CNO Financial Group, Inc. · NYSE:CNO

CNO Financial — Q3 2010 Earnings Presentation

79 slides from CNO Financial's earnings presentation, Nov 3, 2010

1. Slide 1: 3Q10 Financial and operating results

   3Q10 Financial and operating results for the period ended September 30, 2010 NOVEMBER 3, 2010 Unless otherwise specified, comparisons in this presentation are between 3Q10 and 3Q09.

2. Slide 2: Forward-Looking Statements

   Forward-Looking Statements Cautionary Statement Regarding Forward-Looking Statements. Our statements, trend analyses and other information contained in this press release relative to markets for CNO Financial’s products and trends in CNO Financial’s operations or financial results, as well as other

3. Slide 3: Non-GAAP Measures

   Non-GAAP Measures This presentation contains the following financial measures that differ from the comparable measures under Generally Accepted Accounting Principles (GAAP): operating earnings measures; book value, excluding accumulated other comprehensive income (loss) per share; operating return m

4. Slide 4: CNO Financial Group

   CNO Financial Group 4

5. Slide 5: CNO Financial Group

   CNO Financial Group 5

6. Slide 6: CNO Financial Group

   CNO Financial Group 6

7. Slide 7: CNO Financial Group

   CNO Financial Group 7

8. Slide 8: CNO Financial Group

   o CNO FINANCIAL GROUP CNO Financial Group

9. Slide 9: 3Q10: Summary CNO

   3Q10: Summary CNO  Net income of $49.4 million, up 221%  Net operating income* of $47.1 million, down 13% – 16 cents per diluted share, reflecting dilution from issuance of shares of common stock and convertible debentures, and more than 4 cents per share of intangible write-downs  Consolidated R

10. Slide 10: 3Q10 Summary of Results

    3Q10 Summary of Results CNO ($ millions, except per-share amounts) Pre-Tax After Tax EPS Bankers Life $95.5 Washington National 27.2 Colonial Penn 7.8 OCB (24.4) Corporate operations and interest expense (32.3) Income before net realized investment gains* 73.8 $47.1 $0.16 Net realized investment gai

11. Slide 11: Quarterly Earnings CNO Consolidated

    Quarterly Earnings CNO Consolidated ($ millions) 3Q09 4Q09 1Q10 2Q10 3Q10 Bankers Life $85.4 $84.6 $53.2 $64.0 $95.5 Washington National 29.1 23.0 27.6 21.1 27.2 Colonial Penn 7.4 5.9 5.3 7.6 7.8 Other CNO Business (7.5) (29.7) (1.9) 8.8 (24.4) Corporate operations, excluding interest expense (7.4)

12. Slide 12: Operating ROE

    Operating ROE CNO Operating ROE*, Trailing 4 Quarters 3Q09 4Q09 1Q10 2Q10 6.6% 6.5% 3Q10 6.2% 6.0% 5.5% Average common shareholders’ equity, excluding AOCI/L and net operating loss $2,503.9 $2,551.1 $2,679.2 $2,808.3 $2,942.8 carryforwards, trailing 4 quarters ($ mils): *Operating return excludes ga

13. Slide 13: Operating EPS (Diluted)

    Operating EPS (Diluted)* CNO  65.9 million shares of common stock and $293.0 million of 3Q09 convertible debentures issued $0.29 in 4Q09 through 2Q10 2Q10 3Q10 4Q09 1Q10 $0.16 $0.16 $0.15 $0.14 Weighted average diluted shares (in millions): 185.8 217.5 292.1 302.6 306.0 *Operating earnings per shar

14. Slide 14: Book Value

    Book Value CNO (in millions, except per-share amounts) 09/30/09 12/31/09 03/31/10 06/30/10 09/30/10 Shareholders' Equity (Excluding AOCI/L) $3,479.7 $3,796.7 $3,823.1 $3,864.0 $3,916.2 Accumulated Other Comprehensive Income (Loss) (146.0) (264.3) (103.0) 318.8 688.1 Total Shareholders' Equity $3,333

15. Slide 15: Pre/After Tax GAAP Operating Income

    Pre/After Tax GAAP Operating Income CNO ($ in millions) $252.3 $251.3 $250.0 $223.4 $87.7 $89.1 $200.0 $86.4 $150.0 $100.0 $164.6 $162.2 $137.0 $50.0 $0.0 2008 2009 LTM* 3Q10 Net Operating Income Tax Expense on Operating Income CNO Financial Group * Last twelve months 15

16. Slide 16: Statutory Earnings Power

    Statutory Earnings Power ($ in millions) CNO $400.0 $379.8 $350.0 $335.0 $115.8 $300.0 $131.5 $241.3 $250.0 $200.0 $121.1 $150.0 $264.0 $100.0 $203.5 $120.2 $50.0 $0.0 2008 2009 LTM* 3Q10 Post-Tax Operating Income Fees and Interest Paid to Holding Company CNO Financial Group * Last twelve months 16

17. Slide 17: Financial Strength

    Financial Strength CNO Consolidated RBC Ratio* Liquidity 3Q10 1Q10 2Q10 3Q10 4Q09 $190.1 319% 318% 320% 309% 3Q09 4Q09 252% $146.1 1Q10 2Q10 $131.2 $129.9 3Q09 $85.6  RBC increased to 320% in 3Q2010  Unrestricted cash held at the holding – Positive impact from statutory operating company increased

18. Slide 18: 3Q Summary Bankers Life

    3Q Summary Bankers Life  Earnings of $95.5 million, up 12% – Increased earnings of $20 million due primarily to: • Higher average yields on a larger asset base • Improved Med Supp benefit ratio – Partially offset by lower PFFS earnings of approximately $13 million • 3Q2009 favorably impacted by pri

19. Slide 19: Bankers Life Sales and Distribution Results

    Sales and Distribution Results Bankers Life ($ millions) Quarterly NAP*  NAP down 11% 4Q09 $91.3 – Med Supp down due to customer preference for products with lower 3Q09 1Q10 2Q10 $64.0 $61.8 3Q10 premiums and benefits $57.5 $55.3 – Lower sales of LTC following pricing changes made to improve profit

20. Slide 20: Bankers Life Total Producers

    Total Producers Bankers Life New Contracts for 9 Month Period Veteran Producers vs. Non-Veteran Producers 8000 6000 5,312 5,353 5,309 5,258 7000 5000 6000 4000 5000 3,129 3,152 3,082 3,090 4000 3000 7,486 3000 6,433 6,470 2000 2000 1000 2,183 2,201 2,227 2,168 1000 0 0 2008 2009 2010 2009 1Q2010 2Q2

21. Slide 21: Med Supp Market Bankers Life

    Med Supp Market Bankers Life Highlights Bankers Strategy  Several leading carriers using  Maintain pricing discipline; introduced new Modernized Medigap plans to grow lower cost, cost sharing product (Plan N) share with aggressive pricing  Application submissions are flat to prior year,  Some ca

22. Slide 22: LTC Rate Increase Bankers Life

    LTC Rate Increase Bankers Life Additional rate increase filings commenced on our LTC portfolio in October  For policies generally sold: – Between 1992-2003 we will be filing for an additional increase ONLY on plans with inflation protection – Between 2002-2005 we will be filing for an additional in

23. Slide 23: Bankers Life Quarterly Earnings

    Quarterly Earnings Bankers Life ($ millions) 3Q09 4Q09 1Q10 2Q10 3Q10 Insurance policy income $493.1 $477.0 $396.2 $400.7 $405.1 Net investment income: General account assets 162.2 165.8 172.2 177.0 182.4 Other portfolios 37.4 6.9 13.7 (16.5) 26.1 Fee revenue and other income 2.4 4.8 2.3 2.7 3.6 Tot

24. Slide 24: Splitting the CIG Segment

    Splitting the CIG Segment Washington National and OCB  Two new segments, consistent with how we are managing our business – Washington National (primarily actively marketed lines of business) • Markets and distributes supplemental health and traditional life insurance to middle- income consumers at

25. Slide 25: 3Q Summary Washington National

    3Q Summary Washington National  Earnings of $27.2 million, down 6.5% – 3Q2009 favorably impacted by reserve refinements related to supplemental health (comprised of specified disease, accident and hospital indemnity policies) of approximately $4 million  Sales (NAP) of $19 million, down 4% – Decre

26. Slide 26: 3Q10 Sales Results Washington National

    3Q10 Sales Results Washington National ($ millions) $18.0  Supplemental health sales up 11% $16.1 – PMA up 15% – WNIC* Independent flat  WNIC Independent voluntary worksite sales up 8% – Up 22% YTD vs. 2009 3Q09 NAP 3Q10 NAP $1.4 $1.5 $1.3 $0.8 $0.4 $0.2 Life Annuities Medicare Supplement Suppleme

27. Slide 27: Quarterly Earnings Washington National

    Quarterly Earnings Washington National ($ millions) 3Q09 4Q09 1Q10 2Q10 3Q10 Insurance policy income $149.7 $146.9 $145.4 $144.7 $144.9 Net investment income: General account assets 47.8 45.6 45.5 45.8 46.2 Other portfolios 0.2 (1.1) (0.1) 0.1 0.2 Fee revenue and other income 0.5 (0.1) 0.3 0.2 0.3 T

28. Slide 28: 3Q Summary Colonial Penn

    3Q Summary Colonial Penn  Earnings of $7.8 million, up 5.4% – Results for 3Q2010 reflect favorable life margins  Sales growth continues: NAP up 8% – YTD sales up 10% – YTD lead generation up 42% CNO Financial Group 28

29. Slide 29: Quarterly Earnings Colonial Penn

    Quarterly Earnings Colonial Penn ($ millions) 3Q09 4Q09 1Q10 2Q10 3Q10 Insurance policy income $48.4 $47.9 $48.2 $49.3 $48.8 Net investment income 9.5 9.6 9.7 9.7 9.9 Fee revenue and other income 0.2 0.3 0.2 0.1 0.2 Total revenues 58.1 57.8 58.1 59.1 58.9 Insurance policy benefits 34.7 35.1 36.4 35.

30. Slide 30: 3Q Summary Other CNO Business

    3Q Summary Other CNO Business  Loss of $24.4 million, compared to loss of $7.5 million – Reduction in earnings of approximately $13 million due to additional amortization expense related to interest sensitive products – Reduction in earnings of approximately $6 million due to the write-off of PVFP

31. Slide 31: Sharpened Focus Other CNO Business

    Sharpened Focus Other CNO Business  Segmentation provides transparency and brings strong focus on addressing such issues as: – Non-Guaranteed Element Management – Expense Management – Risk Mitigation  Requires a methodical approach  Near term results expected to continue exhibiting volatility – P

32. Slide 32: Quarterly Earnings (Losses) Other CNO Business

    Quarterly Earnings (Losses) Other CNO Business ($ millions) 3Q09 4Q09 1Q10 2Q10 3Q10 Insurance policy income $80.8 $75.7 $74.8 $73.2 $75.7 Net investment income: General account assets 86.7 86.3 87.8 88.5 88.0 Other portfolios 15.5 4.4 4.8 (8.1) 8.5 Total revenues 183.0 166.4 167.4 153.6 172.2 Insur

33. Slide 33: Addressing the Low Interest Rate Environment

    Addressing the Low Interest Rate CNO Environment  Reduced guaranteed minimum interest rates for most interest sensitive product sales  Lowering credited rates  Reduced commissions  Factoring future premiums into our LTC liability duration and invested to match these longer durations – Durations

34. Slide 34: Net Investment Income

    Net Investment Income CNO General Account Investment Income ($ millions)  3Q10 portfolio yield increase due 1Q10 2Q10 3Q10 3Q09 4Q09 primarily to sustained new money $306.3 $307.3 $315.2 $321.1 $326.5 rates exceeding portfolio rate Yield: 5.62% 5.63% 5.76% 5.83% 5.86% CNO Financial Group 34

35. Slide 35: Realized Gains/Losses Recognized through Net Income

    Realized Gains/Losses Recognized through Net Income CNO ($ millions) 3Q09 4Q09 1Q10 2Q10 3Q10 Gross Gains $99.5 $110.5 $50.9 $60.9 $101.5 Gross Losses (84.1) (96.4) (35.5) (49.7) (73.4) Losses due to recognition of other-than-temporary impairments recognized in earnings (35.7) (31.1) (20.3) (27.9) (

36. Slide 36: Unrealized Gain/Loss

    Unrealized Gain/Loss* CNO ($ millions) Unrealized Gain/Loss % of Invested Assets Unrealized Gain/Loss 1,500 % of Invested Assets 7.0% 6.0% 1,000 5.0% 4.0% 500 3.0% 3Q09 4Q09 1Q10 2.0% 0 1.0% 0.0% (500) 2Q10 3Q10 -1.0% -2.0% (1,000) -3.0% *Includes debt and equity securities classified as available f

37. Slide 37: 3Q10 Impairments

    3Q10 Impairments CNO ($ millions) Amount Amount Recognized Recognized Gross through through Net Amounts AOCI/L Income Corporates $1.5 $0.0 $1.5 Alt-A 0.0 (1.7) 1.7 CMBS 1.4 0.0 1.4 Commercial Mortgage Loans 14.0 0.0 14.0 Other 5.9 0.0 5.9 Total $22.8 ($1.7) $24.5 CNO Financial Group 37

38. Slide 38: Asset Allocation at 9/30/10

    Asset Allocation at 9/30/10* CNO ($ millions) $14,509 MTM reflects low market yields in $13,256 most credit sectors Market Value Book Value $1,826 $1,536 $1,515 $1,848 $1,234 $1,376 $1,311 $1,487 $1,457 $1,300 $1,305 $1,198 $607 $409 $613 $449 IG Corporates CMOs Mortgage HY Corporates CMBS Municipal

39. Slide 39: Investment Quality: Fixed Maturities

    Investment Quality: Fixed Maturities* CNO Fixed Maturities, available for sale, by Rating  92% investment grade: at 9/30/10 (Market Value) – Substantially unchanged <BBB – Ratings migration pattern 8% AAA 11% reverting to historical norms AA 9% BBB 46% A 26% 9/30/09 12/31/09 3/31/10 6/30/10 9/30/10

40. Slide 40: Alt-A at 9/30/10

    Alt-A at 9/30/10 CNO ($ millions) Market Value Book Value Avg. 60+ Avg. Accum. % of Rating (mil.) (mil.) % of Alt-A* Avg. FICO Avg. Support Delinq. Loss Portfolio* AAA $9.3 $9.2 4.2% 708 28.0% 12.9% 2.0% 0.04% AA 80.5 79.7 36.6% 712 19.9% 12.1% 0.8% 0.33% A 32.4 30.6 14.7% 713 11.0% 13.3% 1.1% 0.13%

41. Slide 41: Prime Jumbo at 9/30/10

    Prime Jumbo at 9/30/10 CNO ($ millions) Market Value Book Value % of Prime Avg. 60+ Avg. Accum. % of Rating (mil.) (mil.) Jumbo* Avg. FICO Avg. Support Delinq. Loss Portfolio* AAA $131.5 $134.5 15.7% 734 6.4% 2.5% 0.06% 0.54% AA 64.2 62.7 7.7% 738 7.9% 5.9% 0.39% 0.26% A 167.4 174.6 20.0% 730 22.0%

42. Slide 42: CMBS at 9/30/10

    CMBS at 9/30/10 CNO (GAAP book value - $ millions) Our CMBS exposure is heavily weighted towards securities with high ratings and seasoned vintages with relatively stronger qualitative characteristics. 2009 5.4% Pre-2004 20.6% 2007 AAA AA A BBB <BBB 22.2% 2004 Pre-2004 $200.5 $26.3 $33.2 $10.0 $0.0

43. Slide 43: CMBS at 9/30/10

    CMBS at 9/30/10 CNO ($ millions) Market Value Book Value Avg. 60+ Avg. Accum. % of Rating (mil.) (mil.) % of CMBS* Avg. Support Delinq. Loss Portfolio* AAA $1,200.2 $1,120.4 87.2% 38.4% 4.3% 0.4% 4.94% AA 99.8 100.8 7.3% 19.9% 3.0% 1.0% 0.41% A 47.0 52.3 3.4% 9.2% 2.2% 0.3% 0.19% BBB 27.6 35.0 2.0%

44. Slide 44: Commercial Mortgage Loans at 9/30/10

    Commercial Mortgage Loans at 9/30/10 CNO By Vintage By Property Type 2010 2009 2.5% 0.4% 2008 Indus. Other 18.1% 17.4% 0.2% 2004 and Prior Office 27.1% 37.5% 2007 2005 Retail 20.6% 12.0% 39.8% 2006 19.3% Multi- Family 5.1%  Current LTV of approximately 63%  Trailing debt service coverage ratio (DS

45. Slide 45: Summary CNO

    Summary CNO Stabilized earnings, generating excess capital Completed WNIC merger and CIG re-segmentation Focused on profitable growth Strengthened liquidity, improved RBC Positioned for early debt refinancing CNO Financial Group 45

46. Slide 46: Questions and Answers

    Questions and Answers CNO Financial Group 46

47. Slide 47: Appendix

    Appendix CNO Financial Group 47

48. Slide 48: Terminology Changes

    Terminology Changes We will also be making the following terminology changes in our financial reports to more accurately describe our business and/or for consistency with industry peers. Former term Current term Actively managed fixed maturities = Fixed maturities, available for sale Cost of policie

49. Slide 49: Covenant Metrics

    Covenant Metrics Prior Amendment Level CNO New 2011 Level* New 2012 Level Debt to Capital** Interest Coverage 35% 3.1x 32.5% 3.0x 2.8x 30% 30.0% 2.4x 25% 26.8% 20% 2.0x 1.7x 1.8x 2.0x 21.6% 21.6% 21.3% 21.2% 1.75x 15% 1.5x 10% 1.0x 5% 0% 0.0x 9/30/09 12/31/09 3/31/10 6/30/10 9/30/10 9/30/09 12/31/09

50. Slide 50: 3Q10 Liquidity

    3Q10 Liquidity CNO ($ millions) Cash Balance 06/30/10 $129.9 Sources Dividends from Insurance Subsidiary $96.0 Surplus Debenture Interest 12.3 Management and Investment Fees, Net 16.9 Total Sources $125.2 Uses Interest $14.1 Debt Repayments 0.0 Holding Company Expenses and Other 10.9 Capital Contrib

51. Slide 51: Operating Return on Allocated Capital Computation

    Operating Return on Allocated Capital Computation* Adjusted operating earnings for the purpose of calculating operating return on allocated capital is determined as follows: Washington Colonial Other CNO Bankers Life National Penn Business Corporate Total For twelve months ended September 30, 2010 S

52. Slide 52: Commercial Mortgage Loans at 9/30/10

    Commercial Mortgage Loans at 9/30/10 CNO Geographic Distribution New England 8.7% Pacific Middle 9.9% West North Atlantic Central East North 8.2% 12.3% Central Mountain 17.2% 9.9% East South South Central Atlantic 5.7% 22.0% West South Central 6.1% CNO Financial Group 52

53. Slide 53: Commercial Mortgage Loans at 9/30/10

    Commercial Mortgage Loans at 9/30/10 CNO ($ millions) By Maturity Post 2024 2018 $322 2017 $302 $277 2013 $157 2016 2015 $142 2014 $124 2022 2011 $91 $105 $74 2019 2012 2020 2023 $46 $60 $41 $48 2024 2010 2021 $24 $1 $12 CNO Financial Group 53

54. Slide 54: Collected Premiums

    Collected Premiums CNO ($ millions) Collected Premiums -Trailing 4 Quarters  Trailing 4 quarters down 17% – Decline at Bankers Life due 3Q09 $4,423.1 4Q09 to termination of PFFS $4,114.8 1Q10 OCB 2Q10 reinsurance contracts and $3,937.2 $3,819.6 3Q10 CP lower annuity sales, as $3,651.1 Washington ex

55. Slide 55: Segment Performance Bankers Life

    Segment Performance Bankers Life ($ millions) Pre-Tax Operating Income* 3Q10  Earnings of $95.5 million, up 12% 3Q09 $95.5 4Q09 $85.4 $84.6 – Increased earnings of $20 million due primarily to: 2Q10 $64.0 • Higher average yields on a larger 1Q10 asset base $53.2 • Improved Med Supp benefit ratio –

56. Slide 56: Premiums – Med Supp Bankers Life

    Premiums – Med Supp Bankers Life ($ millions) Med Supp – First-Year Premiums 2Q10 3Q10 4Q09 $29.4 1Q10 $29.3  First-year premiums up 29% $28.2 $27.2 3Q09 $22.7 Med Supp First-Year Prems.-Tr. 4 Qtrs: $86.5 $91.7 $99.2 $107.5 $114.1 Med Supp Total Premiums-Quarterly: $168.9 $173.8 $176.6 $168.8 $170.

57. Slide 57: Premiums – Long-Term Care Bankers Life

    Premiums – Long-Term Care Bankers Life ($ millions) Long-Term Care – First-Year Premiums*  Net first-year premiums* up 97%, 3Q09 4Q09 1Q10 reflecting reduction in new (Direct) (Direct) (Direct) 2Q10 (Direct) 3Q10 (Direct) $9.5 $9.8 $9.8 business reinsurance $9.0 $8.5 (Net) (Net) (Net) (Net) $5.9 $4

58. Slide 58: Premiums – Life Insurance Bankers Life

    Premiums – Life Insurance Bankers Life ($ millions) Life – First-Year Premiums 3Q10 3Q09 2Q10 4Q09 $25.8  Fluctuations in first-year $23.4 $23.0 $24.8 1Q10 premiums primarily reflect $20.2 variance in sales of single- SPWL $10.5 $12.4 $11.9 premium policies $10.8 $9.6 Non- $13.9 $12.9 SPWL $12.2 $1

59. Slide 59: Premiums – Annuity Bankers Life

    Premiums – Annuity Bankers Life ($ millions) Annuity – First-Year Premiums  First-year premiums down 7% 3Q09 2Q10 $284.0 $280.0 3Q10 $264.7 1Q10 4Q09 $223.1 $197.3 First-Year Prems.-Tr. 4 Qtrs: $1,270.3 $1,057.1 $979.1 $984.4 $965.1 Total Premiums-Quarterly: $284.7 $198.2 $224.4 $281.1 $265.8 CNO F

60. Slide 60: Annuity Surrenders Bankers Life

    Annuity Surrenders Bankers Life IA Surrenders  Total account value: 2Q09 (annualized quarterly rate) 4Q08 1Q09 12.4% 2Q10 – IAs - $1.9 billion 3Q08 10.9% 10.5% 3Q09 1Q10 10.5% 3Q10 9.8% 4Q09 9.7% 9.1% 9.2% – Non-IAs - $4.8 billion 8.3%  Average account value: – IAs - $1.8 – Non-IAs - $4.8 billion

61. Slide 61: Benefit Ratio – PDP Bankers Life

    Benefit Ratio* – PDP Bankers Life  Down 3.6 points, impacted by improved pricing and plan design 1Q10 2Q10 88.7% 89.8% changes 3Q09 4Q09 68.4% 3Q10 68.0% 64.4% *We calculate benefit ratios by dividing insurance policy benefits by insurance policy income. CNO Financial Group 61

62. Slide 62: Benefit Ratio – Med Supp Bankers Life

    Benefit Ratio* – Med Supp Bankers Life  3Q10 impacted by favorable 3Q09 1Q10 claims experience 72.4% 4Q09 71.7% 72.8% 2Q10 3Q10 70.7% 69.5% *We calculate benefit ratios by dividing insurance policy benefits by insurance policy income. CNO Financial Group 62

63. Slide 63: Interest-Adjusted Benefit Ratio – LTC Bankers Life

    Interest-Adjusted Benefit Bankers Life Ratio* – LTC 1Q10 2Q10 3Q10 3Q09 4Q09 75.2% 71.9% 73.2%  Stable results overall 70.4% 66.4%  3Q09 impacted by reserve releases related to policyholder actions following rate increases Trailing 4 Quarter Avg.: 68.2% 67.9% 69.6% 71.0% 71.7% Qtrly. non-int. adju

64. Slide 64: Segment Performance Washington National

    Segment Performance Washington National ($ millions) Pre-Tax Operating Income (Loss)*  Earnings of $27.2 million, down 6.5% 3Q09 – 3Q2009 favorably impacted by $29.1 4Q09 1Q10 $27.6 3Q10 $27.2 2Q10 reserve refinements related to $23.0 $21.1 supplemental health products of approximately $4 million P

65. Slide 65: Premiums – Med Supp Washington National

    Premiums – Med Supp Washington National ($ millions) Med Supp – First-Year Premiums  First-year collections down 68% – Focus on core products (i.e., supplemental health) 3Q09 $2.2 4Q09 $1.6 1Q10 2Q10 $1.2 $1.1 3Q10 $0.7 First-Year Prems.-Tr. 4 Qtrs: $8.0 $7.2 $6.9 $6.1 $4.6 Total Premiums-Quarterly

66. Slide 66: Premiums – Supplemental Health Washington National

    Premiums – Supplemental Health Washington National ($ millions) Supplemental Health – First-Year Premiums  NAP up 11% 4Q09 1Q10 2Q10 $13.1 3Q10 $13.0 3Q09 $12.5 – Increased focus on supplemental $11.8 $12.3 health products – Momentum increasing in Worksite market First-Year Prems.-Tr. 4 Qtrs: $43.6

67. Slide 67: Interest-Adjusted Benefit Ratio – Supplemental Health Insurance

    Interest-Adjusted Benefit Ratio* – Supplemental Health Insurance Washington National 2Q10 4Q09 1Q10 3Q10  Up 7.6 points vs. 3Q09 52.0% 49.1% 49.4% 50.5% 3Q09 42.9%  Non-interest adjusted ratio 81.3% vs. 3Q09 76.6% Trailing 4 Quarter Avg.: 41.2% 46.0% 47.8% 48.4% 50.3% Qtrly. non-int. adjusted: 76.

68. Slide 68: Segment Performance Colonial Penn

    Segment Performance Colonial Penn ($ millions) Pre-Tax Operating Income*  Earnings of $7.8 million, up 2Q10 3Q10 5.4% 3Q09 $7.4 $7.6 $7.8 4Q09 $5.9 1Q10 – Results for 3Q2010 reflect $5.3 favorable life margins PTOI-Trailing 4 Quarters: $30.2 $29.4 $29.6 $26.2 $26.6 Revenues-Quarterly: $58.1 $57.8 $

69. Slide 69: Premiums – Life Insurance Colonial Penn

    Premiums – Life Insurance Colonial Penn ($ millions) Life – First-Year Premiums  Sales (NAP) up 8% – YTD sales up 10% 3Q09 $7.9 4Q09 1Q10 $7.9 2Q10 $8.1 3Q10 $8.1 $7.5 – YTD lead generation up 42% First-Year Prems.-Tr. 4 Qtrs: $34.4 $33.0 $31.7 $31.4 $31.6 Total Premiums-Quarterly: $45.6 $48.9 $47.

70. Slide 70: Segment Performance Other CNO Business

    Segment Performance Other CNO Business ($ millions) Pre-Tax Operating Income (Loss)*  Losses of $24.4 million compared to 2Q10 3Q2009 losses of $7.5 million $8.8 – Additional amortization expense in interest sensitive products (-$13 million) 1Q10 – Write-off of PVFP on LTC block (-$6 -$1.9 3Q09 mil

71. Slide 71: Information Related to Certain Non-GAAP Financial Measures

    Information Related to Certain Non-GAAP Financial Measures The following provides additional information regarding certain non-GAAP measures used in this presentation. A non-GAAP measure is a numerical measure of a company’s performance, financial position, or cash flows that excludes or includes am

72. Slide 72: Information Related to Certain Non-GAAP Financial Measures

    Information Related to Certain Non-GAAP Financial Measures A reconciliation of net income applicable to common stock to net operating income (and related per-share amounts) is as follows (dollars in millions, except per-share amounts): 3Q09 4Q09 1Q10 2Q10 3Q10 Net income applicable to common stock $

73. Slide 73: Information Related to Certain Non-GAAP Financial Measures

    Information Related to Certain Non-GAAP Financial Measures Book value, excluding accumulated other comprehensive income (loss), per share This non-GAAP financial measure differs from book value per share because accumulated other comprehensive income (loss) has been excluded from the book value used

74. Slide 74: Information Related to Certain Non-GAAP Financial Measures

    Information Related to Certain Non-GAAP Financial Measures Operating return measures Management believes that an analysis of return before loss on extinguishment or modification of debt, net realized gains or losses, and increases to our valuation allowance for deferred tax assets (“net operating in

75. Slide 75: Information Related to Certain Non-GAAP Financial Measures

    Information Related to Certain Non-GAAP Financial Measures The calculations of: (i) operating return on allocated capital, excluding accumulated other comprehensive income (loss) and net operating loss carryforwards (a non-GAAP financial measure); and (ii) return on equity, for the twelve months end

76. Slide 76: Information Related to Certain Non-GAAP Financial Measures

    Information Related to Certain Non-GAAP Financial Measures A reconciliation of pretax operating earnings (a non-GAAP financial measure) to segment operating return (loss) and consolidated net income (loss) for the twelve months ended September 30, 2010, is as follows (dollars in millions): Bankers W

77. Slide 77: Information Related to Certain Non-GAAP Financial Measures

    Information Related to Certain Non-GAAP Financial Measures A reconciliation of average allocated capital (for the purpose of determining return on allocated capital), excluding accumulated other comprehensive income (loss) and net operating loss carryforwards (a non-GAAP financial measure) to averag

78. Slide 78: Information Related to Certain Non-GAAP Financial Measures

    Information Related to Certain Non-GAAP Financial Measures A reconciliation of consolidated capital, excluding accumulated other comprehensive income (loss) and net operating loss carryforwards (a non- GAAP financial measure) to common shareholders’ equity, is as follows (dollars in millions): (Cont

79. Slide 79: Information Related to Certain Non-GAAP Financial Measures

    Information Related to Certain Non-GAAP Financial Measures Debt to capital ratio, excluding accumulated other comprehensive income (loss) This non-GAAP financial measure differs from the debt to capital ratio because accumulated other comprehensive income (loss) has been excluded from the value of c

CNO Financial Group — Q3 2010 Earnings Presentation on 6ix