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, net of insurance intangibles, 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 $119.5 million in the second quarter of 2026 compared to $87.5 million in the second quarter of 2025, and was $220.8 million in the first six months of 2026 compared to $168.6 million in the first six months of 2025.

Return on equity ("ROE") is equal to the trailing four quarters of net income divided by average shareholders' equity. As of June 30, 2026, our ROE was 10.9 percent compared to 11.9 percent as of June 30, 2025. 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 June 30, 2026, our operating ROE, excluding significant items, was 13.1 percent compared to 11.2 percent as of June 30, 2025. Our 2026 operating ROE is expected to exceed the three-year target of 12 percent we had previously established for year-end 2027.

Insurance product margin was $279.0 million in the second quarter of 2026 compared to $252.4 million in the second quarter of 2025, and was $535.9 million in the first six months of 2026 compared to $501.3 million in the first six months of 2025. Total net investment income (comprised of investment income allocated and not allocated to products) increased 8 percent to $327.5 million in the second quarter of 2026 as compared to $302.7 million in the second quarter of 2025, and 7 percent to $642.7 million in the first six months of 2026 compared to $601.4 million in the first six months of 2025 as a result of growth in the business and higher alternative investment income. 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 six months ended June 30, 2026 was 21.4 percent.

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

Total allocated and unallocated expenses in the first six months of 2026 were down slightly as compared to the same period in the prior year. Our expense ratio was 18.7 percent and 19.4 percent for the six months ended June 30, 2026 and 2025, respectively. We generally experience seasonally higher expenses during the first quarter; however, timing of certain expenses incurred during the six months ended June 30, 2026 offset the seasonal increases historically experienced in the first half of the year. 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 decreased from income of $7.4 million in the second quarter of 2025 to a loss of $1.2 million in the second quarter of 2026 primarily due to a decrease in Medicare Advantage third-party sales resulting from a continued shift in customer preference towards Medicare supplement products. In addition, fee income decreased $3.0 million for an experience adjustment in the second quarter of 2026. Net Consumer Division fee income decreased $2.3 million for the six months ended June 30, 2026 compared to the same period in 2025 due to decreased Medicare Advantage third-party sales, partially offset by lower experience adjustments. 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 annuities increased $3.8 million in the second quarter of 2026 compared to the second quarter of 2025, and $9.5 million in the first six months of 2026 compared to the first six months of 2025 due to increased spread income, partially offset by higher amortization from 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 $11,316.3 million and $10,543.4 million in the second quarters of 2026 and 2025, respectively, and $11,210.2 million and $10,314.6 million in the first six months 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 4.85 percent in the second quarter of 2026 which was flat to second quarter of 2025, and was 4.85 percent in the first six months of 2026 up from 4.82 percent in the first six months 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 $146.8 million and $70.4 million in the second quarters of 2026 and 2025, respectively, and were $88.1 million and $6.9 million in the first six months of 2026 and 2025, respectively.

Margin from fixed interest annuities decreased $0.2 million in the second quarter of 2026 compared to the second quarter of 2025, and $1.0 million in the first six months of 2026 compared to the first six months of 2025. Average net insurance liabilities were $1,568.4 million in the second quarter of 2026 compared to $1,591.7 million in the second quarter of 2025, and were $1,574.4 million in the first six months of 2026 compared to $1,595.6 million in the first six months of 2025, driven by withdrawals in excess of deposits and reinvested returns. 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 5.46 percent and 5.48 percent in the second quarter of 2026 and 2025, respectively, and was 5.43 percent in the first six months of 2026, down from 5.44 percent in the first six months of 2025.

Margin from other annuities increased $2.2 million in the second quarter of 2026 compared to the second quarter of 2025, and increased $1.3 million in the first six months of 2026 compared to the first six months 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. In the second quarter of 2026, we experienced higher annuitant mortality on a few larger policies in a closed block of payout annuities which reduced insurance policy benefits.

Margin from Health Products (dollars in millions):

Margin from supplemental health business increased $1.5 million in the second quarter of 2026 compared to the second quarter of 2025, and $7.1 million in the first six months of 2026 compared to the first six months of 2025, reflecting the growth in the block. As a result of a handful of large claims on older policies in the second quarter of 2026, morbidity was slightly higher than the prior year period. For the first six months of 2026, morbidity was lower than the prior year period. The margin as a percentage of insurance policy income was 37 percent in the second quarter of 2026 and in the prior year period, and was 37 percent in the first six months of 2026 and 36 percent in the first six months of 2025.

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 increased $8.3 million in the second quarter of 2026 compared to the second quarter of 2025, and $3.3 million in the first six months of 2026 compared to the first six months of 2025. The margin as a percentage of insurance policy income was 22 percent in the second quarter of 2026 compared to 18 percent in the prior year period, and was 18 percent in the first six months of 2026 and 2025. The increase in the Medicare supplement margin is primarily due to growth in the block, favorable morbidity and the implementation of rate increases during the first half of the year. In addition, the second quarter of 2026 margin included favorable morbidity from better than expected first quarter claims development. 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 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 increased $3.4 million in the second quarter of 2026 compared to the second quarter of 2025, and $9.2 million in the first six months of 2026 when compared to the first six months of 2025. The margin as a percentage of insurance policy income was 53 percent in the second quarter of 2026 compared to 52 percent in the second quarter of 2025, and was 52 percent in the first six months of 2026 and 49 percent in the first six months of 2025. The increase in margin in the second quarter and the first six months 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. The average benefit period for policies sold in the second 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 since October 2024 and we expect them to continue to grow in future years as earnings emerge from the sales.

Margin from Life Products (dollars in millions):

Margin from interest-sensitive life business increased $4.5 million in the second quarter of 2026 compared to the second quarter of 2025, and $3.2 million in the first six months of 2026 compared to the first six months of 2025. The increases in margins in 2026, as compared to the same periods in 2025 reflect lower insurance policy benefits and higher insurance policy income from modest growth in the block.

The interest margin was $0.3 million in the second quarter of 2026, compared to $0.2 million in the second quarter of 2025, and was $0.9 million in the first six months of 2026, compared to $1.2 million in the first six months of 2025. The earned yield was 4.99 percent and 5.02 percent in the second quarter of 2026 and 2025, respectively, and 5.00 percent and 5.05 percent in the first six months 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 $15.0 million and $9.1 million in the second quarter of 2026 and 2025, respectively, and were $9.2 million and $2.4 million in the first six months of 2026 and 2025, respectively.

Margin from traditional life business increased $3.1 million in the second quarter of 2026 compared to the second quarter of 2025, and increased $2.0 million in the first six months of 2026 compared to the first six months of 2025. Excluding the impacts of a model refinement during the first quarter of 2025, the adjusted margin for the six months ended June 30, 2025 was $79.0 million. The increases in the margins in 2026 compared to the margin in the second quarter of 2025 and the adjusted margin in the first six months of 2025 primarily reflect lower advertising expense, growth in the business and lower mortality.

Advertising expense was $17.5 million in the second quarter of 2026, down from $18.7 million in the comparable period in 2025, and was $35.8 million in the first six months of 2026, down from $39.9 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 increased 3.3 percent in the second quarter of 2026 compared to the second quarter of 2025 and increased 1.3 percent in the first six months of 2026 compared to first six months of 2025 due to higher premium collections from both fixed indexed annuity and interest-sensitive life 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. Net investment income is made up of net investment income from general account assets and policyholder and other special-purpose portfolios. 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 increases in the 2026 periods compared to the same periods in 2025, are primarily due to an increase in alternative investment results, increased spread income on the FHLB and FABN programs, and higher gains on option forfeitures from annuity surrenders, partially offset by unfavorable changes in other components of investment income not allocated to product lines.

Net Non-Operating Income (Loss):

The following summarizes our net non-operating income (loss) for the three and six months ended June 30, 2026 and 2025 (dollars in millions):

Net realized investment losses for the three and six months ended June 30, 2026 were $13.6 million and $28.8 million, including a net increase in the allowance for credit losses of $3.4 million and $12.8 million, respectively. Net realized investment losses in the three and six months ended June 30, 2025, were $21.8 million and $35.0 million, respectively, including increases in the allowance for credit losses of $1.0 million and $10.5 million, respectively.

The change in market value of investments recognized in earnings was $(1.1) million and $3.4 million during the three months ended June 30, 2026 and June 30, 2025, respectively, and was $(8.6) million and $9.8 million for the six months ended

June 30, 2026 and June 30, 2025, respectively. The change in value will fluctuate from period to period based on market conditions.

During the second quarter of 2026, we recognized an increase in pre-tax earnings of $34.6 million, resulting from changes in the fair value of embedded derivative liabilities and MRBs related to our fixed indexed annuities, compared to $25.2 million in the second quarter of 2025. We recognized a decrease in pre-tax earnings of $7.8 million and $44.4 million in the first six months of 2026 and 2025, respectively. 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 second quarter of 2026, we incurred $9.7 million of expenses related to TechMod, compared to $3.2 million in the second quarter of 2025. For the six months ended June 30, 2026, we incurred $23.4 million of TechMod-related expenses, compared to $3.2 million in the prior year period. TechMod is a three-year initiative that began in 2025 to modernize certain elements of our technology. 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 normal spend and will not recur following implementation. 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 six months ended June 30, 2026, we incurred a $3.0 million loss related to our exit from the fee services side of the Worksite Division business, of which $1.1 million was incurred during the second quarter. 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. The exit of the fee services business was substantially complete as of June 30, 2026.