EX-99.2 3 exhibit992-12312021investo.htm EX-99.2 Document

Exhibit 99.2



cnologosuppa.jpg


Quarterly Financial Supplement - 4Q2021
February 8, 2022

Page 1

Table of ContentsPage
Consolidated balance sheet3
Consolidated statement of operations4
Financial summary5
Insurance operations6
Margin from insurance products7-9
Estimated impacts of COVID-19 on insurance product margins10
Collected premiums from annuity and interest sensitive life products and insurance policy income11
Health and life new annualized premiums12
Computation of weighted average shares outstanding13
Annuities - account value rollforwards14
Statutory information15
Investment income not allocated to product lines and investment income allocated to product lines16-19
Other investment data19
Significant items20-24
Notes25

Page 2

CNO FINANCIAL GROUP, INC.
CONSOLIDATED BALANCE SHEET
(Dollars in millions)
(Unaudited)
Mar-20Jun-20Sep-20Dec-20Mar-21Jun-21Sep-21Dec-21
Assets
Investments:
  Fixed maturities, available for sale, at fair value$20,379.1 $22,167.9 $22,702.9 $23,383.6 $22,610.4 $23,806.6 $24,142.0 $24,805.4 
  Equity securities at fair value50.1 60.5 62.1 151.2 164.4 149.3 146.4 131.1 
  Mortgage loans1,484.1 1,459.9 1,444.9 1,358.7 1,297.7 1,276.9 1,211.0 1,218.6 
  Policy loans124.7 124.3 123.6 123.0 121.0 120.3 119.7 120.2 
  Trading securities227.8 240.6 240.3 232.0 242.6 247.0 243.6 227.2 
  Investments held by variable interest entities1,038.1 1,137.4 1,172.6 1,189.4 1,224.0 1,233.5 1,221.3 1,199.6 
  Other invested assets953.3 993.8 1,070.6 1,146.4 1,195.1 1,226.0 1,172.6 1,224.0 
  Total investments24,257.2 26,184.4 26,817.0 27,584.3 26,855.2 28,059.6 28,256.6 28,926.1 
Cash and cash equivalents - unrestricted482.0 521.1 735.6 937.8 662.9 652.5 742.1 632.1 
Cash and cash equivalents held by variable interest entities68.5 36.8 51.0 54.1 76.0 62.3 70.5 99.6 
Accrued investment income213.0 205.3 214.4 205.8 216.8 210.7 218.1 216.4 
Present value of future profits282.2 263.4 255.9 249.4 241.3 235.2 229.0 222.6 
Deferred acquisition costs1,398.6 1,120.9 1,084.0 1,027.8 1,168.4 1,051.4 1,082.7 1,112.0 
Reinsurance receivables4,727.5 4,712.6 4,613.1 4,584.3 4,509.3 4,460.9 4,409.7 4,354.3 
Income tax assets, net703.2 428.8 322.0 199.4 358.2 218.6 145.7 118.3 
Assets held in separate accounts3.2 3.7 3.9 4.2 4.3 4.5 4.5 3.9 
Other assets599.6 502.5 472.3 492.8 567.1 564.0 554.8 519.1 
Total assets$32,735.0 $33,979.5 $34,569.2 $35,339.9 $34,659.5 $35,519.7 $35,713.7 $36,204.4 
Liabilities
Liabilities for insurance products:
  Policyholder account liabilities$12,138.1 $12,171.3 $12,357.5 $12,540.6 $12,571.3 $12,840.8 $12,992.0 $13,689.7 
  Future policy benefits11,429.9 11,767.5 11,753.1 11,744.2 11,546.6 11,689.8 11,699.7 11,670.7 
  Liability for policy and contract claims510.7 488.6 473.2 561.8 558.7 528.3 512.3 501.8 
  Unearned and advanced premiums251.0 243.6 256.8 252.6 262.4 255.8 247.5 246.7 
  Liabilities related to separate accounts3.2 3.7 3.9 4.2 4.3 4.5 4.5 3.9 
Other liabilities850.7 788.3 855.8 821.8 925.2 946.5 995.3 830.9 
Investment borrowings1,643.9 1,643.4 1,642.9 1,642.5 1,642.0 1,641.5 1,741.1 1,715.8 
Borrowings related to variable interest entities1,152.3 1,152.2 1,152.0 1,151.8 1,151.7 1,151.6 1,151.4 1,147.9 
Notes payable - direct corporate obligations989.4 989.7 990.1 1,136.2 1,136.6 1,136.9 1,137.0 1,137.3 
Total liabilities28,969.2 29,248.3 29,485.3 29,855.7 29,798.8 30,195.7 30,480.8 30,944.7 
Shareholders' equity
Common stock1.4 1.4 1.4 1.3 1.3 1.3 1.2 1.2 
Additional paid-in capital2,688.5 2,664.3 2,623.4 2,544.5 2,457.8 2,383.0 2,274.6 2,184.2 
Retained earnings480.7 545.3 657.5 752.3 883.5 944.2 1,027.4 1,127.2 
Total shareholders' equity before accumulated other comprehensive income3,170.6 3,211.0 3,282.3 3,298.1 3,342.6 3,328.5 3,303.2 3,312.6 
Accumulated other comprehensive income595.2 1,520.2 1,801.6 2,186.1 1,518.1 1,995.5 1,929.7 1,947.1 
Total shareholders' equity3,765.8 4,731.2 5,083.9 5,484.2 4,860.7 5,324.0 5,232.9 5,259.7 
Total liabilities and shareholders' equity$32,735.0 $33,979.5 $34,569.2 $35,339.9 $34,659.5 $35,519.7 $35,713.7 $36,204.4 
Mar-20Jun-20Sep-20Dec-20Mar-21Jun-21Sep-21Dec-21
Book value per common share$26.22 $33.38 $36.59 $40.54 $36.75 $41.24 $42.11 $43.69 
Book value per common share, excluding accumulated other comprehensive income (1) (2)$22.08 $22.66 $23.63 $24.38 $25.27 $25.78 $26.58 $27.52 
Book value per diluted share (1) (3)$22.03 $22.55 $23.45 $23.95 $24.83 $25.30 $26.03 $26.86 
Page 3

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


1Q2Q3Q4QYTD1Q2Q3Q4QYTD
2020202020202020202020212021202120212021
Revenues
Insurance policy income$628.7 $625.3 $628.3 $629.0 $2,511.3 $632.4 $630.5 $630.6 $629.9 $2,523.4 
Net investment income:
   General account assets280.3 231.7 276.9 290.1 1,079.0 282.7 282.1 289.5 285.9 1,140.2 
Policyholder and other special-purpose portfolios(110.7)87.1 66.6 100.5 143.5 55.5 97.1 18.7 109.2 280.5 
Investment gains (losses):
Net investment gains (losses)(60.1)27.9 8.2 6.3 (17.7)(12.4)25.6 (0.9)(5.4)6.9 
Change in allowance for credit losses and other-than-temporary impairment losses(55.4)15.9 8.1 12.9 (18.5)9.6 5.7 (1.4)(1.7)12.2 
Total investment gains (losses)(115.5)43.8 16.3 19.2 (36.2)(2.8)31.3 (2.3)(7.1)19.1 
Fee revenue and other income34.4 26.3 25.4 37.4 123.5 38.2 32.1 31.8 56.9 159.0 
Total revenues717.2 1,014.2 1,013.5 1,076.2 3,821.1 1,006.0 1,073.1 968.3 1,074.8 4,122.2 
Benefits and expenses
Insurance policy benefits490.8 540.3 560.7 566.1 2,157.9 459.1 657.4 524.8 549.4 2,190.7 
Interest expense33.4 28.4 23.7 23.3 108.8 24.1 24.0 23.7 23.6 95.4 
Amortization50.2 88.5 53.5 75.9 268.1 99.7 42.6 57.9 80.9 281.1 
Other operating costs and expenses213.8 251.6 209.2 267.4 942.0 233.1 247.5 233.9 272.8 987.3 
Total benefits and expenses788.2 908.8 847.1 932.7 3,476.8 816.0 971.5 840.3 926.7 3,554.5 
Income (loss) before income taxes(71.0)105.4 166.4 143.5 344.3 190.0 101.6 128.0 148.1 567.7 
Income tax expense (benefit) on period income(15.8)23.4 37.2 31.7 76.5 42.6 23.6 28.2 32.3 126.7 
Valuation allowance for deferred tax assets and other tax items(34.0)— — — (34.0)— — — — — 
Net income (loss)$(21.2)$82.0 $129.2 $111.8 $301.8 $147.4 $78.0 $99.8 $115.8 $441.0 


Page 4

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

1Q2Q3Q4QYTD1Q2Q3Q4QYTD
2020202020202020202020212021202120212021
Insurance product margin (4)
Annuity margin$59.5 $123.8 $45.3 $68.1 $296.7 $57.9 $66.0 $52.5 $93.9 $270.3 
Health margin86.9 95.5 152.2 125.2 459.8 124.7 120.9 117.9 129.5 493.0 
Life margin44.3 36.1 47.3 37.3 165.0 27.1 39.7 53.2 30.4 150.4 
Total insurance product margin190.7 255.4 244.8 230.6 921.5 209.7 226.6 223.6 253.8 913.7 
Allocated expenses(136.6)(128.1)(130.3)(162.7)(557.7)(141.1)(141.6)(140.5)(143.3)(566.5)
Income from insurance products (5)54.1 127.3 114.5 67.9 363.8 68.6 85.0 83.1 110.5 347.2 
Fee income7.8 5.2 0.8 2.9 16.7 7.3 6.6 2.6 2.9 19.4 
Investment income not allocated to product lines (9)57.4 8.2 43.7 57.8 167.1 43.0 47.8 50.9 42.8 184.5 
Expenses not allocated to product lines(13.8)(38.5)(13.7)(17.8)(83.8)(22.0)(23.8)(17.3)(17.4)(80.5)
Operating earnings before taxes105.5 102.2 145.3 110.8 463.8 96.9 115.6 119.3 138.8 470.6 
Income tax expense on operating income(21.2)(22.8)(32.7)(24.8)(101.5)(21.7)(26.5)(26.5)(30.3)(105.0)
Net operating income (10)84.3 79.4 112.6 86.0 362.3 75.2 89.1 92.8 108.5 365.6 
Net realized investment gains (losses) from sales, impairments and change in allowance for credit losses (net of related amortization)(63.7)12.3 7.7 12.6 (31.1)3.6 24.3 2.2 4.7 34.8 
Net change in market value of investments recognized in earnings(48.4)31.2 8.5 6.0 (2.7)(6.4)5.7 (4.6)(12.1)(17.4)
Fair value changes related to agent deferred compensation plan— (13.2)— (3.1)(16.3)13.2 — — (4.3)8.9 
Fair value changes in embedded derivative liabilities (net of related amortization)(66.7)(27.1)(1.6)16.3 (79.1)82.1 (44.9)10.9 19.1 67.2 
Other2.3 — 6.5 0.9 9.7 0.6 0.9 0.2 1.9 3.6 
Net non-operating income (loss) before taxes(176.5)3.2 21.1 32.7 (119.5)93.1 (14.0)8.7 9.3 97.1 
Income tax (expense) benefit on non-operating income (loss)37.0 (0.6)(4.5)(6.9)25.0 (20.9)2.9 (1.7)(2.0)(21.7)
Valuation allowance for deferred tax assets and other tax items34.0 — — — 34.0 — — — — — 
Net non-operating income (loss)(105.5)2.6 16.6 25.8 (60.5)72.2 (11.1)7.0 7.3 75.4 
Net income (loss)$(21.2)$82.0 $129.2 $111.8 $301.8 $147.4 $78.0 $99.8 $115.8 $441.0 
Per diluted share
Net operating income$0.58 $0.55 $0.79 $0.61 $2.53 $0.55 $0.66 $0.72 $0.87 $2.79 
Net non-operating income (loss)(0.73)0.02 0.12 0.19 (0.42)0.53 (0.08)0.05 0.06 0.57 
Net income (loss)$(0.15)$0.57 $0.91 $0.80 $2.11 $1.08 $0.58 $0.77 $0.93 $3.36 


Page 5

CNO FINANCIAL GROUP, INC.
Insurance Operations
(Dollars in millions)
(Unaudited)
1Q2Q3Q4QYTD1Q2Q3Q4QYTD
2020202020202020202020212021202120212021
Insurance product margin (4)
Annuity:
Insurance policy income$5.6 $4.5 $4.3 $4.4 $18.8 $5.4 $4.3 $5.8 $4.1 $19.6 
Net investment income (5) (6)117.4 116.6 115.6 115.5 465.1 115.7 114.9 115.5 116.3 462.4 
Insurance policy benefits(5.5)107.7 (20.1)11.6 93.7 (6.2)(1.3)(16.2)38.2 14.5 
Interest credited (6)(42.0)(43.6)(42.4)(42.6)(170.6)(38.7)(36.9)(38.1)(35.4)(149.1)
Amortization and non-deferred commissions(16.0)(61.4)(12.1)(20.8)(110.3)(18.3)(15.0)(14.5)(29.3)(77.1)
Annuity margin59.5 123.8 45.3 68.1 296.7 57.9 66.0 52.5 93.9 270.3 
Health:
Insurance policy income429.0 426.5 421.4 422.6 1,699.5 416.5 415.4 414.4 415.2 1,661.5 
Net investment income (5)70.4 70.1 70.9 70.9 282.3 71.5 71.6 72.2 72.4 287.7 
Insurance policy benefits(353.8)(359.0)(295.5)(321.4)(1,329.7)(306.6)(323.3)(325.4)(311.0)(1,266.3)
Amortization and non-deferred commissions(58.7)(42.1)(44.6)(46.9)(192.3)(56.7)(42.8)(43.3)(47.1)(189.9)
Health margin86.9 95.5 152.2 125.2 459.8 124.7 120.9 117.9 129.5 493.0 
Life:
Insurance policy income194.1 194.3 202.6 202.0 793.0 210.5 210.8 210.4 210.6 842.3 
Net investment income (5) (7)34.3 34.7 35.2 35.4 139.6 35.8 36.1 36.4 36.4 144.7 
Insurance policy benefits(131.9)(147.8)(143.3)(147.0)(570.0)(163.6)(149.5)(141.3)(159.1)(613.5)
Interest credited (7)(10.3)(10.9)(11.4)(11.9)(44.5)(10.6)(11.0)(11.1)(11.7)(44.4)
Amortization and non-deferred commissions(21.9)(18.0)(21.6)(25.6)(87.1)(21.7)(21.8)(21.4)(24.0)(88.9)
Advertising expense(20.0)(16.2)(14.2)(15.6)(66.0)(23.3)(24.9)(19.8)(21.8)(89.8)
Life margin44.3 36.1 47.3 37.3 165.0 27.1 39.7 53.2 30.4 150.4 
Total insurance product margin190.7 255.4 244.8 230.6 921.5 209.7 226.6 223.6 253.8 913.7 
Allocated expenses:
Branch office expenses(18.9)(15.1)(13.5)(17.5)(65.0)(18.5)(16.2)(14.8)(13.0)(62.5)
Other allocated expenses(117.7)(113.0)(116.8)(145.2)(492.7)(122.6)(125.4)(125.7)(130.3)(504.0)
Income from insurance products (8)54.1 127.3 114.5 67.9 363.8 68.6 85.0 83.1 110.5 347.2 
Fee income7.8 5.2 0.8 2.9 16.7 7.3 6.6 2.6 2.9 19.4 
Investment income not allocated to product lines (9)57.4 8.2 43.7 57.8 167.1 43.0 47.8 50.9 42.8 184.5 
Expenses not allocated to product lines(13.8)(38.5)(13.7)(17.8)(83.8)(22.0)(23.8)(17.3)(17.4)(80.5)
Operating earnings before taxes105.5 102.2 145.3 110.8 463.8 96.9 115.6 119.3 138.8 470.6 
Income tax expense on operating income(21.2)(22.8)(32.7)(24.8)(101.5)(21.7)(26.5)(26.5)(30.3)(105.0)
Net operating income (10)$84.3 $79.4 $112.6 $86.0 $362.3 $75.2 $89.1 $92.8 $108.5 $365.6 
Page 6

CNO FINANCIAL GROUP, INC.
Margin from Annuity Products
(Dollars in millions)
(Unaudited)
1Q2Q3Q4QYTD1Q2Q3Q4QYTD
2020202020202020202020212021202120212021
Annuity margin (4):
Fixed index annuities
Insurance policy income$3.3 $2.6 $2.5 $2.9 $11.3 $3.0 $3.3 $3.3 $3.2 $12.8 
Net investment income (5) (6)82.1 82.9 83.1 84.0 332.1 84.9 84.9 86.3 87.8 343.9 
Insurance policy benefits(1.0)104.1 (11.5)17.2 108.8 1.6 3.8 (9.8)38.1 33.7 
Interest credited (6)(26.2)(28.3)(27.6)(28.0)(110.1)(24.9)(23.4)(24.8)(22.6)(95.7)
Amortization and non-deferred commissions(13.8)(49.6)(9.9)(18.0)(91.3)(16.3)(13.3)(12.6)(29.1)(71.3)
Margin from fixed index annuities$44.4 $111.7 $36.6 $58.1 $250.8 $48.3 $55.3 $42.4 $77.4 $223.4 
Average net insurance liabilities (11)$6,921.4 $7,056.3 $7,173.9 $7,342.1 $7,123.4 $7,464.8 $7,643.4 $7,881.9 $8,096.7 $7,771.8 
Margin/average net insurance liabilities (12)2.57 %6.33 %2.04 %3.17 %3.52 %2.59 %2.89 %2.15 %3.82 %2.87 %
Fixed interest annuities
Insurance policy income$0.3 $0.1 $0.2 $0.3 $0.9 $0.2 $0.1 $0.3 $0.2 $0.8 
Net investment income (5)28.1 26.8 25.7 25.0 105.6 24.4 23.7 23.0 22.5 93.6 
Insurance policy benefits(0.1)— (0.4)(0.1)(0.6)(0.7)0.2 (0.2)(0.4)(1.1)
Interest credited(14.9)(14.4)(14.2)(13.9)(57.4)(13.2)(12.8)(12.7)(12.2)(50.9)
Amortization and non-deferred commissions(2.1)(11.7)(2.1)(2.8)(18.7)(1.9)(1.7)(1.8)— (5.4)
Margin from fixed interest annuities$11.3 $0.8 $9.2 $8.5 $29.8 $8.8 $9.5 $8.6 $10.1 $37.0 
Average net insurance liabilities (11)$2,146.2 $2,088.2 $2,041.6 $2,000.1 $2,069.1 $1,951.6 $1,899.5 $1,856.3 $1,813.3 $1,880.1 
Margin/average net insurance liabilities (12)2.11 %0.15 %1.80 %1.70 %1.44 %1.80 %2.00 %1.85 %2.23 %1.97 %
Other annuities
Insurance policy income$2.0 $1.8 $1.6 $1.2 $6.6 $2.2 $0.9 $2.2 $0.7 $6.0 
Net investment income (5)7.2 6.9 6.8 6.5 27.4 6.4 6.3 6.2 6.0 24.9 
Insurance policy benefits(4.4)3.6 (8.2)(5.5)(14.5)(7.1)(5.3)(6.2)0.5 (18.1)
Interest credited(0.9)(0.9)(0.6)(0.7)(3.1)(0.6)(0.7)(0.6)(0.6)(2.5)
Amortization and non-deferred commissions(0.1)(0.1)(0.1)— (0.3)(0.1)— (0.1)(0.2)(0.4)
Margin from other annuities$3.8 $11.3 $(0.5)$1.5 $16.1 $0.8 $1.2 $1.5 $6.4 $9.9 
Average net insurance liabilities (11)$551.5 $533.5 $524.0 $517.9 $531.7 $512.2 $506.8 $501.6 $495.8 $504.1 
Margin/average net insurance liabilities (12)2.76 %8.47 %(0.38)%1.16 %3.03 %0.62 %0.95 %1.20 %5.16 %1.96 %
Total annuity margin$59.5 $123.8 $45.3 $68.1 $296.7 $57.9 $66.0 $52.5 $93.9 $270.3 
Average net insurance liabilities (11)$9,619.1 $9,678.0 $9,739.5 $9,860.1 $9,724.2 $9,928.6 $10,049.7 $10,239.8 $10,405.8 $10,156.0 
Margin/average net insurance liabilities (12)2.47 %5.12 %1.86 %2.76 %3.05 %2.33 %2.63 %2.05 %3.61 %2.66 %
Page 7

CNO FINANCIAL GROUP, INC.
Margin from Health Products
(Dollars in millions)
(Unaudited)
1Q2Q3Q4QYTD1Q2Q3Q4QYTD
2020202020202020202020212021202120212021
Health margin (4):
Supplemental health
Insurance policy income$169.8 $169.8 $169.2 $170.6 $679.4 $169.8 $170.0 $171.2 $172.8 $683.8 
Net investment income (5)34.9 34.9 35.5 35.6 140.9 36.1 36.3 36.9 37.3 146.6 
Insurance policy benefits(132.9)(138.1)(125.8)(124.1)(520.9)(126.3)(130.9)(127.8)(124.7)(509.7)
Amortization and non-deferred commissions(29.6)(26.2)(27.8)(29.1)(112.7)(29.2)(27.9)(29.4)(31.4)(117.9)
Margin from supplemental health$42.2 $40.4 $51.1 $53.0 $186.7 $50.4 $47.5 $50.9 $54.0 $202.8 
Margin/insurance policy income25 %24 %30 %31 %27 %30 %28 %30 %31 %30 %
Medicare supplement
Insurance policy income$192.3 $190.3 $186.1 $186.0 $754.7 $181.0 $179.7 $177.4 $176.0 $714.1 
Net investment income (5)1.2 1.2 1.2 1.3 4.9 1.3 1.3 1.3 1.2 5.1 
Insurance policy benefits(136.7)(136.6)(102.0)(129.7)(505.0)(120.0)(123.0)(129.7)(120.8)(493.5)
Amortization and non-deferred commissions(25.4)(13.0)(13.6)(14.3)(66.3)(24.1)(12.3)(11.7)(13.6)(61.7)
Margin from Medicare supplement$31.4 $41.9 $71.7 $43.3 $188.3 $38.2 $45.7 $37.3 $42.8 $164.0 
Margin/insurance policy income16 %22 %39 %23 %25 %21 %25 %21 %24 %23 %
Long-term care
Insurance policy income$66.9 $66.4 $66.1 $66.0 $265.4 $65.7 $65.7 $65.8 $66.4 $263.6 
Net investment income (5)34.3 34.0 34.2 34.0 136.5 34.1 34.0 34.0 33.9 136.0 
Insurance policy benefits(84.2)(84.3)(67.7)(67.6)(303.8)(60.3)(69.4)(67.9)(65.5)(263.1)
Amortization and non-deferred commissions(3.7)(2.9)(3.2)(3.5)(13.3)(3.4)(2.6)(2.2)(2.1)(10.3)
Margin from long-term care$13.3 $13.2 $29.4 $28.9 $84.8 $36.1 $27.7 $29.7 $32.7 $126.2 
Margin/insurance policy income20 %20 %44 %44 %32 %55 %42 %45 %49 %48 %
Total health margin$86.9 $95.5 $152.2 $125.2 $459.8 $124.7 $120.9 $117.9 $129.5 $493.0 
Margin/insurance policy income20 %22 %36 %30 %27 %30 %29 %28 %31 %30 %
Page 8

CNO FINANCIAL GROUP, INC.
Margin from Life Products
(Dollars in millions)
(Unaudited)
1Q2Q3Q4QYTD1Q2Q3Q4QYTD
2020202020202020202020212021202120212021
Life margin (4):
Interest sensitive life
Insurance policy income$39.6 $38.7 $40.1 $40.4 $158.8 $40.8 $41.4 $42.3 $42.6 $167.1 
Net investment income (5) (7)11.7 11.7 11.9 12.1 47.4 12.4 12.4 12.6 12.8 50.2 
Insurance policy benefits(15.7)(23.2)(16.0)(21.2)(76.1)(22.7)(20.0)(17.4)(22.5)(82.6)
Interest credited (7)(10.2)(10.7)(11.2)(11.7)(43.8)(10.5)(10.8)(10.9)(11.5)(43.7)
Amortization and non-deferred commissions(7.4)(4.8)(6.9)(9.1)(28.2)(5.8)(6.2)(6.6)(6.7)(25.3)
Margin from interest sensitive life$18.0 $11.7 $17.9 $10.5 $58.1 $14.2 $16.8 $20.0 $14.7 $65.7 
Average net insurance liabilities (11)$900.1 $913.5 $926.7 $939.9 $920.0 $954.7 $970.0 $983.8 $996.9 $976.4 
Interest margin$1.5 $1.0 $0.7 $0.4 $3.6 $1.9 $1.6 $1.7 $1.3 $6.5 
Interest margin/average net insurance liabilities (12)0.67 %0.44 %0.30 %0.17 %0.39 %0.80 %0.66 %0.69 %0.52 %0.67 %
Underwriting margin$16.5 $10.7 $17.2 $10.1 $54.5 $12.3 $15.2 $18.3 $13.4 $59.2 
Underwriting margin/insurance policy income42 %28 %43 %25 %34 %30 %37 %43 %31 %35 %
Traditional life
Insurance policy income$154.5 $155.6 $162.5 $161.6 $634.2 $169.7 $169.4 $168.1 $168.0 $675.2 
Net investment income (5)22.6 23.0 23.3 23.3 92.2 23.4 23.7 23.8 23.6 94.5 
Insurance policy benefits(116.2)(124.6)(127.3)(125.8)(493.9)(140.9)(129.5)(123.9)(136.6)(530.9)
Interest credited(0.1)(0.2)(0.2)(0.2)(0.7)(0.1)(0.2)(0.2)(0.2)(0.7)
Amortization and non-deferred commissions(14.5)(13.2)(14.7)(16.5)(58.9)(15.9)(15.5)(14.9)(17.3)(63.6)
Advertising expense(20.0)(16.2)(14.2)(15.6)(66.0)(23.3)(25.0)(19.7)(21.8)(89.8)
Margin from traditional life$26.3 $24.4 $29.4 $26.8 $106.9 $12.9 $22.9 $33.2 $15.7 $84.7 
Margin/insurance policy income17 %16 %18 %17 %17 %8 %14 %20 %9 %13 %
Margin excluding advertising expense/insurance policy income30 %26 %27 %26 %27 %21 %28 %31 %22 %26 %
Total life margin$44.3 $36.1 $47.3 $37.3 $165.0 $27.1 $39.7 $53.2 $30.4 $150.4 


Page 9

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

1Q2Q3Q4QYTD1Q2Q3Q4QYTD
2020202020202020202020212021202120212021
Favorable (Unfavorable)
Insurance product:
Annuities$— $4 $(7)$(1)$(4)$1 $2 $1 $1 $5 
Supplemental health— (4)6 9 11 6 2 8 10 26 
Medicare supplement— 5 36 9 50 9 11 3 9 32 
Long-term care— 3 16 17 36 25 17 14 16 72 
Total health products— 4 58 35 97 40 30 25 35 130 
Interest sensitive life— (1)(3)(5)(9)(7)(4)(1)(4)(16)
Traditional life— (13)(6)(10)(29)(12)(7)(2)(16)(37)
Total life— (14)(9)(15)(38)(19)(11)(3)(20)(53)
Total$— $(6)$42 $19 $55 $22 $21 $23 $16 $82 
Page 10

CNO FINANCIAL GROUP, INC.
Collected Premiums From Annuity and Interest Sensitive Life Products
and Insurance Policy Income
(Dollars in millions)
(Unaudited)
1Q2Q3Q4QYTD1Q2Q3Q4QYTD
2020202020202020202020212021202120212021
Collected premiums from annuity and interest-sensitive life products:
Annuities$292.2 $242.7 $285.1 $345.0 $1,165.0 $325.4 $344.3 $333.3 $397.4 $1,400.4 
Interest-sensitive life53.1 51.3 50.0 52.1 206.5 54.5 54.6 54.4 55.9 219.4 
Total collected premiums from annuity and interest-sensitive life products$345.3 $294.0 $335.1 $397.1 $1,371.5 $379.9 $398.9 $387.7 $453.3 $1,619.8 
Insurance policy income:
Annuity products
Fixed index annuities$3.3 $2.6 $2.5 $2.9 $11.3 $3.0 $3.3 $3.3 $3.2 $12.8 
Fixed interest annuities0.3 0.1 0.2 0.3 0.9 0.2 0.1 0.3 0.2 0.8 
Other annuities2.0 1.8 1.6 1.2 6.6 2.2 0.9 2.2 0.7 6.0 
Total annuity insurance policy income5.6 4.5 4.3 4.4 18.8 5.4 4.3 5.8 4.1 19.6 
Health products
Supplemental health169.8 169.8 169.2 170.6 679.4 169.8 170.0 171.2 172.8 683.8 
Medicare supplement192.3 190.3 186.1 186.0 754.7 181.0 179.7 177.4 176.0 714.1 
Long-term care66.9 66.4 66.1 66.0 265.4 65.7 65.7 65.8 66.4 263.6 
Total health insurance policy income429.0 426.5 421.4 422.6 1,699.5 416.5 415.4 414.4 415.2 1,661.5 
Life products
Interest-sensitive life 39.6 38.7 40.1 40.4 158.8 40.8 41.4 42.3 42.6 167.1 
Traditional life 154.5 155.6 162.5 161.6 634.2 169.7 169.4 168.1 168.0 675.2 
Total life insurance policy income194.1 194.3 202.6 202.0 793.0 210.5 210.8 210.4 210.6 842.3 
Total insurance policy income$628.7 $625.3 $628.3 $629.0 $2,511.3 $632.4 $630.5 $630.6 $629.9 $2,523.4 


Page 11

CNO FINANCIAL GROUP, INC.
Health and Life
New Annualized Premiums ("NAP")
(Dollars in millions)
(Unaudited)
1Q2Q3Q4QYTD1Q2Q3Q4QYTD
2020202020202020202020212021202120212021
Consumer Division
Health products:
Supplemental health$19.6 $5.6 $16.2 $21.5 $62.9 $14.4 $20.1 $15.8 $19.6 $69.9 
Medicare supplement9.7 8.9 11.0 12.2 41.8 8.2 8.8 8.0 9.1 34.1 
Long-term care5.9 4.3 7.1 7.2 24.5 6.4 7.0 8.8 10.5 32.7 
Total Consumer Division health NAP35.2 18.8 34.3 40.9 129.2 29.0 35.9 32.6 39.2 136.7 
Life products:
Interest sensitive life5.6 5.1 5.8 6.0 22.5 5.9 6.5 5.4 6.1 23.9 
Traditional life33.0 41.5 37.7 29.8 142.0 45.9 43.9 38.2 31.2 159.2 
Total Consumer Division life NAP38.6 46.6 43.5 35.8 164.5 51.8 50.4 43.6 37.3 183.1 
Total Consumer Division health and life NAP$73.8 $65.4 $77.8 $76.7 $293.7 $80.8 $86.3 $76.2 $76.5 $319.8 
Worksite Division
Health products:
Supplemental health$8.8 $3.2 $5.1 $8.2 $25.3 $6.7 $5.6 $6.6 $8.5 $27.4 
Life products:
Interest sensitive life2.5 0.8 0.8 1.3 5.4 1.2 1.9 1.8 2.5 7.4 
Total Worksite Division health and life NAP$11.3 $4.0 $5.9 $9.5 $30.7 $7.9 $7.5 $8.4 $11.0 $34.8 
Total NAP (both divisions)
Health products:
Supplemental health$28.4 $8.8 $21.3 $29.7 $88.2 $21.1 $25.7 $22.4 $28.1 $97.3 
Medicare supplement9.7 8.9 11.0 12.2 41.8 8.2 8.8 8.0 9.1 34.1 
Long-term care5.9 4.3 7.1 7.2 24.5 6.4 7.0 8.8 10.5 32.7 
Total health NAP44.0 22.0 39.4 49.1 154.5 35.7 41.5 39.2 47.7 164.1 
Life products:
Interest sensitive life 8.1 5.9 6.6 7.3 27.9 7.1 8.4 7.2 8.6 31.3 
Traditional life 33.0 41.5 37.7 29.8 142.0 45.9 43.9 38.2 31.2 159.2 
Total life NAP41.1 47.4 44.3 37.1 169.9 53.0 52.3 45.4 39.8 190.5 
Total NAP$85.1 $69.4 $83.7 $86.2 $324.4 $88.7 $93.8 $84.6 $87.5 $354.6 

Page 12

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


1Q2Q3Q4QYTD1Q2Q3Q4QYTD
2020 (a)202020202020202020212021202120212021
Basic
Shares outstanding, beginning of period148,084.2 143,610.0 141,718.6 138,931.4 148,084.2 135,279.1 132,268.3 129,105.0 124,269.9 135,279.1 
Weighted average shares issued during the period:
Shares repurchased(2,444.0)(227.2)(835.9)(1,053.9)(6,685.8)(1,471.5)(1,436.5)(2,706.6)(2,382.9)(8,054.5)
Amounts related to employee benefit plans287.5 42.7 19.3 356.2 962.7 384.3 191.1 32.2 131.1 1,350.4 
Shares withheld for the payment of the exercise price and taxes related to employee benefit plans(98.3)(4.0)(1.8)(1.9)(265.4)(52.2)(7.0)(1.3)(1.5)(174.6)
Weighted average basic shares outstanding during the period145,829.4 143,421.5 140,900.2 138,231.8 142,095.7 134,139.7 131,015.9 126,429.3 122,016.6 128,400.4 
Basic shares outstanding, end of period143,610.0 141,718.6 138,931.4 135,279.1 135,279.1 132,268.3 129,105.0 124,269.9 120,377.2 120,377.2 
Diluted
Weighted average basic shares outstanding145,829.4 143,421.5 140,900.2 138,231.8 142,095.7 134,139.7 131,015.9 126,429.3 122,016.6 128,400.4 
Common stock equivalent shares related to:
Employee benefit plans— 519.1 830.2 2,154.7 1,068.1 2,513.6 2,797.8 2,588.7 3,003.0 2,725.8 
Weighted average diluted shares outstanding during the period145,829.4 143,940.6 141,730.4 140,386.5 143,163.8 136,653.3 133,813.7 129,018.0 125,019.6 131,126.2 
Diluted shares outstanding, end of period143,936.2 142,410.1 139,972.2 137,717.3 137,717.3 134,624.5 131,549.3 126,917.6 123,330.7 123,330.7 

___________
(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)

1Q2Q3Q4QYTD1Q2Q3Q4QYTD
2020202020202020202020212021202120212021
Fixed index annuities
Balance as of the beginning of the period$7,133.1 $7,280.3 $7,394.1 $7,567.2 $7,133.1 $7,761.4 $7,943.2 $8,180.2 $8,403.0 $7,761.4 
Gross deposits281.7 231.5 277.2 331.7 1,122.1 314.6 328.8 320.1 384.6 1,348.1 
Withdrawals(185.8)(148.0)(133.2)(164.6)(631.6)(193.1)(174.2)(179.0)(197.9)(744.2)
Returns reinvested51.3 30.3 29.1 27.1 137.8 60.3 82.4 81.7 91.3 315.7 
Balance as of the end of the period$7,280.3 $7,394.1 $7,567.2 $7,761.4 $7,761.4 $7,943.2 $8,180.2 $8,403.0 $8,681.0 $8,681.0 
Fixed interest annuities
Balance as of the beginning of the period$2,217.5 $2,147.4 $2,089.4 $2,044.3 $2,217.5 $1,998.9 $1,943.2 $1,891.8 $1,854.2 $1,998.9 
Gross deposits9.3 9.0 6.8 12.3 37.4 9.3 14.4 10.2 11.6 45.5 
Withdrawals(94.3)(81.1)(66.1)(71.8)(313.3)(78.2)(78.2)(60.6)(72.0)(289.0)
Returns reinvested14.9 14.1 14.2 14.1 57.3 13.2 12.4 12.8 12.3 50.7 
Balance as of the end of the period$2,147.4 $2,089.4 $2,044.3 $1,998.9 $1,998.9 $1,943.2 $1,891.8 $1,854.2 $1,806.1 $1,806.1 
Total annuities
Balance as of the beginning of the period$9,350.6 $9,427.7 $9,483.5 $9,611.5 $9,350.6 $9,760.3 $9,886.4 $10,072.0 $10,257.2 $9,760.3 
Gross deposits291.0 240.5 284.0 344.0 1,159.5 323.9 343.2 330.3 396.2 1,393.6 
Withdrawals(280.1)(229.1)(199.3)(236.4)(944.9)(271.3)(252.4)(239.6)(269.9)(1,033.2)
Returns reinvested66.2 44.4 43.3 41.2 195.1 73.5 94.8 94.5 103.6 366.4 
Balance as of the end of the period$9,427.7 $9,483.5 $9,611.5 $9,760.3 $9,760.3 $9,886.4 $10,072.0 $10,257.2 $10,487.1 $10,487.1 
Page 14

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


1Q2Q3Q4QYTD1Q2Q3Q4QYTD
2020 (a)20202020202020202021202120212021 (b)2021 (b)
Net gain from operations before interest expense and federal income taxes$33.3 $99.5 $135.1 $72.6 $340.5 $53.6 $85.1 $96.1 $87.4 $322.2 
Interest expense on surplus debentures held by parent company12.1 12.1 21.0 12.2 57.4 12.0 12.2 19.0 12.2 55.4 
Net gain from operations before federal income taxes21.2 87.4 114.1 60.4 283.1 41.6 72.9 77.1 75.2 266.8 
Federal income tax expense (benefit)(113.0)(6.8)(16.1)(2.5)(138.4)1.8 (2.2)(9.0)(12.5)(21.9)
Net gain from operations before net realized capital gains (losses)134.2 94.2 130.2 62.9 421.5 39.8 75.1 86.1 87.7 288.7 
Net realized capital gains (losses)(3.3)(7.8)0.4 (1.2)(11.9)(0.6)(1.5)(1.3)(7.8)(11.2)
Net income $130.9 $86.4 $130.6 $61.7 $409.6 $39.2 $73.6 $84.8 $79.9 $277.5 
Capital and surplus$1,750.3 $1,771.1 $1,868.1 $1,805.5 $1,805.5 $1,781.8 $1,782.8 $1,715.7 $1,799.6 $1,799.6 
Asset valuation reserve (AVR)236.4 226.7 269.9 304.0 304.0 327.5 330.4 334.8 332.5 332.5 
Capital, surplus and AVR1,986.7 1,997.8 2,138.0 2,109.5 2,109.5 2,109.3 2,113.2 2,050.5 2,132.1 2,132.1 
Interest maintenance reserve (IMR)408.2 410.6 408.2 406.6 406.6 401.5 411.9 409.0 407.9 407.9 
Total statutory capital, surplus, AVR & IMR$2,394.9 $2,408.4 $2,546.2 $2,516.1 $2,516.1 $2,510.8 $2,525.1 $2,459.5 $2,540.0 $2,540.0 
Risk-based capital ratio406 %405 %428 %411 %411 %407 %409 %388 %386 %386 %
___________
(a)    The federal income tax benefit and capital and surplus were favorably impacted by $99 million and $53 million, respectively, related to certain provisions included in the Coronavirus Aid, Relief, and Economic Security (“CARES”) Act.
(b)    Such amounts are preliminary as the statutory basis financial statements of our insurance subsidiaries for 4Q21 will be filed with the respective insurance regulators on or about March 1, 2022.





Page 15

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


1Q2Q3Q4QYTD1Q2Q3Q4QYTD
2020202020202020202020212021202120212021
Net investment income$169.6 $318.8 $343.5 $390.6 $1,222.5 $338.2 $379.2 $308.2 $395.1 $1,420.7 
Allocated to product lines:
Annuity(117.4)(116.6)(115.6)(115.5)(465.1)(115.7)(114.9)(115.5)(116.3)(462.4)
Health(70.4)(70.1)(70.9)(70.9)(282.3)(71.5)(71.6)(72.2)(72.4)(287.7)
Life(34.3)(34.7)(35.2)(35.4)(139.6)(35.8)(36.1)(36.4)(36.4)(144.7)
Equity returns credited to policyholder account balances136.5 (50.7)(46.0)(77.6)(37.8)(42.5)(76.1)(7.2)(94.0)(219.8)
Amounts allocated to product lines and credited to policyholder account balances(85.6)(272.1)(267.7)(299.4)(924.8)(265.5)(298.7)(231.3)(319.1)(1,114.6)
Amount related to variable interest entities and other non-operating items(11.6)(9.6)(9.8)(8.2)(39.2)(7.8)(8.0)(7.1)(7.6)(30.5)
Interest expense on debt(13.6)(13.6)(13.6)(14.4)(55.2)(15.5)(15.6)(15.6)(15.7)(62.4)
Interest expense on investment borrowings from the Federal Home Loan Bank ("FHLB") program(9.1)(5.8)(3.4)(2.9)(21.2)(2.7)(2.5)(2.3)(2.3)(9.8)
Expenses related to FABN program (a)— — — — — — — — (2.3)(2.3)
Less amounts credited to deferred compensation plans (offsetting investment income)7.7 (9.5)(5.3)(7.9)(15.0)(3.7)(6.6)(1.0)(5.3)(16.6)
Total adjustments(26.6)(38.5)(32.1)(33.4)(130.6)(29.7)(32.7)(26.0)(33.2)(121.6)
Investment income not allocated to product lines$57.4 $8.2 $43.7 $57.8 $167.1 $43.0 $47.8 $50.9 $42.8 $184.5 

___________
(a)    Comprised of interest credited and amortization of deferred acquisition costs.


Page 16

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


1Q2Q3Q4QYTD1Q2Q3Q4QYTD
2020202020202020202020212021202120212021
Investment income not allocated:
Excluding variable components:
From general account assets$23.3 $26.5 $24.6 $25.2 $99.6 $24.6 $24.9 $23.1 $22.4 $95.0 
Other investment income0.5 0.1 0.1 0.1 0.8 — 0.1 0.1 0.1 0.3 
Spread income:
FHLB program:
Investment income on matched assets13.5 10.9 10.9 10.7 46.0 10.3 10.4 10.3 10.6 41.6 
Interest expense(9.1)(5.8)(3.4)(2.9)(21.2)(2.7)(2.5)(2.3)(2.3)(9.8)
Net spread income on FHLB program4.4 5.1 7.5 7.8 24.8 7.6 7.9 8.0 8.3 31.8 
FABN program:
Investment income on matched assets— — — — — — — — 3.3 3.3 
Expenses (b)— — — — — — — — (2.3)(2.3)
Net spread income on FABN program— — — — — — — — 1.0 1.0 
Interest expense on corporate debt(13.6)(13.6)(13.6)(14.4)(55.2)(15.5)(15.6)(15.6)(15.7)(62.4)
Total excluding variable components 14.6 18.1 18.6 18.7 70.0 16.7 17.3 15.6 16.1 65.7 
Variable components:
Net income from Corporate Owned Life Insurance ("COLI") supporting agent deferred compensation plan:
Change in value of COLI investments3.2 6.4 3.1 3.0 15.7 (3.9)2.1 (0.1)(0.8)(2.7)
Increase in liability for agent deferred compensation plan(1.6)(1.6)(1.6)(1.6)(6.4)(1.6)(1.5)(1.6)(1.6)(6.3)
Net COLI income (loss)1.6 4.8 1.5 1.4 9.3 (5.5)0.6 (1.7)(2.4)(9.0)
Other variable components:
Alternative investment income:
Total17.2 (12.5)27.1 35.0 66.8 34.1 29.0 32.3 22.2 117.6 
Allocated to product lines(7.7)(7.7)(7.9)(8.0)(31.3)(7.9)(7.8)(7.6)(7.4)(30.7)
Excess alternative investment income9.5 (20.2)19.2 27.0 35.5 26.2 21.2 24.7 14.8 86.9 
Prepayment and call income8.9 0.1 2.6 9.1 20.7 1.7 4.9 10.2 11.6 28.4 
Trading account17.3 6.0 2.6 2.2 28.1 2.0 2.4 1.4 1.4 7.2 
Hedge variance related to fixed index products(0.1)3.2 (1.0)(0.4)1.7 1.1 (0.1)0.2 (0.1)1.1 
Other (a)5.6 (3.8)0.2 (0.2)1.8 0.8 1.5 0.5 1.4 4.2 
Total variable components42.8 (9.9)25.1 39.1 97.1 26.3 30.5 35.3 26.7 118.8 
Total investment income not allocated to product lines $57.4 $8.2 $43.7 $57.8 $167.1 $43.0 $47.8 $50.9 $42.8 $184.5 

___________
(a)    Includes impacts of changes in projected cash flows and other investment income.
(b)    Comprised of interest credited and amortization of deferred acquisition costs.

Page 17

CNO FINANCIAL GROUP, INC.
Investment Income Allocated to Product Lines (5)
(Dollars in millions)
(Unaudited)
1Q2Q3Q4QYTD1Q2Q3Q4QYTD
2020202020202020202020212021202120212021
Average net insurance liabilities (11)
Annuity:
Fixed index annuities$6,921.4 $7,056.3 $7,173.9 $7,342.1 $7,123.4 $7,464.8 $7,643.4 $7,881.9 $8,096.7 $7,771.8 
Fixed interest annuities2,146.2 2,088.2 2,041.6 2,000.1 2,069.1 1,951.6 1,899.5 1,856.3 1,813.3 1,880.1 
Other annuities551.5 533.5 524.0 517.9 531.7 512.2 506.8 501.6 495.8 504.1 
Total annuity average net insurance liabilities (11)9,619.1 9,678.0 9,739.5 9,860.1 9,724.2 9,928.6 10,049.7 10,239.8 10,405.8 10,156.0 
Health:
Supplemental health2,887.1 2,935.7 2,988.1 3,031.9 2,960.7 3,073.9 3,117.7 3,157.8 3,193.2 3,135.6 
Medicare supplement102.5 111.6 116.9 114.4 111.3 122.5 123.1 120.6 123.8 122.5 
Long-term care2,482.8 2,464.2 2,477.7 2,487.2 2,478.0 2,492.1 2,498.3 2,503.1 2,511.4 2,501.2 
Total health average net insurance liabilities (11)5,472.4 5,511.5 5,582.7 5,633.5 5,550.0 5,688.5 5,739.1 5,781.5 5,828.4 5,759.3 
Life:
Interest sensitive900.1 913.5 926.7 939.9 920.0 954.7 970.0 983.8 996.9 976.4 
Traditional1,872.5 1,883.5 1,905.9 1,933.2 1,898.8 1,956.5 1,975.4 1,998.4 2,011.0 1,985.3 
Total life average net insurance liabilities (11)2,772.6 2,797.0 2,832.6 2,873.1 2,818.8 2,911.2 2,945.4 2,982.2 3,007.9 2,961.7 
Total average net insurance liabilities (11)$17,864.1 $17,986.5 $18,154.8 $18,366.7 $18,093.0 $18,528.3 $18,734.2 $19,003.5 $19,242.1 $18,877.0 
Average yield on allocated investments
Annuity:
Fixed index annuities4.74 %4.70 %4.63 %4.58 %4.66 %4.55 %4.44 %4.38 %4.34 %4.42 %
Fixed interest annuities5.24 %5.13 %5.04 %5.00 %5.10 %5.00 %4.99 %4.96 %4.96 %4.98 %
Other annuities5.22 %5.17 %5.19 %5.02 %5.15 %5.00 %4.97 %4.94 %4.84 %4.94 %
Average yield on investments allocated to annuities4.88 %4.82 %4.75 %4.69 %4.78 %4.66 %4.57 %4.51 %4.47 %4.55 %
Health:
Supplemental health4.84 %4.76 %4.75 %4.70 %4.76 %4.70 %4.66 %4.67 %4.67 %4.68 %
Medicare supplement4.41 %4.34 %4.33 %4.28 %4.34 %4.30 %4.24 %4.20 %4.20 %4.24 %
Long-term care5.53 %5.52 %5.52 %5.47 %5.51 %5.47 %5.44 %5.43 %5.40 %5.44 %
Average yield on investments allocated to health products5.15 %5.09 %5.08 %5.03 %5.09 %5.03 %4.99 %5.00 %4.97 %5.00 %
Life:
Interest sensitive5.20 %5.12 %5.14 %5.15 %5.15 %5.20 %5.11 %5.12 %5.14 %5.14 %
Traditional4.83 %4.88 %4.89 %4.82 %4.86 %4.78 %4.80 %4.76 %4.69 %4.76 %
Average yield on investments allocated to life products4.95 %4.96 %4.97 %4.93 %4.95 %4.92 %4.90 %4.88 %4.84 %4.89 %
Total average yield4.97 %4.92 %4.88 %4.83 %4.90 %4.81 %4.75 %4.72 %4.68 %4.74 %
Allocated investment income
Annuity:
Fixed index annuities$82.1 $82.9 $83.1 $84.0 $332.1 $84.9 $84.9 $86.3 $87.8 $343.9 
Fixed interest annuities28.1 26.8 25.7 25.0 105.6 24.4 23.7 23.0 22.5 93.6 
Other annuities7.2 6.9 6.8 6.5 27.4 6.4 6.3 6.2 6.0 24.9 
Total investment income allocated to annuities117.4 116.6 115.6 115.5 465.1 115.7 114.9 115.5 116.3 462.4 
Health:
Supplemental health34.9 34.9 35.5 35.6 140.9 36.1 36.3 36.9 37.3 146.6 
Medicare supplement1.2 1.2 1.2 1.3 4.9 1.3 1.3 1.3 1.2 5.1 
Long-term care34.3 34.0 34.2 34.0 136.5 34.1 34.0 34.0 33.9 136.0 
Total investment income allocated to health products70.4 70.1 70.9 70.9 282.3 71.5 71.6 72.2 72.4 287.7 
Life:
   Interest sensitive11.7 11.7 11.9 12.1 47.4 12.4 12.4 12.6 12.8 50.2 
Traditional22.6 23.0 23.3 23.3 92.2 23.4 23.7 23.8 23.6 94.5 
Total investment income allocated to life products34.3 34.7 35.2 35.4 139.6 35.8 36.1 36.4 36.4 144.7 
Total allocated investment income$222.1 $221.4 $221.7 $221.8 $887.0 $223.0 $222.6 $224.1 $225.1 $894.8 
Page 18

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

1Q2Q3Q4QYTD1Q2Q3Q4QYTD
2020202020202020202020212021202120212021
General account assets investment income$280.3 $231.7 $276.9 $290.1 $1,079.0 $282.7 $282.1 $289.5 $285.9 $1,140.2 
Policyholder and other special purpose portfolio investment income(110.7)87.1 66.6 100.5 143.5 55.5 97.1 18.7 109.2 280.5 
Less equity returns credited to policyholders:
Annuity119.9 (44.9)(39.3)(68.0)(32.3)(37.7)(68.3)(6.3)(83.2)(195.5)
Life16.6 (5.8)(6.7)(9.6)(5.5)(4.8)(7.8)(0.9)(10.8)(24.3)
Less amount related to variable interest entities(11.6)(9.6)(9.8)(8.2)(39.2)(7.8)(8.0)(7.1)(7.6)(30.5)
Less amounts credited to deferred compensation plans7.7 (9.5)(5.3)(7.9)(15.0)(3.7)(6.6)(1.0)(5.3)(16.6)
Other special purpose portfolio investment income21.9 17.3 5.5 6.8 51.5 1.5 6.4 3.4 2.3 13.6 
Adjusted net investment income302.2 249.0 282.4 296.9 1,130.5 284.2 288.5 292.9 288.2 1,153.8 
Less amounts allocated to product lines
Annuity(117.4)(116.6)(115.6)(115.5)(465.1)(115.7)(114.9)(115.5)(116.3)(462.4)
Health(70.4)(70.1)(70.9)(70.9)(282.3)(71.5)(71.6)(72.2)(72.4)(287.7)
Life(34.3)(34.7)(35.2)(35.4)(139.6)(35.8)(36.1)(36.4)(36.4)(144.7)
Total investment income allocated to product lines(222.1)(221.4)(221.7)(221.8)(887.0)(223.0)(222.6)(224.1)(225.1)(894.8)
Less interest expense on investment borrowings from FHLB program(9.1)(5.8)(3.4)(2.9)(21.2)(2.7)(2.5)(2.3)(2.3)(9.8)
Less expenses related to FABN program— — — — — — — — (2.3)(2.3)
Less interest expense on debt(13.6)(13.6)(13.6)(14.4)(55.2)(15.5)(15.6)(15.6)(15.7)(62.4)
Investment income not allocated to product lines$57.4 $8.2 $43.7 $57.8 $167.1 $43.0 $47.8 $50.9 $42.8 $184.5 

Other Investment Data

1Q2Q3Q4Q1Q2Q3Q4Q
20202020202020202021202120212021
Average invested assets and cash$22,483.7 $22,618.1 $22,832.1 $23,170.3 $23,418.7 $23,585.3 $23,936.9 $24,696.3 
Net investment income from general account investments280.3 231.7 276.9 290.1 282.7 282.1 289.5 285.9 
New money rate (14)4.46 %4.49 %4.08 %3.58 %3.57 %3.38 %3.55 %3.67 %
Book yield4.90 %4.88 %4.85 %4.81 %4.76 %4.71 %4.63 %4.59 %
Earned yield5.15 %4.23 %5.04 %5.22 %5.03 %4.97 %5.03 %4.83 %
Pre-pay/call/make-whole income$8.9 $0.1 $2.6 $9.1 $1.7 $4.9 $10.2 $11.6 
Alternative investment income17.2 (12.5)27.1 35.0 34.1 29.0 32.3 22.2 
Impairments8.1 — — — 0.5 — — 2.4 



Page 19

CNO FINANCIAL GROUP, INC.
4Q21 Significant Items
(Dollars in millions, except per share amounts)
(Unaudited)

The table below summarizes the financial impact of significant items on our 4Q21 net operating income. Management believes that identifying the impact of these items enhances the understanding of our operating results.

Three months ended
December 31, 2021
Actual resultsSignificant itemsExcluding significant
items
Insurance product margin (4)
Annuity margin$93.9 $(26.9)(a)$67.0 
Health margin129.5 — 129.5 
Life margin30.4 1.0 (a)31.4 
Total insurance product margin253.8 (25.9)227.9 
Allocated expenses(143.3)— (143.3)
Income from insurance products (5)110.5 (25.9)84.6 
Fee income2.9 — 2.9 
Investment income not allocated to product lines (9)42.8 — 42.8 
Expenses not allocated to product lines(17.4)— (17.4)
Operating earnings before taxes138.8 (25.9)112.9 
Income tax (expense) benefit on operating income(30.3)5.7 (24.6)
Net operating income (10)$108.5 $(20.2)$88.3 
Net operating income per diluted share$0.87 $(0.16)$0.71 
___________
(a)Adjustments arising from our comprehensive annual actuarial review of assumptions.


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

The table below summarizes the financial impact of significant items on our 3Q21 net operating income. Management believes that identifying the impact of these items enhances the understanding of our operating results.
Three months ended
September 30, 2021
Actual resultsSignificant itemsExcluding significant
items
Insurance product margin (4)
Annuity margin$52.5 $— $52.5 
Health margin117.9 — 117.9 
Life margin53.2 — 53.2 
Total insurance product margin223.6 — 223.6 
Allocated expenses(140.5)— (140.5)
Income from insurance products (5)83.1 — 83.1 
Fee income2.6 — 2.6 
Investment income not allocated to product lines (9)50.9 — 50.9 
Expenses not allocated to product lines(17.3)3.0 (a)(14.3)
Operating earnings before taxes119.3 3.0 122.3 
Income tax (expense) benefit on operating income(26.5)(0.7)(27.2)
Net operating income (10)$92.8 $2.3 $95.1 
Net operating income per diluted share$0.72 $0.02 $0.74 
___________
(a)Comprised of $3.0 million from legal and regulatory matters.
Page 20


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

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


Page 21

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

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


Page 22

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

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

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


Page 23

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

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

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

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



Page 24


Notes

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

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

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

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

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

(6)Excludes the change in market values of the underlying options supporting the fixed index annuity products and corresponding amount credited to policyholder account liabilities. Such amounts were $(119.9) million, $44.9 million, $39.3 million, $68.0 million, $37.7 million, $68.3 million, $6.3 million and $83.2 million in 1Q20, 2Q20, 3Q20, 4Q20, 1Q21, 2Q21, 3Q21 and 4Q21, respectively.

(7)Excludes the change in market values of the underlying options supporting the fixed index life products and corresponding amount credited to policyholder account liabilities. Such amounts were $(16.6) million, $5.8 million, $6.7 million, $9.6 million, $4.8 million, $7.8 million, $.9 million and $10.8 million in 1Q20, 2Q20, 3Q20, 4Q20, 1Q21, 2Q201, 3Q21 and 4Q21, respectively.

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

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

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

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

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

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

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

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