CNO Financial Group, Inc. · NYSE:CNO

CNO Financial — Q4 2011 Earnings Presentation

73 slides from CNO Financial's earnings presentation, Feb 23, 2012

1. Slide 1: 4Q11 Financial and operating results

   4Q11 Financial and operating results for the period ended December 31, 2011 February 23, 2012 Unless otherwise specified, comparisons in this presentation are between 4Q11 and 4Q10.

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, excluding accumulated other comprehensive income (loss) per share; operating return m

4. Slide 4: CNO Financial Group

   ao CNO FINANCIAL GROUP CNO Financial Group

5. Slide 5: Summary

   Summary CNO  Our businesses continue to perform well – Solid earnings continued throughout 2011 – Sales in the quarter grew 6% over 4Q2010  Financial strength and credit profile continue to improve – Generating significant amounts of excess capital – Statutory capital and RBC continued to increase

6. Slide 6: Operating EPS (Diluted)

   Operating EPS* (Diluted) CNO 2011 Earnings Growth Drivers: $0.76 2010  Business growth and retention $0.65  NGE and premium rate increases  Favorable claim developments  Proactive capital deployment Weighted average diluted shares (in millions)**: 301.9 304.1 * Operating earnings per share exclu

7. Slide 7: Operating ROE

   Operating ROE CNO ($ millions)  Earnings up 19% over 2010 Operating ROE*, Trailing 4 Quarters  Average common shareholders’ equity up 11% over 2010 2011 6.4% 2010  Levers to improve ROE 6.0% – Improving OCB through NGE changes – Layering on new business with 12+% after-tax, unlevered return – Eff

8. Slide 8: Growth in the CNO Franchise

   Growth ($ millions) in the CNO Franchise CNO Average liabilities on core business segments are increasing, while OCB is shrinking $16,106.8 $15,481.7 $704.0 $15,066.5 $698.0 $693.6 $2,637.6 $2,676.8 $2,894.9 $12,765.2 $12,106.9 $11,478.0 $5,799.2 $5,511.5 $5,286.1 2009 2010 2011 CNO Financial Group

9. Slide 9: Financial Strength

   Financial ($ millions) Strength CNO Liquidity Debt to Total Capital Consolidated RBC Ratio* Ratio** 2011 2011 358% 2010 2010 $202.8 20.0% 332% 2011 2010 17.1% $161.1 Strong capital generation driving key financial strength measures * Risk-Based Capital (“RBC”) requirements provide a tool for insuran

10. Slide 10: 2011: A Year of Accomplishments

    2011: A Year of Accomplishments CNO Financial strength and credit profile further improved Continued to generate significant excess capital Maintained focus on growing the franchise and brands Progress recognized in ratings upgrades CNO Financial Group 10

11. Slide 11: 2011 Core Business Review

    2011 Core Business Review Continued to improve performance across all core segments  Branch expansion helped generate increases in sales and agent force  Continued stability in LTC line  Manager Trainee Program currently hiring/recruiting first class of trainees  PMA sales benefited from agent r

12. Slide 12: 4Q11 Core Segment Results - EBIT

    4Q11 Core Segment Results - EBIT ($ millions) $87.2  Bankers Life earnings up 22% $71.4  Washington National earnings up 2%  Colonial Penn earnings up 7% $28.7 $29.2 $5.8 $6.2 4Q2010 4Q2011 4Q2010 4Q2011 4Q2010 4Q2011 Bankers Life Washington National Colonial Penn CNO Financial Group 12

13. Slide 13: 4Q11 Sales and Distribution Results Bankers Life

    4Q11 Sales and Distribution Results Bankers Life ($ millions) Quarterly NAP*  Sales results – Up 2% 4Q10 4Q11 $68.6 $69.8 3Q11 • Life sales up 7% 1Q11 2Q11 $60.8 $60.1 • LTC sales up 6% $55.2  Recruiting has been successful – New agent contracts up 25% – Agent force grew 11% in 2011  Sales of par

14. Slide 14: Bankers Life Long Term Care

    Long Term Care Bankers Life Proactive management of risk and profitability resulting in continued stability in our LTC business…  Bankers business model utilizing exclusive distribution, and a focus on middle income 65+ target market dictates the sale of a lower risk profile set of individually und

15. Slide 15: 4Q11 Sales and Distribution Results Washington National

    4Q11 Sales and Distribution Results Washington National ($ millions) $18.9  Core product sales (supplemental $17.5 health and life) up 14%  Investment in life sales gaining traction  PMA new producing agents 131, up 7%; and WNIC Independent new producing IMO’s 21, up 91% 4Q10 NAP 4Q11 NAP $1.8 $0

16. Slide 16: 4Q11 Sales and Distribution Results Colonial Penn

    Colonial Penn 4Q11 Sales and Distribution Results Quarterly NAP 1Q11  Sales growth continues, NAP up $13.6 2Q11 3Q11 4Q11 $12.8 $12.7 29% $12.3 4Q10 $9.5  Robust lead generation activity continues  Quarterly results in 2011 were in line with expectations and reflect seasonality CNO Financial Grou

17. Slide 17: 2012 Outlook

    2012 Outlook Strong start with Sales Up In All 3 Core Segments and Positioned Well To Serve Our Target Market  Strong agent force metrics entering 2012 put us in a position to further capitalize on the growth in our market  Expect headwinds in fixed annuity sales for 2012 as a result of pulling pr

18. Slide 18: 4Q11 and 2011 Consolidated Summary

    4Q11 and 2011 Consolidated Summary CNO  Operating Income* & ROE: - 4Q operating income of $60 million or 22 cents per diluted share up 16% and 22% respectively - 2011 ROE of 6.4% up 40 basis points with increase in average equity of 11% - Book value per share (excluding AOCI) increased 12% to $18.2

19. Slide 19: Segment Earnings Trends

    Segment Earnings Trends CNO ($ millions) 4Q10 1Q11 2Q11 3Q11 4Q11 Bankers Life $ 71.4 $ 63.9 $ 84.7 $ 91.4 $ 87.2 Washington National 28.7 25.2 22.7 22.1 29.2 Colonial Penn 5.8 5.4 7.6 8.1 6.2 Other CNO Business 6.0 7.1 4.8 2.0 (0.5) Corporate operations, excluding interest expense (13.7) (0.5) (11.

20. Slide 20: Statutory Earnings Power and Cash Generation

    Statutory Earnings Power and CNO Cash ($ millions) Generation 2010 2011 Observations:  Statutory earnings increased 39% to $363 million $154.1 $346.7  Attractive ratio of statutory to $180.5 GAAP earnings expected to continue $209.2 $209.0 ** $209.0 $81.0 $81.0  Earnings retained in support of ca

21. Slide 21: Corporate Liquidity Trend

    Corporate Liquidity Trend Recurring Sources and Uses Including Dividends and CNO Scheduled Debt Payments ($ in millions) Observations: $346.7  Free cash flow after recurring uses increased by $100 million $209.0 * $209.2  Steady improvement on interest $81.0 coverage reaching 5x in 2011 $139.1 $14

22. Slide 22: Excess Capital

    Excess ($ millions) Capital CNO Approximately $140 million total excess capital as of 12/31/11 Consolidated RBC Ratio Liquidity 4Q10 1Q11 2Q11 3Q11 4Q11 332% 341% 351% 359% 358% 2Q11 350%* $234.0 4Q11 $202.8 Management Target = 300% 1Q11 3Q11 4Q10 $169.0 $168.9 $161.1 Management Target = $100 Approx

23. Slide 23: Actively Managing Interest Rate Risk

    Actively Managing Interest Rate Risk CNO  Factored into Loss Recognition Testing – Assumed continuation of current interest rates through the end of the next calendar year – Resulted in 3Q charges of approximately $13 million (pre-tax) in both 2010 and 2011  Statutory Reserves and Capital – Sustai

24. Slide 24: 2012 Outlook

    2012 Outlook CNO  DAC Impact (Adoption of ASU 2010-26) : - Revised estimated 2011 Pro Forma impacts based on sales momentum - EPS impact of approximately 15 cents per diluted share - Approximate book value impact of $580 million or $1.96 per diluted share - Exploring alignment of certain commission

25. Slide 25: Net Investment Income

    Net Investment Income ($ millions) CNO General Account Investment Income 2Q11 3Q11 4Q11  Relatively stable new money and 4Q10 1Q11 $336.1 $342.2 $338.2 $344.2 $332.2 earned yield progression despite low interest rate environment  Year over year increase in investment income primarily due to growth

26. Slide 26: Realized Gains/Losses Recognized through Net Income

    Realized Gains/Losses Recognized through Net Income CNO ($ millions) 4Q10 1Q11 2Q11 3Q11 4Q11 Gross Gains $138.8 $43.5 $29.7 $74.5 $41.9 Gross Losses (13.5) (25.1) (16.7) (41.0) (10.4) Losses due to recognition of other-than-temporary impairments recognized in earnings (77.1) (13.3) (10.1) (2.9) (8.

27. Slide 27: Impairments

    Impairments ($ millions) CNO Impairments remain low reflecting stable portfolio quality $14 $13.3 $12 $10.1 $10 $8.3 $8 $6 $4 $2.9 $2 $0 1Q11 2Q11 3Q11 4Q11 IGA Corporates Alt-A / Prime Jumbo ABS RMBS/ CMBS Subprime Municipals CDO Commercial Mortgage Loans Other CNO Financial Group 27

28. Slide 28: Unrealized Gain/Loss

    Unrealized Gain/Loss* CNO ($ millions) Unrealized Gain % of Invested Assets $2,000 8% $1,800 Unrealized Gain 7% % of Invested Assets $1,600 6% $1,400 5% $1,200 $1,000 4% $800 3% $600 2% $400 1% $200 $0 0% 4Q 2010 1Q 2011 2Q 2011 3Q 2011 Q4 2011 *Includes debt and equity securities classified as avai

29. Slide 29: Holding Company Investments at 12/31/11

    Holding ($ millions) Company Investments at 12/31/11 CNO Current Investments Long Term Target Allocation Cash & Cash and Money Market $87.9 * Money Market Fixed Income (net) 68.9 $25 Fixed Income Equities 17.8 (net) Alternatives 28.2 $75 TOTAL $202.8 Alternatives & Equities (Balance) * Amount is net

30. Slide 30: Asset Allocation and Quality at 12/31/11

    Asset Allocation and Quality at 12/31/11* CNO ($ millions) Book Value by Allocation Investment Quality: Fixed Maturities Govts/Agency 1.4% Cash & <BBB Other AAA ABS 6.0% 9% 11% 5.7% AA Municipals 10% 7.3% CMBS 5.5% IG Corporates 54.7% HY Corporates BBB 4.3% 47% A Mortgage Loans 23% 6.5% CMOs 8.6% Re

31. Slide 31: 2011 Summary and Outlook

    2011 Summary and Outlook CNO Market Observations What we are doing…  Many market participants appear to be increasing HG  Remain somewhat cautious on credit after the corporate allocations without offsetting increase in recent rally supply  Realize spreads could tighten  Most structured credit m

32. Slide 32: CNO Value Proposition

    CNO Value Proposition  Above average growth potential; expected sales growth of 8-12% annually – Percentage of the population 65 years old and older projected to increase by 50% in Growth twenty years Well – On average, over 10,000 Americans will turn 65 each day through 2030 Positioned in  Broad

33. Slide 33: CNO: Well Positioned in Growing & Underserved Markets

    CNO: Well Positioned in Growing & Underserved Markets  The middle-income, pre-retiree, and retirement markets are growing as the Boomers age  These markets need simple, straightforward products that help address payment of healthcare expenditures, adequacy of retirement, and leaving a legacy for l

34. Slide 34: Questions and Answers

    Questions and Answers CNO Financial Group 34

35. Slide 35: Appendix

    Appendix CNO Financial Group 35

36. Slide 36: Pre/After Tax GAAP Operating Income

    Pre/After Tax GAAP Operating Income CNO ($ millions) $350.0 $343.1 $300.0 $281.6 $127.1 $252.3 $250.0 $99.7 $200.0 $87.7 $150.0 $100.0 $216.0 $181.9 $164.6 $50.0 $0.0 2009 2010 2011 Net Operating Income Tax Expense on Operating Income CNO Financial Group 36

37. Slide 37: Quarterly Earnings

    Quarterly Earnings CNO ($ millions) 4Q10 1Q11 2Q11 3Q11 4Q11 Bankers Life $ 71.4 $ 63.9 $ 84.7 $ 91.4 $ 87.2 Washington National 28.7 25.2 22.7 22.1 29.2 Colonial Penn 5.8 5.4 7.6 8.1 6.2 Other CNO Business 6.0 7.1 4.8 2.0 (0.5) Corporate operations, excluding interest expense (13.7) (0.5) (11.3) (2

38. Slide 38: Quarterly Earnings Bankers Life

    Quarterly Earnings Bankers Life ($ millions) 4Q10 1Q11 2Q11 3Q11 4Q11 Insurance policy income $394.2 $400.0 $409.6 $404.6 $398.2 Net investment income: General account assets 187.7 191.3 196.5 194.3 198.2 Other portfolios 16.3 18.3 0.4 (36.3) 3.6 Fee revenue and other income 4.2 2.3 3.3 3.6 4.6 Tota

39. Slide 39: Quarterly Earnings Washington National

    Quarterly ($ millions) Earnings Washington National 4Q10 1Q11 2Q11 3Q11 4Q11 Insurance policy income $146.0 $145.4 $146.6 $145.9 $147.2 Net investment income: General account assets 46.7 46.3 46.7 47.3 49.1 Other portfolios 1.0 - - - 0.1 Fee revenue and other income 0.3 0.3 0.2 0.4 0.1 Total revenue

40. Slide 40: Quarterly Earnings Colonial Penn

    Quarterly ($ millions) Earnings Colonial Penn 4Q10 1Q11 2Q11 3Q11 4Q11 Insurance policy income $48.6 $50.3 $50.9 $50.8 $51.0 Net investment income 10.0 10.3 10.5 10.1 10.2 Fee revenue and other income 0.2 0.2 0.2 0.2 0.3 Total revenues 58.8 60.8 61.6 61.1 61.5 Insurance policy benefits 36.1 38.5 37.

41. Slide 41: Quarterly Earnings Other CNO Business

    Quarterly ($ millions) Earnings Other CNO Business 4Q10 1Q11 2Q11 3Q11 4Q11 Insurance policy income $74.2 $71.5 $72.5 $72.2 $73.8 Net investment income: General account assets 87.8 88.2 87.6 85.4 85.7 Other portfolios 7.3 6.5 (0.9) (10.8) 2.4 Total revenues 169.3 166.2 159.2 146.8 161.9 Insurance po

42. Slide 42: 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 Decembe

43. Slide 43: Premiums Collected

    Premiums Collected CNO ($ millions) Collected Premiums -Trailing 4 Quarters  Trailing 4 quarters down .3% – Stable results at Bankers Life, 4Q10 1Q11 2Q11 3Q11 4Q11 Washington National, and $3,590.1 $3,586.7 $3,578.6 $3,580.2 $3,577.6 Colonial Penn – OCB declining primarily due to continued run-off

44. Slide 44: Premiums Collected – Med Supp Bankers Life

    Premiums ($ millions) Collected – Med Supp Bankers Life Med Supp – First-Year Premiums 4Q10 $30.5 4Q11 1Q11 $27.0  First-year premiums down 2Q11 3Q11 $25.1 $24.7 $24.5 11%; 2011 impacted by 1Q11 elevated lapses Med Supp First-Year Prems.-Tr. 4 Qtrs: $116.4 $114.3 $109.6 $104.8 $101.3 Med Supp Total

45. Slide 45: Premiums Collected – LTC Bankers Life

    Premiums Collected – LTC Bankers Life ($ millions) Long-Term Care – First-Year Premiums*  Net first-year premiums 4Q10 (Direct) 1Q11 2Q11 3Q11 4Q11 down 11% $8.2 (Direct) $7.6 (Direct) $7.4 (Direct) $7.3 (Direct) $7.1 (Net) (Net) (Net) (Net) (Net) $6.2 $6.1 $6.0 $5.9 $5.5 First-Year Prems – Tr. 4 Q

46. Slide 46: Premiums Collected – Life Bankers Life

    Premiums ($ millions) Collected – Life Bankers Life Life – First-Year Premiums 3Q11 4Q11 2Q11 $30.9 $30.8  First-year premiums up 14% 4Q10 $29.4 $26.9 1Q11 due to higher SPWL sales $24.7 $15.4 $14.3 $15.5 $12.3 SPWL $11.0 Non- $14.6 $15.1 $15.4 $15.4 $13.7 SPWL First-Year Prems – Tr. 4 Qtrs: $97.7

47. Slide 47: Premiums Collected – Annuity Bankers Life

    Premiums ($ millions) Collected – Annuity Bankers Life Annuity – First-Year Premiums  First-year premiums up 2% 2Q11 3Q11 4Q10 $258.0 $263.1 4Q11 1Q11 $233.4 $238.9 $221.3 First-Year Prems – Tr. 4 Qtrs: $1,001.2 $999.4 $977.4 $975.8 $981.3 Total Premiums - Quarterly: $234.4 $222.2 $259.1 $264.1 $24

48. Slide 48: Premiums Collected – Supplemental Health Washington National

    Premiums Collected – Supplemental Health Washington National ($ millions) Supplemental Health – First-Year Premiums  First-year premiums up 4% due 4Q11 4Q10 2Q11 to continued higher sales $13.4 1Q11 $13.2 $13.7 3Q11 $13.2 $14.0 First-Year Prems – Tr. 4 Qtrs: $52.0 $52.7 $53.3 $53.5 $54.1 Total Prem

49. Slide 49: Premiums Collected – Life Colonial Penn

    Premiums ($ millions) Collected – Life Colonial Penn Life – First-Year Premiums  First-year premiums up 12% due 4Q11 to continued robust lead 4Q10 1Q11 2Q11 3Q11 $8.9 $9.2 $8.6 generation activity and sales $8.2 $8.7 First-Year Prems – Tr. 4 Qtrs: $32.3 $33.1 $33.6 $34.4 $35.4 Total Premiums - Quar

50. Slide 50: Book Value

    Book Value CNO ($ millions, except per-share amounts) 12/31/10 03/31/11 06/30/11 09/30/11 12/31/11 Shareholders' Equity (Excluding AOCI) $4,087.0 $4,142.8 $4,190.5 $4,351.5 $4,407.1 Accumulated Other Comprehensive Income 238.3 257.6 372.7 597.3 625.5 Total Shareholders' Equity $4,325.3 $4,400.4 $4,5

51. Slide 51: 4Q11 Holding Company Liquidity

    4Q11 Holding Company Liquidity CNO ($ millions) 4Q YTD 2011 2011 Cash and Investments Balance - Beginning $168.9 $161.1 Sources Dividends from Insurance Subsidiaries 43.6 * 209.0 * Dividends from Non-Life Affiliates - 3.5 Surplus Debenture Interest 12.3 59.1 ** Service and Investment Fees, Net 25.2

52. Slide 52: Covenant Metrics

    Covenant Metrics CNO Covenants levels per agreement Debt to Capital* Interest Coverage Ratio 35% 6.0 30% 30.0% 5.0 5.0 25% 5.0 4.5 20.0% 19.2% 20% 18.7% 18.0% 4.0 3.6 17.1% 15% 3.0 10% 2.0 2.0x 5% 1.0 0% ** 0.0 12/31/10 3/31/11 6/30/11 9/30/11 12/31/11 12/31/10 3/31/11 6/30/11 9/30/11 12/31/11 2,000

53. Slide 53: Debt Maturity Profile

    Debt Maturity Profile $313 CNO ($ millions) $275 (1) $293 $275 $80 $85 $75 $45 $55 $20 $75 $85 $25 $25 $20 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 20 or

54. Slide 54: Loss Carryforwards – Gross vs. Net

    GAAP Balances for Deferred Tax Asset as of 12/31/11: Loss Carryforwards – Gross1 vs. Net2 CNO ($ millions) $1,000.0 Totals Gross $862.2 Gross Loss Carryforwards3 $1,804.3 $800.0 Net Valuation Allowance3 (938.4) Gross $304.0 Net Loss Carryforwards $865.9 $583.0 $600.0 Gross $400.0 Valuation $342.3 GA

55. Slide 55: 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”) carryforwards $ 1,666 $ 1,975 $ 488 $ 978 $ 5,107 Potential unfavorable IRS ruling (631) 631 - - - NOL ca

56. Slide 56: DAC Accounting Change

    DAC Accounting Change CNO Revision to Estimated Impacts – Consolidated December 31, 2011 Pro Forma Current Estimate Previous Estimate Annual Net Income Reduction of Reduction of approximately $47 million $29 - $34 million Income Per Diluted Approximately 15¢ 9¢ - 12¢ Share Book Value excluding Reduc

57. Slide 57: Commercial Mortgage Loans at 12/31/11

    Commercial Mortgage Loans at 12/31/11 CNO By Vintage By Property Type 2011 Other 5.5% 2010 2.0% 5.0% Multi-Family 4.5% 2009 0.5% Industrial 20042004 and and 17.7% PriorPrior 2008 26.2%25.3% 18.8% 2008 20.0% Retail 39.5% 2005 2005 8.2% Office 9.3% 2007 36.3% 2007 20.2% 2006 2006 19.6% 17.8% 15.9%  6

58. Slide 58: European Debt by Select Countries

    European Debt by Select Countries CNO ($ millions) Market / Total Sovereigns Corporates Banks Total Market BV Issuers Portugal $ - $ - $ - $ - $ - Italy - 26.1 - 26.1 20.2 77% 1 Greece - - - - - Spain - 67.7 34.3 102.0 93.3 91% 3 Total $ - $ 93.8 $ 34.3 $ 128.1 $ 113.5 89% 4 CNO Financial Group 58

59. Slide 59: Prime Jumbo at 12/31/11

    Prime Jumbo at 12/31/11 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 $47.8 $46.4 4.8% 730 12.8% 6.8% 0.28% 0.18% AA 36.8 36.9 3.7% 737 22.7% 7.1% 1.29% 0.14% A 185.0 182.8 18.6% 733 25.9%

60. Slide 60: CMBS at 12/31/11

    CMBS at 12/31/11 CNO ($ millions) Our CMBS exposure is heavily weighted towards AAA-rated securities with substantial credit support, and seasoned vintages 2010 with relatively stronger qualitative characteristics. 2011 2009 1.8% 5.0% 3.9% AAA AA A BBB 2008 0.7% Pre-2004 Pre-2004 $ 181.1 $ 23.7 $ 26

61. Slide 61: CMBS at 12/31/11

    CMBS at 12/31/11 CNO ($ millions) Market Value Book Value Avg. 60+ Avg. Accum. % of Rating (mil.) (mil.) % of CMBS* Avg. Support Delinq. Loss Portfolio* AAA $1,140.1 $1,057.6 79.7% 30.1% 4.6% 1.3% 4.31% AA 214.8 212.8 15.0% 21.9% 7.4% 1.4% 0.81% A 71.5 73.4 4.8% 13.3% 3.2% 1.4% 0.26% BBB 7.0 7.6 0.5

62. Slide 62: Commercial Mortgage Loans at 12/31/11

    Commercial Mortgage Loans at 12/31/11 CNO Geographic Distribution New England 8.0% Pacific Middle 10.3% West North Atlantic Central East North 8.4% 14.9% Central Mountain 15.8% 10.7% East South South Central Atlantic 3.0% 22.3% West South Central 6.6% CNO Financial Group 62

63. Slide 63: Commercial Mortgage Loans

    Commercial Mortgage Loans CNO Portfolio at 12/31/11 ($ millions) 1,800 1,600 1,400 1,200 1,000 800 600 400 200 - 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024 2025 2026+ Run-off of Principal of Current CML Portfolio Principal Maturities by Year CNO Financial Group 63

64. Slide 64: 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

65. Slide 65: 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): 4Q10 1Q11 2Q11 3Q11 4Q11 Net income applicable to common stock $

66. Slide 66: 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): 4Q10 1Q11 2Q11 3Q11 4Q11 Operating inco

67. Slide 67: 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

68. Slide 68: 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

69. Slide 69: 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

70. Slide 70: 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 year ended December 31, 2011, is as follows (dollars in millions): Bankers Washington

71. Slide 71: 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

72. Slide 72: 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

73. Slide 73: 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 — Q4 2011 Earnings Presentation on 6ix