CNO Financial Group, Inc.

RESULTS OF OPERATIONS

The following tables and narratives summarize the operating results of our segments (dollars in millions):

(a)Amortization and non-deferred commissions are comprised of: (i) the amortization of deferred acquisition costs and present value of future profits; and (ii) commission expenses that are not directly related to the successful acquisition of new or renewal insurance contracts and, therefore, are not eligible to be deferred. Such non-deferred commissions are included in other operating costs and expenses on the consolidated statement of operations.

General: CNO is the top tier holding company for a group of insurance companies that develop, market and administer health insurance, annuity, individual life insurance and other insurance and financial services products. We view our operations by segments, which consist of insurance product lines. These products are distributed by our two divisions. The Consumer Division serves individual consumers, engaging with them on the phone, virtually, online, face-to-face with agents, or through a combination of sales channels. The Worksite Division focuses on the sale of voluntary benefit life and health insurance products in the workplace for businesses, associations, and other membership groups, interacting with customers at their place of employment and virtually.

Insurance product margin is management's measure of the profitability of its annuity, health and life product lines' performance and consists of insurance policy income 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 product margins of the annuity, health and life product lines, less expenses allocated to the insurance product 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 insurance product margin and income from insurance products provides an additional understanding of the business and a more meaningful analysis of the results of our insurance product lines.

Net 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 insurance liabilities for the block in each period. Net insurance liabilities for the purpose of allocating investment income to product lines are equal to: (i) policyholder account values for interest sensitive products; (ii) total reserves before the fair value adjustments reflected in accumulated other comprehensive income (loss), if applicable, for all other products; less (iii) amounts related to reinsured business; (iv) deferred acquisition costs; (v) the present value of future profits; and (vi) the value of unexpired options credited to insurance liabilities. Investment income not allocated to product lines represents 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, investment borrowings and financing arrangements; (iv) expenses related to the FABN program; and (v) certain expenses related to benefit plans that are offset by special-purpose investment income; plus (vi) the impact of annual option forfeitures related to fixed indexed annuity surrenders. Investment income not allocated to product lines includes investment income on investments in excess of amounts allocated to product lines, investments held by our holding companies, the spread we earn from our FHLB 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 (loss) from COLI and alternative investment income not allocated to product lines), net of interest expense on corporate debt and financing arrangements. The spread earned from our FHLB investment borrowing and FABN programs includes the investment income on the matched assets less: (i) interest on investment borrowings related to the FHLB investment borrowing program; (ii) interest credited on funding agreements; and (iii) amortization of deferred acquisition costs related to the FABN program.

Summary of Operating Results: Net operating income was $101.3 million in the first quarter of 2026, compared to $81.1 million in the first quarter of 2025.

Operating return on equity ("operating ROE") (a non-GAAP measure) is equal to the trailing four quarters of net operating income divided by average shareholders' equity, excluding accumulated other comprehensive income (loss) and net operating loss carryforwards. As of March 31, 2026, our operating ROE, excluding significant items, was 12.2 percent, compared to 11.9 percent as of March 31, 2025. We continue to target an improvement in run-rate operating ROE of 200 basis points through 2027, off a 2024 run-rate of approximately 10 percent.

Insurance product margin was $256.9 million in the first quarter of 2026, compared to $248.9 million in the first quarter of 2025. Total net investment income (comprised of investment income allocated and not allocated to products) increased 6 percent to $315.2 million in the first quarter of 2026, as compared to $298.7 million in the first quarter of 2025 as a result of growth in the business and higher yields. The higher yields reflect continued new money rates in excess of 6 percent over the past 13 quarters. Fluctuations by product line and investment income not allocated to products are discussed in greater detail in the narratives that follow.

The effective tax rate for the three months ended March 31, 2026 was 22.0 percent.

Total allocated and unallocated expenses are summarized in the table below (dollars in millions):

Total allocated and unallocated expenses in the first three months of 2026 were down slightly as compared to the same period in the prior year. Our expense ratio was 18.9 percent and 19.9 percent for the three months ended March 31, 2026 and 2025, respectively. We generally experience seasonally higher expenses during the first quarter; however, timing of certain expenses incurred during the three months ended March 31, 2026 offset the seasonal increases historically experienced in the first quarter. The expense ratio is defined as total allocated and unallocated expenses (excluding any significant items) divided by the sum of insurance policy income and net investment income allocated to products.

The fee income segment is summarized below (dollars in millions):

Net Consumer Division fee income was $10.6 million in the first quarter of 2026 compared to $4.3 million in the first quarter of 2025 primarily due to unfavorable experience adjustments recognized on Medicare Advantage third-party products in the first quarter of 2025. Beginning in the fourth quarter of 2025, as a result of exiting the fee services business within our Worksite Division, the net results of this business are no longer reflected within operating income, but are reflected within non-operating income.

Margin from Annuity Products (dollars in millions):

Margin from fixed indexed annuitieswas $50.2 million in the first quarter of 2026 compared to $44.5 million in the first quarter of 2025. The margin increased in the first quarter of 2026 as compared to the first quarter of 2025 primarily due to increased spread income partially offset by higher amortization both due to growth in the block. Spread income has increased due to growth in the block and increased spread rates. Average net insurance liabilities (policyholder account balances 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) were $11,104.1 million and $10,085.7 million in the first quarters of 2026 and 2025, respectively, driven by deposits and reinvested returns in excess of withdrawals. The increase in net insurance liabilities results in higher net investment income allocated. The earned yield was 4.84 percent in the first quarter of 2026 up from 4.79 percent in the first quarter of 2025, reflecting higher portfolio yields.

Net investment income and interest credited exclude the change in market values of the underlying options supporting the fixed indexed annuity products and corresponding offsetting amount credited to policyholder account balances. Such amounts were $(58.7) million and $(63.5) million in the first quarters of 2026 and 2025, respectively.

Margin from fixed interest annuitieswas $7.3 million in the first quarter of 2026 compared to $8.1 million in the first quarter of 2025. Average net insurance liabilities were $1,580.4 million in the first quarter of 2026 compared to $1,599.5 million in the first quarter of 2025. The margin decreased slightly in the first quarter of 2026, as compared to the same period in 2025, primarily due to higher policy benefits partially offset by lower interest credited. The decrease in investment income results from the decrease in the average net insurance liabilities and the slight decrease in the earned yield. The earned yield was 5.39 percent and 5.40 percent in the first quarter of 2026 and 2025, respectively.

Margin from other annuitieswas $1.0 million in the first quarter of 2026 compared to $1.9 million in the first quarter of 2025. The decrease in margin is driven by higher mortality during the first quarter of 2025. The margin on this relatively small block of business is sensitive to annuitant mortality related to contracts with life contingencies. An increase in mortality in this block will result in a decrease in insurance liabilities and insurance policy benefits.

Margin from Health Products (dollars in millions):

Margin from supplemental health business was $71.2 million in the first quarter of 2026 compared to $65.6 million in the first quarter of 2025 reflecting the growth in the block and lower morbidity. The margin as a percentage of insurance policy income was 37 percent in the first quarter of 2026 compared to 35 percent in the prior year period.

Our supplemental health products (including specified disease, accident and hospital indemnity products) generally provide fixed or limited benefits. For example, payments under cancer insurance policies are generally made directly to, or at the direction of, the policyholder following diagnosis of, or treatment for, a covered type of cancer. Approximately two-thirds of our supplemental health policies inforce (based on policy count) are sold with return of premium or cash value riders. The return of premium rider generally provides that after a policy has been inforce for a specified number of years or upon the policyholder reaching a specified age, we will pay to the policyholder, or a beneficiary under the policy, the aggregate amount of all premiums paid under the policy, without interest, less the aggregate amount of all claims incurred under the policy. The cash value rider is similar to the return of premium rider, but also provides for payment of a graded portion of the return of premium benefit if the policy terminates before the return of premium benefit is earned. Accordingly, the net cash flows from these products generally result in the accumulation of amounts in the early years of a policy (reflected in our earnings as reserve increases which is a component of insurance policy benefits) which will be paid out as benefits in later policy years (reflected in our earnings as reserve decreases which offset the recording of benefit payments). As the policies age, insurance policy benefits will typically increase, but the increase in benefits will be partially offset by investment income earned on the accumulated assets.

Margin from Medicare supplement business was $23.1 million and $28.1 million in the first quarter of 2026 and 2025, respectively. The margin as a percentage of insurance policy income was 14 percent in the first quarter of 2026 compared to 18 percent in the prior year period. The decrease in the Medicare supplement margin is primarily due to higher benefit ratios partially offset by growth in the block. We are able to re-rate our Medicare Supplement business annually. Each year we review experience and regulatory requirements to arrive at appropriate rate actions. We have filed rate increase requests with individual states and expect those to impact subsequent quarters of 2026.

Medicare supplement sales were strong in the fourth quarter of 2025, reflecting a growing shift in consumer preferences from Medicare Advantage to Medicare supplement, reversing a decade-long trend. Most of these sales were on policies with effective dates in January 2026 and therefore, are reflected in our first quarter 2026 results. We continue to invest in both our Medicare supplement products and Medicare Advantage distribution to meet our customers' needs and preferences. We receive fee income when Medicare Advantage policies of other carriers are sold, which is recorded in our fee income segment.

Medicare supplement business consists of both individual and group policies. Government regulations generally require we attain and maintain a ratio of total benefits incurred to total premiums earned (excluding changes in policy benefits reserves which is a component of insurance policy benefits) of not less than 65 percent on individual products and not less than 75 percent on group products. The ratio is determined after three years from the original issuance of the policy and over the lifetime of the policy and measured in accordance with statutory accounting principles. Since the insurance product liabilities we establish for Medicare supplement business are subject to significant estimates, the ultimate claim liability we incur for a particular period is likely to be different than our initial estimate. Changes to our estimates are reflected in insurance policy benefits in the period the change is determined.

Margin from Long-term care products was $38.3 million and $32.5 million in the first quarter of 2026 and 2025, respectively. The margin as a percentage of insurance policy income was 51 percent in the first quarter of 2026 compared to 46 percent in the first quarter of 2025. The increase in margin in the first quarter of 2026 is primarily due to growth in the business from sales of our short duration Long-Term Care Fundamental product, as well as lower morbidity and favorable persistency. The average benefit period for policies sold in the first quarter of 2026 is 13 months and 99 percent are policies with two years or less in benefits. In addition, effective October 1, 2024, we retain 100 percent of our long-term care new business as we discontinued ceding 25 percent of long-term care new business under a reinsurance agreement (this did not impact the inforce business that we previously ceded). As a result, margins have increased modestly since October 2024 and we expect to grow more in future years as earnings emerge from the sales.

Margin from Life Products (dollars in millions):

Margin from interest-sensitive life business was $22.8 million in the first quarter of 2026, down from $24.1 million in the first quarter of 2025. The decrease in margin in 2026, as compared to the same period in 2025, reflects higher insurance policy benefits and lower interest margin on a modestly growing block.

The interest margin was $0.6 million in the first quarter of 2026, compared to $1.0 million in the first quarter of 2025. The earned yield was 5.01 percent and 5.07 percent in the first quarter of 2026 and 2025, respectively. Interest credited to policyholders may be changed annually but is subject to minimum guaranteed rates and, as a result, any reduction in our earned rate may not be fully reflected in the rate credited to policyholders.

Net investment income and interest credited exclude the change in market values of the underlying options supporting the fixed indexed life products and corresponding offsetting amount credited to policyholder account balances. Such amounts were $(5.8) million and $(6.7) million in the first quarter of 2026 and 2025, respectively.

Margin from traditional life business was $43.0 million and $44.1 million in the first quarter of 2026 and 2025, respectively. Excluding the impacts of a model refinement, the adjusted margin in the first quarter of 2025 was $37.3 million. The increase in the margin in the first quarter of 2026, as compared to the adjusted margin in the first quarter of 2025, primarily reflects lower advertising expense, growth in the business and improved mortality.

Advertising expense was $18.3 million in the first three months of 2026, down from $21.2 million in the comparable period in 2025. We are disciplined with our marketing expenditures and will increase or decrease our marketing spend depending on the current economics of the purchase or other factors, including the effectiveness of advertising spend. Lower advertising expenses reflect a shift to lower cost and more effective advertising alternatives, which include web, digital, and commission based third-party distribution channels.

Collected Premiums From Annuity and Interest-Sensitive Life Products (dollars in millions):

Collected premiums from annuity and interest-sensitive products decreased 1.1 percent in the first quarter of 2026 compared to the first quarter of 2025 due to lower premium collections from fixed interest annuity products partially offset by higher premium collections from fixed indexed annuity products.

Investment Income Not Allocated to Product Lines (dollars in millions):

(a)Amounts reported as benefits and expenses.

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

The above table reconciles investment income not allocated to product lines to net investment income. Investment income not allocated to product lines will generally fluctuate from period to period based on the performance of our alternative investments (which are typically reported one quarter in arrears); the earnings related to the investments underlying our COLI; the spread we earn from our FHLB investment borrowing and FABN programs; the level of prepayment income (including call premiums) and trading account income; and the impact of annual option forfeitures related to fixed indexed annuity surrenders. The increase in the first quarter of 2026, compared to the same period in 2025, is primarily due to an increase in alternative investment results.

Net Non-Operating Income (Loss):

The following summarizes our net non-operating income (loss) for the three months ended March 31, 2026 and 2025 (dollars in millions):

Net realized investment losses in the three months ended March 31, 2026 were $15.2 million, including a net increase in the allowance for credit losses of $9.4 million. Net realized investment losses in the three months ended March 31, 2025, were $13.2 million, including increases in the allowance for credit losses of $9.6 million.

The change in market value of investments recognized in earnings was a decrease of $7.5 million and an increase of $6.4 million in the first quarters of 2026 and 2025, respectively. The change in value will fluctuate from period to period based on market conditions.

We recognized a decrease in pre-tax earnings of $42.4 million and $69.6 million in the first quarter of 2026 and 2025, respectively, resulting from changes in the fair value of embedded derivative liabilities and MRBs related to our fixed indexed annuities. Such amounts include the impacts of changes in market interest rates, equity impacts and equity volatility used to determine the estimated fair values of the embedded derivatives and MRBs.

During the first quarter of 2026, we incurred $13.7 million of expense related to TechMod, a three-year project beginning in 2025 to modernize certain elements of our technology, which was initially disclosed in February 2025. These expenses relate primarily to data conversion and migration activities associated with the implementation of our modernized insurance administrative platforms. The costs also include discrete external consulting fees for project management support specialized implementation capabilities that we do not maintain internally, as well as certain temporary duplicate vendor costs incurred while legacy and modernized systems operate in parallel. These costs were incremental to our historical information technology spend and are expected to be limited to the duration of TechMod. We exclude these costs from operating income because they are directly attributable to a defined, finite modernization initiative and are not expected to continue once the project is completed. Management believes this presentation provides meaningful information to investors by improving period-over-period comparability and by facilitating an assessment of our ongoing operating performance absent the temporary impact of these project-specific costs.

During the first quarter of 2026, we incurred a $1.9 million loss related to our exit from the fee services side of the Worksite Division business. In addition to exit costs, this loss includes operating losses for the quarter. Operating losses prior to the fourth quarter of 2025 were reported in operating income as a component of fee income. We expect the exit to be substantially complete in the first half of 2026.