CNO Financial Group, Inc. · NYSE:CNO

CNO Financial — Q2 2011 Earnings Presentation

70 slides from CNO Financial's earnings presentation, Jul 28, 2011

1. Slide 1: 2Q11 Financial and operating results

   2Q11 Financial and operating results for the period ended June 30, 2011 July 28, 2011 Unless otherwise specified, comparisons in this presentation are between 2Q11 and 2Q10.

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

   o CNO FINANCIAL GROUP CNO Financial Group

5. Slide 5: 2Q11: Summary CNO

   2Q11: Summary CNO  Net income of $59.5 million, compared to $33.1 million  Net operating income* up 28% to $57.5 million, or 20 cents per diluted share  Consolidated RBC at 351%, up 10 percentage points from 3/31/11 – Statutory earnings of $78.7 million were offset by $78 million of dividend paym

6. Slide 6: 2Q11 Summary of Results

   2Q11 Summary of Results CNO ($ millions, except per-share amounts) Pre-Tax After Tax EPS Bankers Life $84.7 Washington National 22.7 Colonial Penn 7.6 Other CNO Business 4.8 Corporate operations and interest expense (30.6) Operating income* 89.2 $57.5 $0.20 Loss on extinguishment of debt (0.6) (0.4)

7. Slide 7: Quarterly Earnings

   Quarterly Earnings CNO ($ millions) 2Q10 3Q10 4Q10 1Q11 2Q11 Bankers Life $ 64.0 $ 95.5 $ 71.4 $ 63.9 $ 84.7 Washington National 21.1 27.2 28.7 25.2 22.7 Colonial Penn 7.6 7.8 5.8 5.4 7.6 Other CNO Business 8.8 (24.4) 6.0 7.1 4.8 Corporate operations, excluding interest expense (11.8) (12.3) (13.7)

8. Slide 8: Operating ROE

   Operating ROE CNO ($ millions) Operating ROE*, Trailing 4 Quarters  Increased ROE despite a 1Q11 2Q11 15% increase in average 2Q10 3Q10 4Q10 6.5% 6.0% 6.0% 6.3% equity 5.5% Average common shareholders’ equity, excluding AOCI/L and net operating loss $2,808.3 $2,942.8 $3,048.5 $3,129.7 $3,217.4 carr

9. Slide 9: Operating EPS (Diluted)

   Operating EPS* (Diluted) CNO  Increased EPS due to higher 2Q11 earnings 4Q10 1Q11 $0.20 $0.18 $0.18 2Q10 3Q10 $0.16 $0.16 Weighted average diluted shares (in millions)**: 302.6 306.0 306.7 307.5 308.0 * Operating earnings per share exclude loss on extinguishment of debt, net realized investment gai

10. Slide 10: Book Value

    Book Value CNO ($ millions, except per-share amounts) 06/30/10 09/30/10 12/31/10 03/31/11 06/30/11 Shareholders' Equity (Excluding AOCI/L) $3,864.0 $3,916.2 $4,087.0 $4,142.8 $4,190.5 Accumulated Other Comprehensive Income 318.8 688.1 238.3 257.6 372.7 Total Shareholders' Equity $4,182.8 $4,604.3 $4

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

    Pre/After Tax GAAP Operating Income CNO ($ millions) $350.0 $321.7 $300.0 $281.6 $252.3 $113.5 $250.0 $99.7 $200.0 $87.7 $150.0 $100.0 $208.2 $181.9 $164.6 $50.0 $0.0 2009 2010 LTM as of 6/30/2011 CNO Financial Group Net Operating Income Tax Expense on Operating Income 11

12. Slide 12: Statutory Earnings Power

    Statutory Earnings Power CNO ($ millions) $600.0 $500.2 $500.0 $406.6 $411.6 $135.6 $400.0 $137.1 $132.4 $300.0 $200.0 $364.6 $269.5 $279.2 $100.0 $0.0 2009 2010 LTM as of 6/30/2011 CNO Financial Group Pre-Tax Operating Income Fees and Interest to Holding Company 12

13. Slide 13: Financial Strength

    Financial ($ millions) Strength CNO Consolidated RBC Ratio* Liquidity 2Q11 $234.0 2Q11 3Q10 351% $190.1 1Q11 1Q11 4Q10 341% $169.0 4Q10 $161.1 2Q10 332% 3Q10 $129.9 2Q10 318% 320% Debt to Total Capital Ratio**  RBC increased to 351% in 2Q11 21.3% 21.2% 20.0% 19.2% 18.7% – Positive impact reflects i

14. Slide 14: 2Q Summary Bankers Life

    2Q Summary Bankers Life  Earnings of $84.7 million, up 32% – Results in 2Q11 were favorably impacted by: • Increase in annuity income due to growth in the block, reflecting continued favorable persistency • Bond prepayment income • Additional spread earned on investments purchased with the proceeds

15. Slide 15: Bankers Life Sales and Distribution Results

    Sales and Distribution Results Bankers Life ($ millions) Quarterly NAP*  Mixed sales results 4Q10 – Down 6%; up 9% vs. 1Q11 2Q10 $68.5 • Life sales up 8%; up 12% vs. 1Q11 $64.0 2Q11 3Q10 1Q11 $60.1 • Annuity sales down 8%; up 16% vs. 1Q11 $55.3 $55.2 • Med supp sales down 11%; up 2% vs. 1Q11 • LTC

16. Slide 16: Medicare Supplement Update

    Medicare Supplement Update Bankers Life  Industry and Competition – Competitors continue to take rate increases in most markets – Bankers plans to take no pricing actions this year, as product is performing to profit expectations – Began filing more competitive four-tier structure, offering gender-

17. Slide 17: LTC Update

    LTC Update Bankers Life  Stable financial results – Interest adjusted benefit ratio over the past several quarters in the 70- 75% range, reflecting ongoing claims management improvements and successfully gaining approval for rate increases where necessary  Rate increase activity continues – Filed

18. Slide 18: Bankers Life Quarterly Earnings

    Quarterly Earnings Bankers Life ($ millions) 2Q10 3Q10 4Q10 1Q11 2Q11 Insurance policy income $400.7 $405.1 $394.2 $400.0 $409.6 Net investment income: General account assets 177.0 182.4 187.7 191.3 196.5 Other portfolios (16.5) 26.1 16.3 18.3 0.4 Fee revenue and other income 2.7 3.6 4.2 2.3 3.3 Tot

19. Slide 19: 2Q Summary Washington National

    2Q Summary Washington National  Earnings of $22.7 million, up 8%, consistent with our expectations  Core product sales (supplemental health and life) up 3% – Up 14% from 1Q11  Solid recruiting results for the PMA and WNIC Independent channels CNO Financial Group 19

20. Slide 20: 2Q11 Sales Results Washington National

    2Q11 ($ millions) Sales Results Washington National $17.9 $17.5  Supplemental health sales up 2%  Up 14% vs. 1Q11  Life sales up 23%  Up 15% vs. 1Q11 2Q10 NAP 2Q11 NAP $0.7 $0.8 $0.7 $0.4 Life Medicare Supplement Supplemental Health CNO Financial Group 20

21. Slide 21: Ongoing Growth Initiatives

    Ongoing Growth Initiatives Washington National  PMA – Increasing agent recruiting capacity – Training agents to cross-sell life insurance with their supplemental health sales – Developing more sales leaders to support larger agent force and geographic expansion  WNIC Independent – Increasing IMO r

22. Slide 22: Washington National Quarterly Earnings

    Quarterly ($ millions) Earnings Washington National 2Q10 3Q10 4Q10 1Q11 2Q11 Insurance policy income $144.7 $144.9 $146.0 $145.4 $146.6 Net investment income: General account assets 45.8 46.2 46.7 46.3 46.7 Other portfolios 0.1 0.2 1.0 - - Fee revenue and other income 0.2 0.3 0.3 0.3 0.2 Total reven

23. Slide 23: 2Q Summary Colonial Penn

    2Q Summary Colonial Penn  Earnings of $7.6 million, flat compared to 2Q10  Sales growth continues, NAP up 5% – Down 6% from 1Q11 CNO Financial Group 23

24. Slide 24: Colonial Penn Quarterly Earnings

    Quarterly ($ millions) Earnings Colonial Penn 2Q10 3Q10 4Q10 1Q11 2Q11 Insurance policy income $49.3 $48.8 $48.6 $50.3 $50.9 Net investment income 9.7 9.9 10.0 10.3 10.5 Fee revenue and other income 0.1 0.2 0.2 0.2 0.2 Total revenues 59.1 58.9 58.8 60.8 61.6 Insurance policy benefits 35.2 36.1 36.1

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  Currently evaluating initiatives in each segment for 2012 that will generate additional growth with returns at or above our

26. Slide 26: 2Q Summary Other CNO Business

    2Q Summary Other CNO Business  Earnings of $4.8 million, compared to $8.8 million – Results in this block are expected to fluctuate from period to period and the results in 2Q11 were within our range of expectations CNO Financial Group 26

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

    Quarterly ($ millions) Earnings (Losses) Other CNO Business 2Q10 3Q10 4Q10 1Q11 2Q11 Insurance policy income $73.2 $75.7 $74.2 $71.5 $72.5 Net investment income: General account assets 88.5 88.0 87.8 88.2 87.6 Other portfolios (8.1) 8.5 7.3 6.5 (0.9) Total revenues 153.6 172.2 169.3 166.2 159.2 Insu

28. Slide 28: Excess Capital

    Excess ($ millions) Capital CNO Approximately $377 million total excess capital as of 6/30/11 Consolidated RBC Ratio Liquidity 2Q11 4Q10 1Q11 3Q10 351% 2Q10 332% 341% 2Q11 318% 320% $234.0 3Q10 $190.1 1Q11 Management Target = 300% 4Q10 $169.0 $161.1 2Q10 $129.9 Management Target = $100 Approximately

29. Slide 29: Excess Capital Utilization Opportunities

    Excess Capital Utilization Opportunities CNO  Debt Prepayment  Share Buybacks  Investing in Business for Additional Growth – Growth and expansion of distribution channels – Recapture reinsurance blocks  Build Holding Company Investment Portfolio – Utilize non-life operating loss carryforward CNO

30. Slide 30: 2Q11 Share Repurchase & Debt Prepayment

    2Q11 Share Repurchase & Debt Prepayment CNO  Purchased 2.2 million shares during 2Q 2011 for $16.2 million  Average cost per share of $7.35  0.9% of outstanding shares at March 31, 2011  Principal prepayment of $16.2 million made on Senior Secured Credit Facility on June 30, 2011 – Payment reduc

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

    GAAP Balances for Deferred Tax Asset as of 6/30/11: Loss Carryforwards – Gross1 vs. Net2 CNO ($ millions) Totals $1,000.0 Gross $874.7 Gross Loss Carryforwards $1,873.6 Net $800.0 Valuation Allowance (1,063.0) Gross $157.7 $652.9 Net Loss Carryforwards $810.6 $600.0 Valuation Gross Valuation Allowan

32. Slide 32: Net Investment Income

    Net Investment Income ($ millions) CNO General Account Investment Income New Money Rate (excluding floating rate FHLB): 6.26% 6.00% 5.96% 5.60% 5.24%  Relatively stable yield progression despite 2Q11 1Q11 tight investment environment 4Q10 $336.1 $342.2 3Q10  Increase in investment income primarily

33. Slide 33: Realized Gains/Losses Recognized through Net Income

    Realized Gains/Losses Recognized through Net Income CNO ($ millions) 2Q10 3Q10 4Q10 1Q11 2Q11 Gross Gains $60.9 $101.5 $138.8 $43.5 $29.7 Gross Losses (49.7) (73.4) (13.5) (25.1) (16.7) Losses due to recognition of other-than-temporary impairments recognized in earnings (27.9) (24.5) (77.1) (13.3) (

34. Slide 34: Unrealized Gain/Loss

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

35. Slide 35: 2Q11 Impairments

    2Q11 ($ millions) Impairments CNO Amount Amount Recognized Recognized Gross through through Net Amounts AOCI/L Income Corporates - IGA $ 5.1 $ - $ 5.1 Commercial Mortgage Loans 5.0 - 5.0 Total $ 10.1 $ - $ 10.1 CNO Financial Group 35

36. Slide 36: Commercial Mortgage Loans at 6/30/11

    Commercial Mortgage Loans at 6/30/11 CNO By Vintage By Property Type 2011 2010 2.7% Multi- Other 4.6% 2009 Family 2.1% 0.4% 4.7% 2004 2004and and Industrial Prior Prior 2008 2008 17.4% 26.2% 26.2% 18.8% 18.8% Retail 2005 41.4% 2005 9.3% Office 9.3% 2007 2007 34.4% 20.2% 20.2% 2006 2006 17.8% 17.8% 

37. Slide 37: Asset Allocation at 6/30/11

    Asset Allocation at 6/30/11* CNO ($ millions) MTM reflects low market yields in $13,916 $13,259 most credit sectors Market Value Book Value $2,136 $2,132 $1,799 $1,860 $1,866 $1,753 $1,051 $1,052 $1,484 $1,415 $749 $740 $1,366 $1,325 $312 $315 IG Corporates CMOs Mortgage HY Corporates CMBS Municipal

38. Slide 38: Investment Quality: Fixed Maturities

    Investment Quality: Fixed Maturities* CNO Fixed Maturities, available for sale, by Rating at 6/30/11 (Market Value) <BBB AAA  92% investment grade 8% 13% AA  Favorable corporate bond ratings trends 10%  RMBS ratings erosion due to seasoning BBB effect (no NAIC RBC impact) 45% A 24% 6/30/10 9/30/1

39. Slide 39: Holding Company Investments at 6/30/11

    Holding ($ millions) Company Investments at 6/30/11 CNO Current Investments Target Allocation Cash & Cash and Money Market $130.9 Money Market Fixed Income (net) 17.6 $25 Fixed Income Equities 12.9 (net) Alternatives* 72.6 $75 TOTAL $234.0 Alternatives & Equities (Balance) * Includes $25 Paulson inv

40. Slide 40: European Debt by Select Countries

    European Debt by Select Countries CNO ($ millions) Sovereign Corporate Bonds Bonds Banks Other Total Market Portugal $ - $ - $ - $ - $ - $ - Italy - 26.1 - - 26.1 23.4 Greece - - - - - - Spain - 64.0 52.7 - 116.7 113.8 Total $ - $ 90.1 $ 52.7 $ - $ 142.8 $ 137.2 CNO Financial Group 40

41. Slide 41: Summary

    Summary CNO  Core business continues to perform well – Solid earnings continued in 2Q – Key measures of financial strength continue to improve  CEO transition and new COO role  Capital generation creates unique opportunities – Generating significant amounts of excess capital – Moving more excess

42. Slide 42: Questions and Answers

    Questions and Answers CNO Financial Group 42

43. Slide 43: Appendix

    Appendix CNO Financial Group 43

44. Slide 44: Covenant Metrics

    Covenant Metrics CNO Covenants levels per agreement Debt to Capital* Interest Coverage Ratio 35% 6.0 30% 30.0% 5.0 25% 5.0 21.3% 21.2% 20.0% 19.2% 20% 18.7% 4.0 3.6 15% 3.0 10% 2.0 2.0x 5% 1.0 0% ** ** ** 0.0 6/30/10 9/30/10 12/31/10 3/31/11 6/30/11 6/30/10 9/30/10 12/31/10 3/31/11 6/30/11 2,000 Sta

45. Slide 45: 2Q11 Holding Company Liquidity

    2Q11 Holding Company Liquidity CNO ($ millions) Cash and Investments Balance 3/31/2011 $169.0 Sources Dividends from Insurance Subsidiaries 78.0 Surplus Debenture Interest 12.1 Service and Investment Fees, Net 31.1 Total Sources 121.2 Uses Interest 17.2 Share Repurchase 16.2 Debt Prepayment 16.2 Hol

46. Slide 46: Debt Maturity Profile

    Debt ($ millions) Maturity Profile CNO Maturity Profile Prior to 4Q10 Refinancing Current Maturity Profile 2011 – 2018 2011 – 2018 $700 $700 $602 $600 $600 $500 $500 $400 $400 $367 $577 $293 $300 $300 $275 (1) $293 $200 $200 $293 $275 $80 $85 $100 $65 $100 $75 $60 $45 $40 $25 $55 $35 $20 $75 $85 $74

47. Slide 47: 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 June 30

48. Slide 48: Alt-A at 6/30/11

    Alt-A at 6/30/11 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 $44.2 $44.2 14.2% 720 38.9% 20.6% 4.4% 0.18% AA 45.4 45.5 14.5% 710 32.6% 16.9% 2.3% 0.18% A 38.3 38.3 12.3% 715 49.6% 25.2% 4.8% 0.

49. Slide 49: Prime Jumbo at 6/30/11

    Prime Jumbo at 6/30/11 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 $71.4 $69.7 7.2% 732 9.6% 4.7% 0.12% 0.29% AA 75.1 74.3 7.6% 740 15.8% 6.6% 0.96% 0.30% A 228.4 225.6 23.1% 733 22.9% 8.

50. Slide 50: CMBS at 6/30/11

    CMBS at 6/30/11 CNO ($ millions) Our CMBS exposure is heavily weighted towards AAA-rated 2010 securities with substantial credit support, and seasoned vintages 2009 1.7% 2011 with relatively stronger qualitative characteristics. 3.3% 1.8% 2008 0.9% AAA AA A BBB <BBB Pre-2004 16.9% Pre-2004 $ 195.2 $

51. Slide 51: CMBS at 6/30/11

    CMBS at 6/30/11 CNO ($ millions) Market Value Book Value Avg. 60+ Avg. Accum. % of Rating (mil.) (mil.) % of CMBS* Avg. Support Delinq. Loss Portfolio* AAA $1,173.7 $1,104.0 79.0% 28.9% 5.0% 0.9% 4.76% AA 219.6 215.5 14.8% 21.4% 5.9% 1.1% 0.89% A 66.1 68.2 4.5% 11.7% 2.1% 1.0% 0.27% BBB 20.8 22.7 1.

52. Slide 52: Commercial Mortgage Loans at 6/30/11

    Commercial Mortgage Loans at 6/30/11 CNO Geographic Distribution New England 8.4% Pacific Middle 10.8% West North Atlantic Central East North 8.3% 13.7% Central Mountain 15.5% 10.1% East South South Central Atlantic 3.1% 23.9% West South Central 6.2% CNO Financial Group 52

53. Slide 53: Commercial Mortgage Loans at 6/30/11

    Commercial Mortgage Loans at 6/30/11 CNO ($ millions) Remaining Principal Balance By Maturity Post 2025 2018 $310 2017 $285 $265 2013 $156 2015 2016 2014 $116 $130 2022 $91 $103 2019 2025 2012 2023 2020 2021 $59 2011 $38 $53 $47 2024 $37 $39 $14 $24 CNO Financial Group 53

54. Slide 54: Premiums Collected

    Premiums Collected CNO ($ millions) Collected Premiums -Trailing 4 Quarters  Trailing 4 quarters down 6% 2Q10 $3,819.6 3Q10 – Stable results at Bankers Life $3,651.1 4Q10 1Q11 2Q11 BLC PFFS $3,590.1 $3,586.7 $3,578.6 (excluding PFFS), Washington National, and Colonial Penn – Decline at OCB primaril

55. Slide 55: Premiums Collected – Med Supp

    Premiums ($ millions) Collected – Med Supp Bankers Life Med Supp – First-Year Premiums 2Q10 3Q10 4Q10 $29.4 $29.3 $30.5  First-year premiums down 16% 1Q11 $25.1 2Q11 $24.7 Med Supp First-Year Prems.-Tr. 4 Qtrs: $107.5 $114.1 $116.4 $114.3 $109.6 Med Supp Total Premiums-Quarterly: $168.8 $170.1 $182

56. Slide 56: Premiums Collected – LTC

    Premiums Collected – LTC Bankers Life ($ millions) Long-Term Care – First-Year Premiums*  Net first-year premiums up 9%, reflecting reduction in new 2Q10 3Q10 business reinsurance (Direct) $9.2 (Direct) 4Q10 (Direct) 1Q11 (Direct) 2Q11 (Direct) $8.5 $8.2 $7.6 $7.4 (Net) (Net) (Net) (Net) (Net) $5.5

57. Slide 57: Premiums Collected – Life

    Premiums ($ millions) Collected – Life Bankers Life Life – First-Year Premiums 2Q11  First-year premiums up 19% 3Q10 4Q10 $29.4 2Q10 $26.9 1Q11 $25.8 $24.8 $24.7 $12.3 $14.3 $11.9 $11.0 $12.4 SPWL Non- $13.9 $14.6 $13.7 $15.1 $12.4 SPWL First-Year Prems.-Tr. 4 Qtrs: $91.4 $93.8 $97.7 $102.2 $106.8

58. Slide 58: Premiums Collected – Annuity

    Premiums ($ millions) Collected – Annuity Bankers Life Annuity – First-Year Premiums  First-year premiums down 8% 2Q10 3Q10 2Q11 $280.0 $264.7 $258.0 4Q10 1Q11 $233.4 $221.3 First-Year Prems.-Tr. 4 Qtrs: $984.4 $965.1 $1,001.2 $999.4 $977.4 Total Premiums-Quarterly: $281.1 $265.8 $234.4 $222.2 $259

59. Slide 59: Premiums Collected – Supplemental Health

    Premiums Collected – Supplemental ($ millions) Health Washington National Supplemental Health – First-Year Premiums  First-year premiums up 5% 4Q10 2Q11 2Q10 3Q10 1Q11 $13.4 $13.7 $13.1 $13.0 $13.2 First-Year Prems.-Tr. 4 Qtrs: $49.7 $50.9 $52.0 $52.7 $53.3 Total Premiums-Quarterly: $100.2 $101.5 $

60. Slide 60: Premiums Collected – Life Colonial Penn

    Premiums ($ millions) Collected – Life Colonial Penn Life – First-Year Premiums  First-year premiums up 6% 1Q11 2Q11 2Q10 3Q10 4Q10 $8.7 $8.6 $8.1 $8.1 $8.2 First-Year Prems.-Tr. 4 Qtrs: $31.4 $31.6 $32.3 $33.1 $33.6 Total Premiums-Quarterly: $46.7 $46.9 $46.8 $49.4 $48.5 NAP-Quarterly: $12.2 $11.5

61. Slide 61: 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

62. Slide 62: 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): 2Q10 3Q10 4Q10 1Q11 2Q11 Net income applicable to common stock $

63. Slide 63: 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): 2Q10 3Q10 4Q10 1Q11 2Q11 Operating inco

64. Slide 64: 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

65. Slide 65: 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

66. Slide 66: 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

67. Slide 67: 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 June 30, 2011, is as follows (dollars in millions): Bankers Washin

68. Slide 68: 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

69. Slide 69: 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

70. Slide 70: 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 — Q2 2011 Earnings Presentation on 6ix