CNO Financial Group, Inc. · NYSE:CNO

CNO Financial — Q3 2011 Earnings Presentation

78 slides from CNO Financial's earnings presentation, Oct 26, 2011

1. Slide 1: 3Q11 Financial and operating results

   3Q11 Financial and operating results for the period ended September 30, 2011 October 26, 2011 Unless otherwise specified, comparisons in this presentation are between 3Q11 and 3Q10.

2. Slide 2: Forward-Looking Statements

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

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, value excluding accumulated other comprehensive income (loss) per share; operating re

4. Slide 4: CNO Financial Group

   CNO Financial Group 4

5. Slide 5: 3Q11: Summary

   3Q11: Summary CNO  Net income increased to $196.0 million, from $49.4 million  Net operating income* of $46.5 million, down 1%  Operating EPS of 17 cents per diluted share, up from 16 cents  Consolidated RBC at 359%, up 8 percentage points from 6/30/11 – Statutory earnings of $65 $65.5 5 million

6. Slide 6: 3Q11 Summary of Results

   3Q11 Summary of Results CNO ($ millions, except per-share amounts) Pre-Tax After Tax EPS Bankers Life $ 91 4 91.4 Washington National 22.1 Colonial Penn 8.1 Other CNO Business 2.0 Corporate operations and interest expense (46.2) Operating income* $ 77.4 $ 46.5 $ 0.17 Net realized investment gains 25

7. Slide 7: Quarterly Earnings

   Quarterlyy Earnings g CNO ($ millions) 3Q10 4Q10 1Q11 2Q11 3Q11 Bankers Life $ 95.5 $ 71.4 $ 63.9 $ 84.7 $ 91.4 Washington National 27 2 27.2 28 7 28.7 25 2 25.2 22 7 22.7 22 1 22.1 Colonial Penn 7.8 5.8 5.4 7.6 8.1 Other CNO Business (24.4) 6.0 7.1 4.8 2.0 Corporate operations, excluding interest e

8. Slide 8: Operating ROE

   Operating ROE CNO ($ millions) Operating ROE*, Trailing 4 Quarters  Increased ROE despite a 12% increase in average 4Q10 1Q11 2Q11 6.5% 3Q11 3Q10 6.3% 6.3% equity 5.5% 6.0% Average common shareholders’ equity, excluding AOCI/L and net operating loss $2,942.8 $3,048.5 $3,129.7 $3,217.4 $3,301.2 carr

9. Slide 9: Operating EPS

   Operating EPS* EPS (Diluted) CNO  Increased I d EPS reflects fl t share h 2Q11 buyback activity 3Q10 4Q10 $0.18 1Q11 $0.18 $0.20 3Q11 $0.17 $0.16 Weighted average diluted shares (in millions)**: 306.0 306.7 307.5 308.0 302.7 * Operating earnings per share exclude loss on extinguishment of debt, net

10. Slide 10: Book Value

    Book Value CNO ($ millions, except per-share amounts) 09/30/10 12/31/10 03/31/11 06/30/11 09/30/11 Shareholders' Equity (Excluding AOCI/L) $3,916.2 $4,087.0 $4,142.8 $4,190.5 $4,351.5 Accumulated Other Comprehensive Income 688.1 238.3 257.6 372.7 597.3 T l Shareholders' Total Sh h ld ' E Equity i $4

11. Slide 11: Pre/After Tax GAAP Operating Income

    Pre/After Tax GAAP Operating p g Income CNO ($ millions) $350.0 $325.3 $300.0 $281.6 $252.3 $117.7 $250.0 $99.7 $200.0 $87.7 $150.0 $100.0 $207.6 $164.6 $181.9 $50.0 $0.0 2009 2010 LTM as of 9/30/2011 Net Operating Income Tax Expense on Operating Income CNO Financial Group 11

12. Slide 12: Statutory Earnings Power

    Statutory ($ millions) y Earnings g Power CNO $550.0 $495.9 $450.0 $406.6 $411.6 $147.4 $350 0 $350.0 $132.4 $137.1 $250.0 $348.5 $150.0 $269.5 $279.2 $50.0 2009 2010 LTM as of 9/30/2011 -$50.0 Pre-Tax Operating Income Fees and Interest to Holding Company CNO Financial Group 12

13. Slide 13: Financial Strength

    Financial ($ millions) Strength g CNO Consolidated RBC Ratio* Liquidity 2Q11 3Q11 $234.0 2Q11 Q 359% 3Q10 351% $190.1 1Q11 1Q11 3Q11 4Q10 4Q10 341% $169.0 $168.9 $161.1 332% 3Q10 320% D bt tto Total Debt T t l Capital C it l RRatio** ti **  RBC increased to 359% in 3Q11 – Positive impact reflects i

14. Slide 14: Growth in the CNO Franchise

    Growth ($ millions) in the CNO Franchise CNO Average liabilities on actively marketed business segments are increasing, while OCB is shrinking $16,176.3 $ , $15 481 7 $15,481.7 $15,066.5 $703.8 $698.0 $693.6 $2,635.6 $2,676.8 $2,894.9 $12,836.9 $11,478.0 $12,106.9 $5 799 2 $5,799.2 $5,511.5 $5,255.9

15. Slide 15: 3Q Summary Bankers Life

    3Q Summary Bankers Life  Earnings of $91.4 million, down 4% – $3 million reduction in earnings from PDP product sales; – 3Q10 earnings included $6.5 million of favorable PFFS developments (business assumed through reinsurance agreements with Coventry which expired on January 1, 2010); ) – Partially

16. Slide 16: Bankers Life Sales and Distribution Results

    Sales and Distribution Results Bankers Life ($ millions) Quarterly NAP*  Strong sales results – Up 10% 4Q10 $68.5 2Q11 3Q11 • Life sales up 12% 3Q10 1Q11 $60.1 $60.7 $55.3 $55.2 • Med supp sales up 21%  Recruiting has been successful – New agent contracts up 9% over 2Q11 – Agent force growth up 6%

17. Slide 17: Medicare Supplement Update

    Medicare Supplement Update Bankers Life  Industry and Competition – Competitors continue to take rate increases in most markets – Received approval in 32 states for 4 tier product structure, offering gender specific and preferred rates – New pricing model includes lower rates for female preferred r

18. Slide 18: LTC Update

    LTC Update p Bankers Life  Stable financial results – Interest adjusted benefit ratio over the past several quarters in the 66 - 75% range range, reflecting ongoing claims management improvements and successfully gaining approval for rate increases where necessary  Rate increase activity continues

19. Slide 19: Bankers Life Quarterly Earnings

    Quarterly Earnings Bankers Life ($ millions) 3Q10 4Q10 1Q11 2Q11 3Q11 Insurance policy income $405.1 $394.2 $400.0 $409.6 $404.6 Net investment income: General account assets 182.4 187.7 191.3 196.5 194.3 Other portfolios 26.1 16.3 18.3 0.4 (36.3) Fee revenue and other income 3.6 4.2 2.3 3.3 3.6 Tot

20. Slide 20: 3Q Summary Washington National

    3Q Summary Washington National  Earnings of $22.1 million, down 19% – $6.0 million out-of-period p adjustment j in 3Q11 which reduced earnings; g ; – Partially offset by $1.0 million of additional spread earnings in 3Q11 on investments purchased with the proceeds of increased borrowings from the Fe

21. Slide 21: 3Q11 Sales Results Washington National

    3Q11 ($ millions) Sales Results Washington National $18.6 $18.0  Supplemental health sales up 3%  Life sales up 3% 3Q10 NAP 3Q11 NAP $0.8 $0.9 $0.4 $0.3 Life Medicare Supplement Supplemental Health CNO Financial Group 21

22. Slide 22: Washington National Quarterly Earnings

    Quarterly ($ millions) Earnings Washington National 3Q10 4Q10 1Q11 2Q11 3Q11 Insurance policy income $144.9 $146.0 $145.4 $146.6 $145.9 Net investment income: General account assets 46.2 46.7 46.3 46.7 47.3 Other portfolios 0.2 1.0 - - - Fee revenue and other income 0.3 0.3 0.3 0.2 0.4 Total revenue

23. Slide 23: 3Q Summary Colonial Penn

    3Q Summary Colonial Penn  Earnings g of $8.1 million,, up p 4% reflecting gggrowth in the block  Sales growth continues continues, NAP up 10%  Robust R b t llead d generation ti activity ti it continues ti CNO Financial Group 23

24. Slide 24: Colonial Penn Quarterly Earnings

    Quarterly ($ millions) Earnings Colonial Penn 3Q10 4Q10 1Q11 2Q11 3Q11 IInsurance policy li iincome $48 8 $48.8 $48 6 $48.6 $50 3 $50.3 $50 9 $50.9 $50 8 $50.8 Net investment income 9.9 10.0 10.3 10.5 10.1 Fee revenue and other income 0.2 0.2 0.2 0.2 0.2 Total revenues 58.9 58.8 60.8 61.6 61.1 Insur

25. Slide 25: Plans to Invest in Organic Growth

    Plans to Invest in Organic Growth  New COO role will focus on optimizing growth initiatives across the segments and achieving operational efficiencies to support that growth  In the process of launching several initiatives: – Bankers B k • Field Management Trainee Program • Top Gun Program – Washi

26. Slide 26: 3Q Summary Other CNO Business

    3Q Summary Other CNO Business  Earnings of $2.0 million, compared to $24.4 million loss – Approximately pp y$$13 million improvement p in margins g in the interest- sensitive life block; – $4 million of reduced legal costs; – A $6.0 $6 0 million write off of the present value of future profits rela

27. Slide 27: Quarterly Earnings (Losses) Other CNO Business

    Quarterly ($ millions) Earnings (Losses) Other CNO Business 3Q10 4Q10 1Q11 2Q11 3Q11 IInsurance policy li iincome $75 7 $75.7 $74 2 $74.2 $71 5 $71.5 $72 5 $72.5 $72 2 $72.2 Net investment income: General account assets 88.0 87.8 88.2 87.6 85.4 Other portfolios 8.5 7.3 6.5 (0.9) (10.8) Total revenue

28. Slide 28: Excess Capital

    Excess ($ millions) Capital CNO Approximately $110 million total excess capital as of 9/30/11 Consolidated RBC Ratio Liquidity 1Q11 2Q11 3Q11 3Q10 4Q10 351% 359% 332% 341% 320% 2Q11 $234.0 350%* 3Q10 $190.1 1Q11 3Q11 4Q10 Management Target = 300% $169.0 $168.9 $161.1 Management Target = $100 Approxi

29. Slide 29: Excess Capital Utilization Opportunities

    Excess Capital p Utilization Opportunities pp CNO  Debt Prepayment  Share Buybacks  Investing I ti ini B Business i ffor Additional Additi l Growth G th – Growth and expansion of distribution channels – Recapture reinsurance blocks  Holding Company Investment Portfolio – Utilize non-life operati

30. Slide 30: Share Repurchase & Debt Payments

    Share Repurchase p & Debt Payments y CNO  3Q Activity – Purchased 6.6 million shares during 3Q 2011 for $39.5 million – Average cost per share of $6.01 – 2.6% 2 6% of outstanding shares at June 30,30 2011 – Mandatory principal prepayment of $39.5 million made on Senior Secured Credit Facility on Se

31. Slide 31: Loss Carryforwards – Gross vs. Net

    GAAP Balances for Deferred Tax Asset as of 9/30/11: Loss Carryforwards – Gross1 vs. vs Net2 CNO ($ millions) Totals Gross Loss Carryforwards3 $1,855.1 $1 000 0 $1,000.0 Gross G $869.5 Valuation Allowance3 (938.4) $800.0 Net Net Loss Carryforwards $916.7 Gross $311.5 $614 8 $614.8 $143 decrease in $6

32. Slide 32: GAAP Valuation Allowance Reduction

    GAAP ($ millions) Valuation Allowance Reduction CNO  $143 million valuation allowance reduction in 3Q11; $95 million reduction in 4Q10  No longer in a 3-year cumulative loss position as of 9/30/2011  Achieved normalized taxable income in each of the last 12 quarters  Ability to model future incr

33. Slide 33: GAAP Valuation Allowance Model

    GAAP ($ millions) Valuation Allowance Model CNO Life NOLs Non-life NOLs expiring expiring expiring Capital loss through 2023 through 2023 Post 2023 carryforwards Total Net operating loss (“NOL”) NOL carryforwards $ 1,757 $ 1,996 $ 488 $ 1,009 $ 5,250 Potential unfavorable IRS ruling (631) 631 - - -

34. Slide 34: DAC Accounting Change: EITF-09G

    DAC Accounting g Change: g EITF-09G CNO C O  No change in the economics of our business – GAAP accounting change only – Will adopt d t retrospectively t ti l iin 1Q2012  Where and why CNO is expected to be impacted disproportionately: – Direct marketing at Colonial Penn – Career distribution at Ba

35. Slide 35: DAC Accounting Change: Estimated Impact Illustration – Colonial Penn

    DAC Accounting Change: CNO Estimated Impact Illustration Ill stration – Colonial Penn ($ millions) TY - 2010 Restated for EITF-09G New Reported Total In-force business New annualized premiums $ 46.4 $ 46.4 $ - $ 46.4 Premiums $ 193.5 $ 193.5 $ 161.2 $ 32.3 Investment/other income 41.5 41.5 41.5 - Be

36. Slide 36: DAC Accounting Change: Estimated Impact Illustration – Colonial Penn

    DAC Accounting Change: CNO Estimated Impact Illustration Ill stration – Colonial Penn ($ millions) Colonial Penn - GAAP EBIT Restated for EITF-09G: New Business vs Inforce $40.0 $35.3 $32.8 $30.0 $30.0 $20.0 $10.0 $5.7 $0.7 $- $(10.0) $(10.9) $(20.0) $(27.0) $(30.0) $(34.6)) $( $(40.0) $(40.9) $(50.

37. Slide 37: DAC Accounting Change: Estimated Impacts of EITF-09G

    DAC Accounting Change: t off EITF-09G E ti t d Impacts Estimated I EITF 09G CNO September 30, 2011 Pro Forma Aggregate Per Diluted Share Annual Net Reduction of 9¢ to 12¢ Income $29 million illi tto $34 million illi Book Value Reduction of $1.50 to $1.70 excluding $ $465 million to $ $510 million AO

38. Slide 38: DAC Accounting Change: Potential Management Actions

    DAC Accounting Change: CNO C O Potential Management Actions  Business Model – Modify sales and marketing compensation (e.g. Bankers agents and Colonial Penn telemarketers) – Reinsurance and other transactions  Develop Non-GAAP Measures to Disclose Impacts  Planning to host a call in December to p

39. Slide 39: Impact of Sustained Low-Interest Rate Environment

    Impact of Sustained Low-Interest CNO R Rate E Environment i  Factored into 3Q10 and 3Q11 loss recognition testing – Assumed continuation of current interest rates through the end of the next calendar year – Resulted in charges of approximately $13 million in both 2010 and 2011  Statutory Reserves

40. Slide 40: Net Investment Income

    Net Investment Income ($ millions) CNO General Account Investment Income 2Q11 3Q11  Relatively stable yield progression despite low 4Q10 1Q11 $342.2 $338.2 interest rate environment 3Q10 $336.1 $332.2 $326.5  Year over year increase in investment income primarily due to growth in assets including

41. Slide 41: Realized Gains/Losses Recognized through Net Income

    Realized Gains/Losses Recognized th through hNNett IIncome CNO ($ millions) 3Q10 4Q10 1Q11 2Q11 3Q11 Gross Gains $101.5 $138.8 $43.5 $29.7 $74.5 Gross Losses ((73.4)) ((13.5)) ((25.1)) ((16.7)) ((41.0)) Losses due to recognition of other-than-temporary impairments recognized in earnings (24.5) (77.1

42. Slide 42: Unrealized Gain/Loss

    Unrealized Gain/Loss* Gain/Loss CNO ($ millions) Unrealized Gain % of Invested Assets 1,800 8% Unrealized Gain 1,600 7% % of Invested Assets 1,400 6% 1,200 5% 1,000 4% 800 3% 600 2% 400 200 1% 0 0% 3Q 2010 4Q 2010 1Q 2011 2Q 2011 3Q 2011 *Includes *I l d d debt bt and d equity it securities iti clas

43. Slide 43: Impairments

    Impairments ($ millions) CNO Impairments (ex. IGA) trending lower reflecting improved portfolio quality and 25.0 favorable credit market conditions $22.8 Commercial Mortgage Loans Corporates 20.0 Alt-A / Prime Jumbo ABS RMBS/ CMBS Subprime Municipals CDO 15.0 Other 10.0 $6.9 $6.4 $5.0 5.0 $2 9 $2.9

44. Slide 44: Commercial Mortgage Loans at 9/30/11

    Commercial Mortgage Loans at 9/30/11 CNO By Vintage By Property Type 2011 2010 Multi- Other 4.5% 4 9% 4.9% Family 2 0% 2.0% 2009 4.4% 0.5% 2004 2004 and and Industrial Prior Prior 2008 17.3% 26.2% 25.8% 18.8% 2008 19.7% Retail 2005 40.8% 2005 9.3% 2007 Office 8.0% 20.2% 35.5% 2006 2007 2006 17.8% 20

45. Slide 45: Asset Allocation at 9/30/11

    Asset Allocation at 9/30/11* 9/30/11 CNO ($ millions) MTM reflects low market yields in $14,875 most credit sectors $13,483 Market Value Book Value $2,235 $2,139 $1,959 $1,780 $1,777 $1,648 $957 $1,003 $1,434 $1,393 $907 $904 $1,362 $1,405 $466 $452 IG Corporates CMOs Mortgage HY Corporates CMBS Mun

46. Slide 46: Investment Quality: Fixed Maturities

    Investment Quality: Fixed Maturities* Maturities CNO Fixed Maturities, available for sale, by Rating at 9/30/11 (Market Value) <BBB AAA  92% investment grade 8% 13%  Corporate bond ratings trending positive on AA fundamentals, offset by increase in M&A / 10% corporate actions BBB  RMBS ratings er

47. Slide 47: Holding Company Investments at 9/30/11

    Holding ($ millions) g Company p y Investments at 9/30/11 CNO Current Investments Long Term Target Allocation Cash & Cash and Money Market $ $54.9 Money Market Fixed Income (net) 66.0 $25 Fixed Income Equities 16.1 (net) Alternatives 31 9 31.9 $75 TOTAL $168.9 Alternatives & Equities (Balance) CNO F

48. Slide 48: European Debt by Select Countries

    European Debt by Select Countries CNO ($ millions) Sovereigns Corporates Banks Total Market Portugal $ - $ - $ - $ - $ - Italy - 26.1 - 26.1 22.6 Greece - - - - - Spain - 63.9 42.1 106.0 98.9 Total $ - $ 90.0 $ 42.1 $ 132.1 $ 121.5 CNO Financial Group 48

49. Slide 49: Operating Return on Allocated Capital

    Operating Return on Allocated Capital CNO Proforma f Impact Excluding OCB OC (simplified ( f illustration)) (as of September 30, 2011) CNO Consolidated Other CNO CNO (as reported)* Business (OCB) (Excluding OCB) Adjusted operating earnings $207.6 $0.3 $207.3 All Allocated t d capital it l $3 301 2 $

50. Slide 50: Summary

    Summary CNO  Core business continues to perform well – Solid earnings continued in 3Q – Sales grew 8%  Financial strength and credit profile continue to improve – Generating g significant g amounts of excess capital – Statutory capital and RBC continue to increase – Leverage at 18% and decreasing

51. Slide 51: Questions and Answers

    Questions and Answers CNO Financial Group 51

52. Slide 52: Appendix

    Appendix CNO Financial Group 52

53. Slide 53: Covenant Metrics

    Covenant Metrics CNO Covenants levels per agreement Debt to Capital* Interest Coverage Ratio 35% 6.0 30% 30.0% 50 5.0 5.0 4.5 25% 21.2% 20.0% 19.2% 20% 18.7% 18.0% 4.0 3.6 15% 3.0 10% 2.0 2.0x 5% 1.0 ** ** 0% 0.0 9/30/10 12/31/10 3/31/11 6/30/11 9/30/11 9/30/10 12/31/10 3/31/11 6/30/11 9/30/11 2,000

54. Slide 54: 3Q11 Holding Company Liquidity

    3Q11 Holding Company Liquidity CNO ($ millions) 3Q YTD 2011 2011 Cash and Investments Balance - Beginning $234.0 $161.1 Sources Dividends from Insurance Subsidiaries 27.4 165.4 Dividends from Non-Life Affiliates 3.5 3.5 Surplus Debenture Interest 22.7 * 46.8 * Service S i and d IInvestment t t Fees,

55. Slide 55: Debt Maturity Profile

    Debt ($ millions) Maturity Profile $327 CNO $275 $293 (1) $275 $85 $80 $75 $45 $55 $85 $20 $75 $25 $25 $34 2011 2012 2013 2014 2015 2016 2017 2018 Sr. Health Note Term Loan Convertible 9% Notes (1) Conversion price is $5.49. CNO can force conversion after 6/30/13 if CNO stock trades above $7.69 for

56. Slide 56: Operating Return on Allocated Capital Computation

    Operating Return on Allocated Capital Computation* ($ millions) 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 Septemb

57. Slide 57: Prime Jumbo at 9/30/11

    Prime Jumbo at 9/30/11 CNO ($ millions) Market M k t Value V l B kV Book Value l % off Prime Pi Avg. 60+ A Avg. A A Accum. % off Rating (mil.) (mil.) Jumbo* Avg. FICO Avg. Support Delinq. Loss Portfolio* AAA $72.3 $70.9 7.1% 731 11.2% 6.2% 0.22% 0.28% AA 42.1 42.3 4.2% 738 21.0% 6.5% 1.01% 0.16% A 2

58. Slide 58: CMBS at 9/30/11

    CMBS at 9/30/11 CNO ($ millions) Our CMBS exposure is heavily weighted towards AAA-rated securities with substantial credit support, and seasoned vintages 2010 1.8% 2011 with relatively stronger qualitative characteristics. 2009 4.8% 3.9% AAA AA A BBB 2008 0 6% 0.6% Pre-2004 P 2004 16.8% Pre-2004 $

59. Slide 59: CMBS at 9/30/11

    CMBS at 9/30/11 CNO ($ millions) Market Value Book Value Avg. g 60+ Avg. g Accum. % of Rating (mil.) (mil.) % of CMBS* Avg. Support Delinq. Loss Portfolio* AAA $1,142.0 $1,089.7 79.7% 29.6% 4.6% 1.1% 4.40% AA 221.3 229.3 15.4% 21.8% 6.6% 1.3% 0.85% A 60 8 60.8 63 2 63.2 4 2% 4.2% 12 % 12.5% 2 0% 2.0

60. Slide 60: Commercial Mortgage Loans at 9/30/11: Geographic Distribution

    Commercial Mortgage g g Loans at 9/30/11 CNO Geographic Distribution New England Ne 7.8% Pacific Middle 10.6% West North Atlantic Central East North 8 4% 8.4% 14.8% Central Mountain 16.0% 10.8% East South South Central Atlantic 3.0% 22.2% West South C t l Central 6.4% CNO Financial Group 60

61. Slide 61: Commercial Mortgage Loans at 9/30/11: By Maturity

    Commercial Mortgage g g Loans at 9/30/11 CNO ($ millions) Remaining Principal Balance By Maturity Post 2025 $298 2018 2017 $262 $248 2013 $145 2016 2015 2022 2014 $119 $98 $102 $83 2021 2025 2012 2019 2023 2020 $51 $58 $34 $50 $46 2024 2011 $37 $24 $3 CNO Financial Group 61

62. Slide 62: Premiums Collected

    Premiums Collected CNO ($ millions) Collected Premiums -Trailing 4 Quarters  Trailing 4 quarters down 2% – Stable results at Bankers Life 3Q10 4Q10 1Q11 2Q11 3Q11 $3,651.1 $3,590.1 $3,586.7 $3,578.6 (excluding PFFS), Washington $3,580.2 National and Colonial Penn National, BLC PFFS – Decline at OCB

63. Slide 63: Premiums Collected – Med Supp

    Premiums ($ millions) Collected – Med Supp Bankers Life Med Supp – First-Year Premiums 3Q10 4Q10 $29.3 $30.5  First-year premiums down 16% 1Q11 $25.1 2Q11 $24.7 3Q11 $24.5 Med Supp First-Year Prems.-Tr. 4 Qtrs: $114.1 $116.4 $114.3 $109.6 $104.8 Med Supp Total Premiums-Quarterly: $170.1 $182.3 $178

64. Slide 64: Premiums Collected – LTC

    Premiums Collected – LTC Bankers Life ($ millions) Long-Term Care – First-Year Premiums*  Net first-year premiums up 4%, 3Q10 (Direct) 4Q10 1Q11 (Direct) 2Q11 3Q11 reflecting reduction in new $8.5 $8.2 (Direct) $7.6 (Direct) (Direct) $7.4 $7.3 business reinsurance (Net) (Net) (Net) (Net) (Net) $5.7

65. Slide 65: Premiums Collected – Life

    Premiums ($ millions) Collected – Life Bankers Life Life – First-Year Premiums 3Q11 2Q11  First-year First year premiums up 20% 4Q10 $29.4 $ $30.9 3Q10 $26.9 1Q11 $25.8 $24.7 $14.3 $15.5 $12.3 SPWL $11.9 $11 0 $11.0 Non Non- $14.6 $15.4 $13 9 $13.9 $13 7 $13.7 $15 1 $15.1 SPWL First-Year Prems – Tr

66. Slide 66: Premiums Collected – Annuity

    Premiums ($ millions) Collected – Annuity Bankers Life Annuity – First-Year Premiums  First-year premiums down 1% 3Q10 2Q11 3Q11 $264.7 4Q10 $258.0 $263.1 1Q11 $233.4 $221.3 First-Year Prems – Tr. 4 Qtrs: $965.1 $1,001.2 $999.4 $977.4 $975.8 Total Premiums - Quarterly: $265 8 $265.8 $234 4 $234.4 $

67. Slide 67: Premiums Collected – Supplemental Health

    Premiums Collected – Supplemental ($ millions) Health Washington National Supplemental Health – First-Year Premiums  First-year Fi t premiums i up 2% 4Q10 2Q11 3Q10 1Q11 $13.7 3Q11 $13.4 $13.2 $13.2 $13.0 First-Year Prems – Tr. 4 Qtrs: $50.9 $52.0 $52.7 $53.3 $53.5 Total Premiums - Quarterly: $101.

68. Slide 68: Premiums Collected – Life Colonial Penn

    Premiums ($ millions) Collected – Life Colonial Penn Life – First-Year Premiums  First-year premiums up 10% 1Q11 2Q11 3Q11 3Q10 4Q10 $8.7 $8.6 $8.9 $8.1 $8.2 First-Year Prems – Tr. 4 Qtrs: $31.6 $32.3 $33.1 $33.6 $34.4 Total Premiums - Quarterly: $46.9 $46.8 $49.4 $48.5 $49.2 NAP – Quarterly: $11.5

69. Slide 69: 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

70. Slide 70: 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): 3Q10 4Q10 1Q11 2Q11 3Q11 Net income applicable to common stock $

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

    Information Related to Certain Non-GAAP Financial Measures A reconciliation of operating income and shares used to calculate basic and diluted operations earnings per share is as follows (dollars in millions, except per-share amounts, and shares in thousands): 3Q10 4Q10 1Q11 2Q11 3Q11 Operating inco

72. Slide 72: 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

73. Slide 73: 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 of debt, net realized gains or losses, fair value changes due to fluctuations in the interest rates used to discount embedded derivative l

74. Slide 74: 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

75. Slide 75: 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, 2011, is as follows (dollars in millions): Bankers W

76. Slide 76: 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

77. Slide 77: 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

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

    Information Related to Certain Non-GAAP Financial Measures Debt to capital ratio 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 valu

CNO Financial Group — Q3 2011 Earnings Presentation on 6ix