Cno Financial Group, Inc. · NYSE:CNO
Cno Financial — Investor Day (June 2025)
44 slides from Cno Financial's investor day presentation, Jun 10, 2025
Slide 1: CNO Financial Group Investments Briefing
CNO Financial Group | Investments Briefing | June 10, 2025 1 CNO Financial Group Investments Briefing June 10, 2025
Slide 2: Welcome
CNO Financial Group | Investments Briefing | June 10, 2025 2 Welcome Adam Auvil Vice President, Investor Relations & Sustainability
Slide 3: Our Purpose and Mission
CNO Financial Group | Investments Briefing | June 10, 2025 3 OUR PURPOSE We secure the future of middle-income America. OUR MISSION We secure the future of middle-income America by providing insurance and financial services that help protect their health, income and retirement needs, while building
Slide 4: Important Legal Information
CNO Financial Group | Investments Briefing | June 10, 2025 4 Important Legal Information Certain statements made in this presentation should be considered forward-looking statements as defined in the Private Securities Litigation Reform Act of 1995. These include statements about future results of o
Slide 5: Opening Remarks
CNO Financial Group | Investments Briefing | June 10, 2025 5 Opening Remarks Eric Johnson Chief Investment Officer
Slide 6: Five Key Investments Messages
CNO Financial Group | Investments Briefing | June 10, 2025 6 4 5 3 2 1 Five Key Investments Messages Proven investment approach, resulting in solid track record Foundation of strong asset quality and disciplined management Competitive advantages Upside opportunities to drive operating ROE improvemen
Slide 7: CNO Investments Presenters
CNO Financial Group | Investments Briefing | June 10, 2025 7 CNO Investments Presenters Eric Johnson Chief Investment Officer Investment Experience: 30 years Years at CNO: 28 Jesse Horsfall Senior Vice President, Portfolio Management Investment Experience: 32 years Years at CNO: 31 Zandra de Haai Se
Slide 8: Investment Approach and Structure
CNO Financial Group | Investments Briefing | June 10, 2025 8 Private & Specialized Assets Strategic Partners Core Fixed Income General Account Capital Management ALM Strategic Asset Allocation (SAA) Research Portfolio Management Investment Leverage Performance Management Compliance Outsource Insourc
Slide 9: Historical Investment Performance
CNO Financial Group | Investments Briefing | June 10, 2025 9 Historical Investment Performance Assets Under Management (AUM) (Book Value. Dollars in billions.) Credit Impairments (% of AUM) New Money Rate (In percent) Average NAIC Rating (Book Value Weighted) 2019 2020 2021 2022 2023 2024 22.3 23.2
Slide 10: Opportunistic Investments Track Record
CNO Financial Group | Investments Briefing | June 10, 2025 10 Opportunistic Legacy Residential Mortgage-Backed Securities Significant AUM investment during great financial crisis (GFC) Residential Mortgage Loans Early mover (2017) in highly capital efficient sector ABS Early mover in post GFC “esote
Slide 11: General Account Summary
CNO Financial Group | Investments Briefing | June 10, 2025 11 General Account Summary Jesse Horsfall Senior Vice President, Portfolio Management
Slide 12: $30B General Account Summary
CNO Financial Group | Investments Briefing | June 10, 2025 12 Unless otherwise noted, all data as of 3/31/2025. $30B General Account Summary High quality portfolio – ~97% Investment Grade (I.G.) and ~97% priced by a third party Highly diversified portfolio supported by deep expertise and partner
Slide 13: Structural Competitive Advantages in Distribution and Products
CNO Financial Group | Investments Briefing | June 10, 2025 13 Higher Persistency Lower Dynamic Lapse Captive Distribution Distribution and products provide structural competitive advantages Annuity Surrender Protection Significant Mix of Products Financial Stability Asset/Liability Management (ALM)
Slide 14: Asset/Liability Management
CNO Financial Group | Investments Briefing | June 10, 2025 14 Granular asset modeling Integrated process between asset, product, liability teams Continued tech/ops infrastructure innovation Executive/Board of Directors engagement Integrated analysis – SAA, ALM, capital efficiency Conservative compli
Slide 15: Key Portfolio Metrics Peer Comparison
CNO Financial Group | Investments Briefing | June 10, 2025 15 2% 4% 16%RMLs 3% Alternatives 0% 5% 31% 5% 2%CML 44% 69%18%I.G. Corps Key Portfolio Metrics 11% 14%0%Municipals 9%0% 8% CMBS Min Max Peer Comparison Significant opportunity to add illiquid assets as market considerations warrant 4% 2% 0%H
Slide 16: Taxable Municipals
CNO Financial Group | Investments Briefing | June 10, 2025 16 Taxable Municipals Zandra de Haai Senior Vice President, Research
Slide 17: Taxable Municipals
CNO Financial Group | Investments Briefing | June 10, 2025 17 Taxable Municipals $3.30bn AUM 11 % GENERAL ACCOUNT AA- AVERAGE NAIC EQUIVALENT 99 % INVESTMENT GRADE PEER COMPARISON Tax 10% General Obligation 13% Housing 20% Education 15% Health 6% Transportation 14% Misc. 14% Utilities 7% Overweight
Slide 18: Average Investment Portfolio Construction
CNO Financial Group | Investments Briefing | June 10, 2025 18 Average Investment Portfolio Construction Target: 85% Revenue & 15% Govts/Agency Metropolitan Statistical Areas (MSAs) > 250,000 residents Target Return I.G. Corps + 25 – 50 bps Target Geography $10mm – $25mm; minimum issue size ~
Slide 19: Structured Securities
CNO Financial Group | Investments Briefing | June 10, 2025 19 Structured Securities Jerimy Horner Vice President, Structured Securities
Slide 20: Asset Backed Securities (ABS)
CNO Financial Group | Investments Briefing | June 10, 2025 20 Asset Backed Securities (ABS) AVOID: Litigation Finance, Recreational Vehicles, Manufactured Housing, Commodity Finance, Marketplace Lending $1.67bn AUM 5 % GENERAL ACCOUNT A- AVG NAIC EQUIVALENT 94 % INVESTMENT GRADE PEER COMPARISON Othe
Slide 21: Residential Mortgage-Backed Securities (RMBS)
CNO Financial Group | Investments Briefing | June 10, 2025 21 Residential Mortgage-Backed Securities (RMBS) $1.72bn AUM 6 % GENERAL ACCOUNT AA+ NAIC EQUIVALENT 100 % INVESTMENT GRADE PEER COMPARISON AVOID: Mortgage derivatives, LTV > 80%, DTI > 50%, SFR, HELOCs, Fix-and-Flip Agency 32% Legacy 19% Re
Slide 22: Residential Mortgage Loans (RMLs)
CNO Financial Group | Investments Briefing | June 10, 2025 22 $1.08bn AUM 4 % GENERAL ACCOUNT A NAIC EQUIVALENT 98 % INVESTMENT GRADE 43 % AGENCY ELIGIBLE PEER COMPARISON Early Mover Best in class Partners Conservative Guidelines High Loan Quality Agency Eligible: prime quality borrowers (FICO >700)
Slide 23: Residential Mortgage Loans Portfolio Construction
CNO Financial Group | Investments Briefing | June 10, 2025 23 Portfolio Construction Vintage diversity, average LTV < 70% Target Return UST + 200 bps Avoid LTV > 80%, DTI > 50%, Large Loans (> $3mm), Vacation Rentals, Multi-family loans Geography State concentration limit 25%. De-emphasize l
Slide 24: Commercial Mortgage
CNO Financial Group | Investments Briefing | June 10, 2025 24 Commercial Mortgage Andrew Aiello Vice President, Commercial Mortgage
Slide 25: Commercial Mortgage Loans (CMLs)
CNO Financial Group | Investments Briefing | June 10, 2025 25 Commercial Mortgage Loans (CMLs) $1.54bn AUM 5 % GENERAL ACCOUNT 100 % INVESTMENT GRADE EQUIVALENT 44 AVERAGE LTV % 2.8x AVERAGE DSCR $54mm 2025 / 2026 MATURITIES PEER COMPARISON Industrial 26% Office 9% Other 9% Retail 17% Multifamily 39
Slide 26: CML Portfolio Construction and Underwriting
CNO Financial Group | Investments Briefing | June 10, 2025 26 Target Return I.G. Corps + 25 – 50 bps Loan Size $5 million – $35 million Portfolio Construction First mortgage financing for stabilized properties Geography Tier 1 and Tier 2 markets Avoid CBD office, hospitality, regional shop
Slide 27: CML Office Deep Dive
CNO Financial Group | Investments Briefing | June 10, 2025 27 CML Office Deep Dive 55% Portfolio Average LTV <40% 15% 40%-50% 50%-60% 60%-70% 70%-80% >80% 25% 17% 5% 13% 25% $112mm AUM 15 LOANS 16 % AVERAGE DEBT YIELD 100 % INVESTMENT GRADE EQUIVALENT 55 % SUBURBAN OFFICE 45 % MEDICAL OFFICE $8mm 20
Slide 28: Collateralized Loan Obligations (CLO)
CNO Financial Group | Investments Briefing | June 10, 2025 28 Collateralized Loan Obligations (CLO) Eddy Piedra Vice President, Loans & CLOs
Slide 29: CLO Debt Portfolio Composition
CNO Financial Group | Investments Briefing | June 10, 2025 29 CLO Debt Portfolio Composition Gross Historical Upgrades / Downgrades $1.02bn AUM 3 % GENERAL ACCOUNT AA AVERAGE NRSRO 100 % INVESTMENT GRADE PEER COMPARISON BBB 2% AAA 27%A 19% AAA 52% 2024 20252020 2021 2022 2023 45 12 2 22 16 40 Conser
Slide 30: Investment Process and AI Utilization
CNO Financial Group | Investments Briefing | June 10, 2025 30 Investment opportunities Structure/Pricing Underwriting Purchased Investment opportunities Structure/Pricing Underwriting Purchased CLO Group CML Group CML Group AI Utilization CLO Group AI Utilization AI Experimentation Faster, cheaper,
Slide 31: Alternatives and FABN
CNO Financial Group | Investments Briefing | June 10, 2025 31 Alternatives and FABN Matt Hall Vice President, Alternatives
Slide 32: Alternatives
CNO Financial Group | Investments Briefing | June 10, 2025 32 Alternatives Buyouts 73% $0.78bn AUM 3 % GENERAL ACCOUNT $0.41bn UNFUNDED COMMITMENTS PEER COMPARISON Private Equity 44% Venture 1% Secondaries 4% Real Estate Equity 15% Co- Investments 21% Real Estate Debt 5% Infrastructure 4% Private Cr
Slide 33: Alternatives Portfolio Construction
CNO Financial Group | Investments Briefing | June 10, 2025 33 Alternatives Target Return 7% – 14% Commitment Size $15 – 50mm Portfolio Construction Diversified portfolio of funds, strategies, managers, and vintages Geography United States Avoid Hedge funds, reputational/compliance issues,
Slide 34: Alternatives Historical Returns
CNO Financial Group | Investments Briefing | June 10, 2025 34 Strong PE returns (30% average annual) Consistent CRE returns (8 – 9 % range) Reversion in PE returns (2.4% annual average returns) Rebalancing reduced market beta by downsizing CRE from 39% to 20% and increasing PE from 19% to 44
Slide 35: FABN Net Investment Income Contribution
CNO Financial Group | Investments Briefing | June 10, 2025 35 NII 1 20 29 33 6 FABN Strong demand growing scale and investment income contribution YE 2021 500 YE 2022 YE 2023 YE 2024 1Q25 900 1,400 1,400 1,600 3,000 400 2,600 Maturity Net Issuance Outstanding Dollars in millions.
Slide 36: Closing Remarks
CNO Financial Group | Investments Briefing | June 10, 2025 36 Closing Remarks Eric Johnson Chief Investment Officer
Slide 37: We are Offensively Defensive
CNO Financial Group | Investments Briefing | June 10, 2025 37 We are Offensively Defensive Short Wall Street – Long Main Street Long Duration & High Quality: In a faltering economy, one investment strategy would be to add long duration high quality non cyclicals to benefit from eventually declining
Slide 38: Upside Opportunities to Support ROE Improvement
CNO Financial Group | Investments Briefing | June 10, 2025 38 AUM reallocation of $600mm - $1.5bnIncrease allocation by $500mm - $1.0bn Modest increase in AUM Increase investment leverageI.G. Private Alternatives Fixed Income Portfolio Optimization Trades Allocation Net Investment Income (NII) Enhan
Slide 39: CNO has a Position of Relative Advantage
CNO Financial Group | Investments Briefing | June 10, 2025 39 CNO has a Position of Relative Advantage We will weather the storm “Up in Quality” especially in volatile sectors Highly liquid assets Rigorous asset valuation procedures Solid ALM & Compliance disciplines Low liability convexity “Dry Pow
Slide 40: Five Key Investments Messages
CNO Financial Group | Investments Briefing | June 10, 2025 40 4 5 3 2 1 Five Key Investments Messages Proven investment approach, resulting in solid track record Foundation of strong asset quality and disciplined management Competitive advantages Upside opportunities to drive operating ROE improveme
Slide 41: Why Invest in CNO
CNO Financial Group | Investments Briefing | June 10, 2025 41 Why Invest in CNO Adam Auvil Vice President, IR & Sustainability
Slide 42: Why Invest in CNO
CNO Financial Group | Investments Briefing | June 10, 2025 42 4 5 3 2 1 Exclusive focus on underserved middle-income market Significant demographic tailwinds Diverse and integrated "last mile" in-person and virtual model Delivering growth while improving ROE Strong balance sheet and robust free cash
Slide 43: Key Messages Q&A
CNO Financial Group | Investments Briefing | June 10, 2025 43 KEY MESSAGES Q&A Enter questions in chat
Slide 44: Footnotes
CNO Financial Group | Investments Briefing | June 10, 2025 44 FOOTNOTES Peer Comparison (page 15) • Peer min / max data as of 12/31/2024. • Source for I.G. Corps, Municipals, Alternatives, CMBS, RMBS, Govt Agency: UBS "US Life and P&C Insurance" 14 Apr 2025. • Source for ABS, RML, CML, HY Corps, and