7		 	2,582.6		 	2,500.8		 	2,623.4		 	2,417.3		 	2,337.9		 	2,263.4		 	2,204.3		 	2,305.7		
Other annuities	 	607.1		 	595.3		 	586.2		 	578.3		 	591.7		 	575.7		 	574.4		 	569.8		 	565.0		 	571.2		
Total annuity average net insurance liabilities (11)	 	8,850.6		 	8,896.2		 	8,968.6		 	9,069.9		 	8,946.3		 	9,186.8		 	9,301.2		 	9,420.7		 	9,520.3		 	9,357.2		
Health:	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Supplemental health	 	2,603.2		 	2,638.0		 	2,674.1		 	2,708.7		 	2,656.0		 	2,743.3		 	2,779.9		 	2,815.0		 	2,849.8		 	2,797.0		
Medicare supplement	 	97.7		 	88.2		 	84.2		 	91.9		 	90.5		 	99.0		 	94.7		 	89.9		 	97.5		 	95.3		
Total health average net insurance liabilities (11)	 	2,700.9		 	2,726.2		 	2,758.3		 	2,800.6		 	2,746.5		 	2,842.3		 	2,874.6		 	2,904.9		 	2,947.3		 	2,892.3		
Life:	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
   Interest sensitive	 	807.1		 	820.9		 	834.3		 	844.1		 	826.6		 	852.0		 	860.7		 	869.2		 	883.4		 	866.3		
Traditional	 	1,721.7		 	1,731.8		 	1,748.6		 	1,770.2		 	1,743.1		 	1,793.0		 	1,813.3		 	1,834.9		 	1,859.0		 	1,825.1		
Total life average net insurance liabilities (11)	 	2,528.8		 	2,552.7		 	2,582.9		 	2,614.3		 	2,569.7		 	2,645.0		 	2,674.0		 	2,704.1		 	2,742.4		 	2,691.4		
Long-term care average net insurance liabilities (11)	 	2,286.5		 	2,294.4		 	2,378.0		 	2,338.8		 	2,324.4		 	2,372.2		 	2,421.8		 	2,471.0		 	2,502.0		 	2,441.7		
Total average net insurance liabilities (11)	 	$	16,366.8		 	$	16,469.5		 	$	16,687.8		 	$	16,823.6		 	$	16,586.9		 	$	17,046.3		 	$	17,271.6		 	$	17,500.7		 	$	17,712.0		 	$	17,382.6		
Average yield on allocated investments	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Annuity:	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Fixed index annuities	 	4.95	%	 	4.97	%	 	4.95	%	 	4.95	%	 	4.96	%	 	4.86	%	 	4.76	%	 	4.78	%	 	4.78	%	 	4.79	%	
Fixed interest annuities	 	5.27	%	 	5.27	%	 	5.37	%	 	5.47	%	 	5.34	%	 	5.43	%	 	5.34	%	 	5.34	%	 	5.26	%	 	5.34	%	
Other annuities	 	5.40	%	 	5.44	%	 	5.46	%	 	5.53	%	 	5.46	%	 	5.35	%	 	5.29	%	 	5.34	%	 	5.45	%	 	5.36	%	
Average yield on investments allocated to annuities	 	5.08	%	 	5.09	%	 	5.11	%	 	5.13	%	 	5.10	%	 	5.04	%	 	4.94	%	 	4.95	%	 	4.93	%	 	4.96	%	
Health:	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Supplemental health	 	5.24	%	 	5.23	%	 	5.21	%	 	5.18	%	 	5.21	%	 	5.10	%	 	4.99	%	 	4.89	%	 	4.86	%	 	4.96	%	
Medicare supplement	 	4.43	%	 	4.45	%	 	4.46	%	 	4.48	%	 	4.45	%	 	4.53	%	 	4.56	%	 	4.48	%	 	4.39	%	 	4.49	%	
Average yield on investments allocated to health products	 	5.21	%	 	5.21	%	 	5.18	%	 	5.16	%	 	5.19	%	 	5.09	%	 	4.98	%	 	4.87	%	 	4.85	%	 	4.95	%	
Life:	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
   Interest sensitive	 	5.55	%	 	5.51	%	 	5.51	%	 	5.50	%	 	5.52	%	 	5.45	%	 	5.44	%	 	5.38	%	 	5.30	%	 	5.39	%	
Traditional	 	5.16	%	 	5.17	%	 	5.17	%	 	5.13	%	 	5.16	%	 	5.11	%	 	5.10	%	 	4.99	%	 	4.88	%	 	5.02	%	
Average yield on investments allocated to life products	 	5.28	%	 	5.28	%	 	5.28	%	 	5.25	%	 	5.27	%	 	5.22	%	 	5.21	%	 	5.12	%	 	5.02	%	 	5.14	%	
Average yield on investments allocated to long-term care products	 	5.79	%	 	5.84	%	 	5.47	%	 	5.59	%	 	5.67	%	 	5.62	%	 	5.62	%	 	5.62	%	 	5.56	%	 	5.60	%	
Total average yield	 	5.23	%	 	5.25	%	 	5.20	%	 	5.22	%	 	5.22	%	 	5.16	%	 	5.08	%	 	5.06	%	 	5.02	%	 	5.08	%	
Allocated investment income	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Annuity:	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Fixed index annuities	 	$	68.0		 	$	70.1		 	$	71.8		 	$	74.1		 	$	284.0		 	$	75.3		 	$	76.0		 	$	78.7		 	$	80.6		 	$	310.6		
Fixed interest annuities	 	36.2		 	35.1		 	34.7		 	34.2		 	140.2		 	32.8		 	31.2		 	30.2		 	29.0		 	123.2		
Other annuities	 	8.2		 	8.1		 	8.0		 	8.0		 	32.3		 	7.7		 	7.6		 	7.6		 	7.7		 	30.6		
Total investment income allocated to annuities	 	112.4		 	113.3		 	114.5		 	116.3		 	456.5		 	115.8		 	114.8		 	116.5		 	117.3		 	464.4		
Health:	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
Supplemental health	 	34.1		 	34.5		 	34.8		 	35.1		 	138.5		 	35.0		 	34.7		 	34.4		 	34.6		 	138.7		
Medicare supplement	 	1.1		 	1.0		 	0.9		 	1.0		 	4.0		 	1.2		 	1.1		 	1.0		 	1.1		 	4.4		
Total investment income allocated to health products	 	35.2		 	35.5		 	35.7		 	36.1		 	142.5		 	36.2		 	35.8		 	35.4		 	35.7		 	143.1		
Life:	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	 	
   Interest sensitive	 	11.2		 	11.3		 	11.5		 	11.6		 	45.6		 	11.6		 	11.7		 	11.7		 	11.7		 	46.7		
Traditional	 	22.2		 	22.4		 	22.6		 	22.7		 	89.9		 	22.9		 	23.1		 	22.9		 	22.7		 	91.6		
Total investment income allocated to life products	 	33.4		 	33.7		 	34.1		 	34.3		 	135.5		 	34.5		 	34.8		 	34.6		 	34.4		 	138.3		
Total investment income allocated to long-term care products	 	33.1		 	33.5		 	32.5		 	32.7		 	131.8		 	33.3		 	34.0		 	34.7		 	34.8		 	136.8		
Total allocated investment income	 	$	214.1		 	$	216.0		 	$	216.8		 	$	219.4		 	$	866.3		 	$	219.8		 	$	219.4		 	$	221.2		 	$	222.2		 	$	882.6		

Page 17

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	 	79.0		 	—		 	79.0		
Life margin	 	46.7		 	9.7		(a)	56.4		
Long-term care margin	 	14.0		 	—		 	14.0		
Total insurance product margin	 	200.2		 	10.0		 	210.2		
Allocated expenses	 	(140.6	)	 	—		 	(140.6	)	
Income from insurance products (5)	 	59.6		 	10.0		 	69.6		
Fee income	 	11.7		 	—		 	11.7		
Investment income not allocated to product lines (9)	 	26.2		 	—		 	26.2		
Expenses not allocated to product lines	 	2.8		 	(20.0	)	(b)	(17.2	)	
Operating earnings before taxes	 	100.3		 	(10.0	)	 	90.3		
Income tax expense on operating income	 	(21.7	)	 	2.1		 	(19.6	)	
Net operating income (10)	 	$	78.6		 	$	(7.9	)	 	$	70.7		
 	 	 	 	 	 	 	
Net operating income per diluted share	 	$	0.52		 	$	(0.05	)	 	$	0.47		
___________
		
(a)	Adjustments arising from our comprehensive annual actuarial review of assumptions.	
		
(b)	$20.0 million of the net favorable impact from legal and regulatory matters.	

Page 18

CNO FINANCIAL GROUP, INC.
4Q18 Significant Items
(Dollars in millions, except per share amounts)
(Unaudited)

The table below summarizes the financial impact of significant items on our 4Q18 net operating income. Management believes that identifying the impact of these items enhances the understanding of our operating results.

	
													
 	 	Three months ended	
 	 	December 31, 2018	
 	 	Actual results	 	Significant items	 	Excluding significant
items	
Insurance product margin (4)	 	 	 	 	 	 	
Annuity margin	 	$	49.7		 	$	3.1		(a)	$	52.8		
Health margin	 	78.4		 	—		 	78.4		
Life margin	 	55.1		 	(2.2	)	(a)	52.9		
Long-term care margin	 	9.9		 	—		 	9.9		
Total insurance product margin	 	193.1		 	0.9		 	194.0		
Allocated expenses	 	(139.8	)	 	—		 	(139.8	)	
Income from insurance products (5)	 	53.3		 	0.9		 	54.2		
Fee income	 	2.8		 	—		 	2.8		
Investment income not allocated to product lines (9)	 	33.7		 	14.4		(b)	48.1		
Expenses not allocated to product lines	 	(16.6	)	 	—		 	(16.6	)	
Operating earnings before taxes	 	73.2		 	15.3		 	88.5		
Income tax expense on operating income	 	(13.4	)	 	(0.2	)	 	(13.6	)	
Net operating income (10)	 	$	59.8		 	$	15.1		 	$	74.9		
 	 	 	 	 	 	 	
Net operating income per diluted share	 	$	0.36		 	$	0.09		 	$	0.45		

___________
		
(a)	Adjustments arising from our comprehensive annual actuarial review of assumptions.	
		
(b)	$14.4 million unfavorable impact of current market conditions on the value of investments backing our Company-owned life insurance (COLI) used as a vehicle to fund an agent deferred compensation plan. Changes in the value of COLI investments are not subject to income taxes.	

Page 19

CNO FINANCIAL GROUP, INC.
1Q18 Significant Items
(Dollars in millions, except per share amounts)
(Unaudited)

The table below summarizes the financial impact of significant items on our 1Q18 net operating income. Management believes that identifying the impact of these items enhances the understanding of our operating results.

	
													
 	 	Three months ended	
 	 	March 31, 2018	
 	 	Actual results	 	Significant items	 	Excluding significant
items	
Insurance product margin (4)	 	 	 	 	 	 	
Annuity margin	 	$	48.7		 	$	1.1		(a)	$	49.8		
Health margin	 	79.5		 	—		 	79.5		
Life margin	 	41.2		 	—		 	41.2		
Long-term care margin	 	10.3		 	(0.8	)	(b)	9.5		
Total insurance product margin	 	179.7		 	0.3		 	180.0		
Allocated expenses	 	(125.1	)	 	—		 	(125.1	)	
Income from insurance products (5)	 	54.6		 	0.3		 	54.9		
Ceded long-term care block	 	12.0		 	(1.5	)	(c)	10.5		
Fee income	 	1.1		 	—		 	1.1		
Investment income not allocated to product lines (8)	 	46.3		 	—		 	46.3		
Expenses not allocated to product lines	 	(19.1	)	 	—		 	(19.1	)	
Operating earnings before taxes	 	94.9		 	(1.2	)	 	93.7		
Income tax expense on operating income	 	(21.0	)	 	0.3		 	(20.7	)	
Net operating income (9)	 	$	73.9		 	$	(0.9	)	 	$	73.0		
 	 	 	 	 	 	 	
Net operating income per diluted share	 	$	0.44		 	$	(0.01	)	 	$	0.43		

___________
		
(a)	The annuity margin was impacted by a $1.1 million out-of-period adjustment which increased reserves on a closed block of payout annuities.	
		
(b)	The long-term care margin included the $0.8 million release of long-term care reserves (net of the reduction in insurance intangibles) due to the impact of policyholder actions following rate increases.	
		
(c)	The ceded long-term care block included the $1.5 million release of long-term care reserves (net of the reduction in insurance intangibles) due to the impact of policyholder actions following rate increases.	

Page 20

Notes

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

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

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

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

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

(6)	Excludes the change in market values of the underlying options supporting the fixed index annuity products and corresponding amount credited to policyholder account liabilities. Such amounts were $(4.2) million, $10.6 million, $52.2 million, $(97.5) million, $37.9 million, $20.1 million, $3.1 million and $74.0 million in 1Q18, 2Q18, 3Q18, 4Q18, 1Q19, 2Q19, 3Q19 and 4Q19, 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 $(.8) million, $1.9 million, $6.3 million, $(13.2) million, $5.7 million, $2.9 million, $.6 million and $9.3 million in 1Q18, 2Q18, 3Q18, 4Q18, 1Q19, 2Q19, 3Q19 and 4Q19, respectively.	

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

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

(10)	Management believes that an analysis of Net income applicable to common stock before: (i) net realized investment gains or losses from sales and impairments, 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.	

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(14)	The earnings of the long-term care block that was ceded in September 2018 are comprised of the following (dollars in millions):	

	

 	1Q	 	2Q	 	3Q	 	4Q	 	YTD	
 	2018	 	2018	 	2018	 	2018	 	2018	
Insurance policy income	$	45.3		 	$	44.2		 	$	43.2		 	$	—		 	$	132.7		
Net investment income related to general account assets	46.8		 	46.3		 	45.4		 	—		 	138.5		
Total revenues	92.1		 	90.5		 	88.6		 	—		 	271.2		
Insurance policy benefits	71.5		 	75.7		 	79.3		 	—		 	226.5		
Amortization related to operations	2.6		 	2.3		 	2.1		 	—		 	7.0		
Other operating costs and expenses	6.0		 	7.1		 	5.1		 	—		 	18.2		
Total benefits and expenses	80.1		 	85.1		 	86.5		 	—		 	251.7		
Operating earnings before taxes related to ceded long-term care block	$	12.0		 	$	5.4		 	$	2.1		 	$	—		 	$	19.5		

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