CNO Financial Group, Inc. · NYSE:CNO

CNO Financial — Q4 2010 Earnings Presentation

75 slides from CNO Financial's earnings presentation, Feb 23, 2011

1. Slide 1: 4Q10 Financial and operating results

   4Q10 Financial and operating results for the period ended December 31, 2010 February 23, 2011 Unless otherwise specified, comparisons in this presentation are between 4Q10 and 4Q09.

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

   o CNO FINANCIAL GROUP CNO Financial Group

5. Slide 5: 4Q10: Summary CNO

   4Q10: Summary CNO  Net income of $168.2 million, compared to $18.2 million  Net operating income* of $51.7 million, up 62%, or 18 cents per diluted share  Consolidated RBC at 332%, up 12 percentage points from 9/30/10  Holding company liquidity at $161 million, down $29 million from 9/30/10 prim

6. Slide 6: 2010 vs. 2009 Summary CNO

   2010 vs. 2009 Summary CNO  Net income of $284.6 million, compared to $85.7 million  Net operating income* of $181.9 million, up 11%, or 65 cents per diluted share  Consolidated RBC at 332%, up 23 percentage points for the year  Holding company liquidity at $161 million, up $15 million  Debt to

7. Slide 7: 4Q10 Summary of Results

   4Q10 Summary of Results CNO ($ millions, except per-share amounts) Pre-Tax After Tax EPS Bankers Life $71.4 Washington National 28.7 Colonial Penn 5.8 Other CNO Business 6.0 Corporate operations and interest expense (33.7) Operating income* 78.2 $51.7 $0.18 Decrease in valuation allowance for deferr

8. Slide 8: Quarterly Earnings

   Quarterly Earnings CNO ($ millions) 4Q09 1Q10 2Q10 3Q10 4Q10 Bankers Life $ 84.6 $ 53.2 $ 64.0 $ 95.5 $ 71.4 Washington National 23.0 27.6 21.1 27.2 28.7 Colonial Penn 5.9 5.3 7.6 7.8 5.8 Other CNO Business (29.7) (1.9) 8.8 (24.4) 6.0 Corporate operations, excluding interest expense (12.8) (5.0) (11

9. Slide 9: Operating ROE

   Operating ROE CNO ($ millions) Operating ROE*, Trailing 4 Quarters 4Q09 1Q10 6.5% 2Q10 4Q10 6.2% 6.0% 3Q10 6.0% 5.5% Average common shareholders’ equity, excluding AOCI/L and net operating loss $2,551.1 $2,679.2 $2,808.3 $2,942.8 $3,048.5 carryforwards, trailing 4 quarters: *Operating return exclude

10. Slide 10: Operating EPS (Diluted)

    Operating EPS (Diluted)* CNO  Increased EPS despite dilution from recapitalization in 4Q09 4Q10 $0.18 2Q10 3Q10 $0.16 4Q09 $0.16 $0.15 1Q10 $0.14 Weighted average diluted shares (in millions): 217.5 292.1 302.6 306.0 306.7 *Operating earnings per share exclude loss on extinguishment or modification

11. Slide 11: Book Value

    Book Value CNO ($ millions, except per-share amounts) 12/31/09 03/31/10 06/30/10 09/30/10 12/31/10 Shareholders' Equity (Excluding AOCI/L) $3,796.7 $3,823.1 $3,864.0 $3,916.2 $4,087.0 Accumulated Other Comprehensive Income (Loss) (264.3) (103.0) 318.8 688.1 238.3 Total Shareholders' Equity $3,532.4

12. Slide 12: Pre/After Tax GAAP Operating Income

    Pre/After Tax GAAP Operating Income CNO ($ millions) $300.0 $281.6 $252.3 $250.0 $223.4 $99.7 $87.7 $200.0 $86.4 $150.0 $100.0 $181.9 $164.6 $137.0 $50.0 $0.0 2008 2009 2010 Net Operating Income Tax Expense on Operating Income CNO Financial Group 12

13. Slide 13: Statutory Earnings Power

    Statutory Earnings Power CNO ($ millions) $450.0 $406.6 $411.6 $400.0 $350.0 $132.4 $137.1 $300.0 $246.6 $250.0 $200.0 $139.6 $150.0 $269.5 $279.2 $100.0 $50.0 $107.0 $0.0 2008 2009 2010 Pre-Tax Operating Income Fees and Interest to Holding Company CNO Financial Group 13

14. Slide 14: Financial Strength

    Financial ($ millions) Strength CNO Consolidated RBC Ratio* Liquidity 3Q10 $190.1 4Q10 4Q10 332% $161.1 4Q09 $146.1 1Q10 2Q10 $131.2 $129.9 3Q10 1Q10 2Q10 320% 319% 318% 4Q09 309%  RBC increased to 332% in 4Q10 Debt to Total Capital Ratio** – Positive impact from statutory operating income 21.63% 2

15. Slide 15: 4Q Summary Bankers Life

    4Q Summary Bankers Life  Earnings of $71.4 million, down 16% – Results in 4Q10 were favorably impacted by $18 million from improved spreads and growth in the annuity block – Results in 4Q10 were unfavorably impacted by: • $4 million from unfavorable mortality • $3 million from unfavorable Med Supp

16. Slide 16: Sales and Distribution Results

    Sales and Distribution Results Bankers Life ($ millions) Quarterly NAP*  Mixed sales results 4Q09 – Med Supp sales 2nd highest in Bankers’ $91.3 history 2Q10 4Q10 $68.5 $64.0 – Life and Annuity sales better than 1Q10 $57.5 3Q10 $55.3 industry results • 16% increase in life sales • 15% increase in a

17. Slide 17: Distribution Value Proposition

    Distribution Value Proposition Bankers Life Average Agent Counts Diversified Product Suite (Share of Sales*) NAP in millions $245.4 5,198 $218.5 $222.4 4,682 25% 26% 24% 4,038 3,001 2,850 26% 14% 24% 2,248 30% 13% 21% 2,197 36% 1,790 1,832 31% 30% 2004 2007 2010 2004 2007 2010 Veteran Non-veteran Me

18. Slide 18: LTC Update

    LTC Update Bankers Life  LTC is an important product that enables Bankers Life to meet the needs of its customers  Stable financial results  Bankers experience and strategy enable us to differentiate through: – Stringent underwriting – Low exposure to higher risk product benefits (i.e. “0” day el

19. Slide 19: Bankers Life Quarterly Earnings

    Quarterly Earnings Bankers Life ($ millions) 4Q09 1Q10 2Q10 3Q10 4Q10 Insurance policy income $477.0 $396.2 $400.7 $405.1 $394.2 Net investment income: General account assets 165.8 172.2 177.0 182.4 187.7 Other portfolios 6.9 13.7 (16.5) 26.1 16.3 Fee revenue and other income 4.8 2.3 2.7 3.6 4.2 Tot

20. Slide 20: 4Q Summary Washington National

    4Q Summary Washington National  Earnings of $28.7 million, up 25% – Reflects an increase in earnings from our supplemental health products due to growth in this block of business and lower claims  Sales (NAP) of $19 million, up 3% – Supplemental health NAP of $17.5 million, up 15%  Strong supplem

21. Slide 21: 4Q10 Sales Results Washington National

    4Q10 ($ millions) Sales Results Washington National $17.5  Supplemental health sales up 15% $15.2 – PMA up 18% – WNIC Independent up 8%  Worksite sales* up 3% – WNIC Independent up 20% – PMA down 3% 4Q09 NAP 4Q10 NAP $1.4 $1.5 $0.7 $0.7 $0.8 $0.2 Life Annuities Medicare Supplement Supplemental Hea

22. Slide 22: Quarterly Earnings Washington National

    Quarterly ($ millions) Earnings Washington National 4Q09 1Q10 2Q10 3Q10 4Q10 Insurance policy income $146.9 $145.4 $144.7 $144.9 $146.0 Net investment income: General account assets 45.6 45.5 45.8 46.2 46.7 Other portfolios (1.1) (0.1) 0.1 0.2 1.0 Fee revenue and other income (0.1) 0.3 0.2 0.3 0.3 T

23. Slide 23: Summary Colonial Penn

    Summary Colonial Penn  Earnings of $5.8 million, compared to $5.9 million – Unfavorable mortality in life products – Substantially offset by increased earnings in core life products due to growth and higher investment yields  Sales growth continues: – NAP up 13% – 2010 sales up 11% – 2010 lead gen

24. Slide 24: Quarterly Earnings Colonial Penn

    Quarterly ($ millions) Earnings Colonial Penn 4Q09 1Q10 2Q10 3Q10 4Q10 Insurance policy income $47.9 $48.2 $49.3 $48.8 $48.6 Net investment income 9.6 9.7 9.7 9.9 10.0 Fee revenue and other income 0.3 0.2 0.1 0.2 0.2 Total revenues 57.8 58.1 59.1 58.9 58.8 Insurance policy benefits 35.1 36.4 35.2 36

25. Slide 25: 4Q Summary Other CNO Business

    4Q Summary Other CNO Business  Earnings of $6.0 million, compared to loss of $29.7 million – Results in 4Q10 reflect favorable mortality in this segment’s life block which increased earnings by $6 million – Results in 4Q09 were unfavorably impacted by: • Amortization of insurance intangibles of $15

26. Slide 26: Sharpened Focus Other CNO Business

    Sharpened Focus Other CNO Business  Continued focus on: – Non-Guaranteed Element Management – Expense Management – Risk Mitigation  Near-term results expected to continue to be volatile – Portions of the business are in loss recognition – Present value impact of some assumption changes – NGE chang

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

    Quarterly ($ millions) Earnings (Losses) Other CNO Business 4Q09 1Q10 2Q10 3Q10 4Q10 Insurance policy income $75.7 $74.8 $73.2 $75.7 $74.2 Net investment income: General account assets 86.3 87.8 88.5 88.0 87.8 Other portfolios 4.4 4.8 (8.1) 8.5 7.3 Total revenues 166.4 167.4 153.6 172.2 169.3 Insura

28. Slide 28: 2010 Refinancing

    2010 Refinancing  $650 million of new financing – $275 million 9.0% senior secured notes due January 2018 – $375 million senior secured credit facility amortizing through September 2016  Proceeds used to extinguish the previous senior secured credit facility of $652 million  Extended debt maturit

29. Slide 29: Debt Maturity Profile

    Debt Maturity Profile ($ millions) Prior Maturity Profile Current Maturity Profile 2011 – 2018 2011 – 2018 $ 700 $ 700 602 600 600 500 500 400 400 383 577 293 300 300 275 293 (1) 200 200 293 275 80 85 100 65 100 65 75 60 55 40 40 55 35 30 75 85 90 25 25 25 0 25 25 25 0 2011 2012 2013 2014 2015 2016

30. Slide 30: Net Investment Income

    Net Investment Income ($ millions) CNO General Account Investment Income  Increase in investment income due principally to growth in average assets 4Q10  4Q10 decline in realized yield due primarily to 2Q10 3Q10 $326.5 $332.2 1Q10 $321.1 expansion of FHLB loans 4Q09 $315.2 $307.3 – Floating rate –

31. Slide 31: Realized Gains/Losses Recognized through Net Income

    Realized Gains/Losses Recognized through Net Income CNO ($ millions) 4Q09 1Q10 2Q10 3Q10 4Q10 Gross Gains $110.5 $50.9 $60.9 $101.5 $138.8 Gross Losses (96.4) (35.5) (49.7) (73.4) (13.5) Losses due to recognition of other-than-temporary impairments recognized in earnings (31.1) (20.3) (27.9) (24.5)

32. Slide 32: Unrealized Gain/Loss

    Unrealized Gain/Loss* CNO ($ millions) Unrealized Gain/Loss % of Invested Assets Unrealized Gain/Loss $ 1,600 % of Invested Assets 7.0% 1,400 6.0% 1,200 5.0% 1,000 4.0% 800 3.0% 600 2.0% 400 200 1.0% 0 0.0% (200) -1.0% (400) -2.0% (600) 4Q09 1Q10 2Q10 3Q10 4Q10 -3.0% *Includes debt and equity securi

33. Slide 33: 4Q10 Impairments

    4Q10 ($ millions) Impairments CNO Amount Amount Recognized Recognized Gross through through Net Amounts AOCI/L Income Corporates $ 70.7 $ - $ 70.7 Alt-A/Prime Jumbo 1.9 0.2 2.1 CMBS 0.1 (0.1) - Subprime 0.5 - 0.5 Municipals 0.3 - 0.3 CDO 0.5 - 0.5 Commercial Mortgage Loans 3.0 - 3.0 Total $ 77.0 $ 0

34. Slide 34: Asset Allocation at 12/31/10

    Asset Allocation at 12/31/10* CNO ($ millions) MTM reflects low market yields in $13,168 $12,648 most credit sectors Market Value Book Value $1,914 $1,913 $1,763 $1,761 $1,893 $1,800 $1,230 $1,246 $1,369 $1,305 $1,426 $1,425 $645 $640 $621 $613 IG Corporates CMOs Mortgage HY Corporates CMBS Municipa

35. Slide 35: Investment Quality: Fixed Maturities

    Investment Quality: Fixed Maturities* CNO Fixed Maturities, available for sale, by Rating  91% investment grade at 12/31/10 (Market Value) <BBB 9% AAA 14% AA 10% BBB 44% A 23% 12/31/09 3/31/10 6/30/10 9/30/10 12/31/10 % of Bonds which are Investment Grade: 93% 93% 92% 92% 91% *Excludes investments

36. Slide 36: Alt-A at 12/31/10

    Alt-A at 12/31/10 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 $60.7 $60.9 20.5% 717 36.4% 21.2% 3.6% 0.25% AA 78.4 77.7 26.4% 711 19.3% 13.3% 1.0% 0.33% A 31.0 29.1 10.4% 713 11.1% 15.2% 1.2% 0

37. Slide 37: Prime Jumbo at 12/31/10

    Prime Jumbo at 12/31/10 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 $140.6 $138.1 15.4% 736 7.0% 3.0% 0.07% 0.59% AA 85.9 85.7 9.4% 739 15.7% 7.6% 0.68% 0.36% A 184.4 183.4 20.2% 728 24.9

38. Slide 38: CMBS at 12/31/10

    CMBS at 12/31/10 CNO ($ millions) 2010 Our CMBS exposure is heavily weighted towards original AAA- 1.0% rated securities with substantial credit support and seasoned 2009 vintages with relatively stronger qualitative characteristics. 5.0% Pre-2004 19.3% 2007 AAA AA A BBB <BBB 22.3% 2004 12.0% Pre-20

39. Slide 39: CMBS at 12/31/10 by rating

    CMBS at 12/31/10 CNO ($ millions) Market Value Book Value Avg. 60+ Avg. Accum. % of Rating (mil.) (mil.) % of CMBS* Avg. Support Delinq. Loss Portfolio* AAA $1,162.7 $1,091.9 84.9% 28.6% 4.9% 0.7% 4.86% AA 138.8 135.1 10.1% 19.4% 3.8% 0.0% 0.58% A 44.0 46.1 3.2% 10.3% 2.5% 0.4% 0.18% BBB 19.9 24.7 1

40. Slide 40: Commercial Mortgage Loans at 12/31/10

    Commercial Mortgage Loans at 12/31/10 CNO By Vintage By Property Type 2009 0.4% 2010 4.7% Other Indus. 0.2% 17.9% 2004 and Prior 2008 27.5% 18.7% Office 37.2% 2005 2007 Retail 9.4% 20.4% 39.8% 2006 18.9% Multi- Family 4.9%  Current LTV of approximately 60.1%  Trailing debt service coverage ratio (

41. Slide 41: Summary CNO

    Summary CNO Solid earnings continued in Q4 Refinanced debt in Q4, provides more flexibility going forward Improvements being recognized – Credit rating upgrades – Reduction in tax valuation allowance Continued emphasis on profitable growth – 2011 first year of baby boomers turning 65 – Adding 15

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 Levels reflect covenants per new agreement Debt to Capital* Interest Coverage Ratio 35% 30% 30.0%  The ratio of available cash flow to interest 25% 21.63% 21.56% 21.31% 21.17% 19.99% expense must equal or exceed 2.0 20% 15%  Covenant requirement begins 3/31/2011 10% 5% 0% 12/3

45. Slide 45: 4Q10 Liquidity

    4Q10 Liquidity CNO ($ millions) Cash Balance 09/30/10 $190.1 Sources Issuance of Debt 630.6 Dividends from Insurance Subsidiary 15.0 Surplus Debenture Interest 12.3 Management and Investment Fees, Net 30.1 Total Sources 688.0 Uses Interest 23.7 Debt Repayments 677.1 Holding Company Expenses and Othe

46. Slide 46: 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

47. Slide 47: Commercial Mortgage Loans: Geographic Distribution

    Commercial Mortgage Loans at 12/31/10 CNO Geographic Distribution New England 9.0% Pacific Middle 10.1% West North Atlantic Central East North 8.5% 14.0% Central Mountain 15.6% 10.2% East South South Central Atlantic 3.1% 23.0% West South Central 6.5% CNO Financial Group 47

48. Slide 48: Commercial Mortgage Loans: By Maturity

    Commercial Mortgage Loans at 12/31/10 CNO ($ millions) By Maturity Post 2025 2018 $298 2017 $284 $268 2013 $155 2016 2015 $123 $137 2014 2022 $89 $104 2019 2025 2012 2023 2011 $59 2020 $58 $40 $48 $25 $39 2024 2021 $23 $11 CNO Financial Group 48

49. Slide 49: Collected Premiums

    Collected Premiums CNO ($ millions) Collected Premiums -Trailing 4 Quarters  Trailing 4 quarters down 13% – Decline at Bankers Life due 4Q09 primarily to termination of $4,114.8 1Q10 2Q10 PFFS reinsurance contracts $3,937.2 $3,819.6 3Q10 4Q10 OCB $3,651.1 $3,590.1 – Stable results at Colonial CP Pe

50. Slide 50: Segment Performance Bankers Life

    Segment ($ millions) Performance Bankers Life Pre-Tax Operating Income*  Earnings of $71.4 million, down 3Q10 16% 4Q09 $95.5 – Results in 4Q10 were favorably impacted by $18 million $84.6 increase from improved spreads and growth in the annuity 4Q10 block $71.4 2Q10 – Results in 4Q10 were unfavorab

51. Slide 51: Premiums – Med Supp

    Premiums ($ millions) – Med Supp Bankers Life Med Supp – First-Year Premiums 4Q10 2Q10 3Q10 $30.5 4Q09 $29.4 $29.3 1Q10  First-year premiums up 8% $28.2 $27.2 Med Supp First-Year Prems.-Tr. 4 Qtrs: $91.7 $99.2 $107.5 $114.1 $116.4 Med Supp Total Premiums-Quarterly: $173.8 $176.6 $168.8 $170.1 $182.

52. Slide 52: Premiums – Long-Term Care

    Premiums – Long-Term Care Bankers Life ($ millions) Long-Term Care – First-Year Premiums*  Net first-year premiums* up 5%, 4Q09 1Q10 2Q10 reflecting reduction in new (Direct) (Direct) (Direct) 3Q10 (Direct) 4Q10 (Direct) $9.3 $9.1 $9.2 business reinsurance $8.5 $8.2 (Net) (Net) (Net) (Net) $4.8 (Ne

53. Slide 53: Premiums – Life Insurance

    Premiums ($ millions) – Life Insurance Bankers Life Life – First-Year Premiums 4Q10 3Q10  First year premiums up 17% 4Q09 2Q10 $24.8 $25.8 $26.9 $23.0 1Q10 $20.2 $12.4 SPWL $10.8 $11.9 $12.3 $9.6 Non- $14.6 $12.2 SPWL $10.6 $13.9 $12.4 First-Year Prems.-Tr. 4 Qtrs: $82.6 $86.0 $91.4 $93.8 $97.7 Tot

54. Slide 54: Premiums – Annuity

    Premiums ($ millions) – Annuity Bankers Life Annuity – First-Year Premiums  First-year premiums up 18% 2Q10 $280.0 3Q10 $264.7 1Q10 4Q10 $223.1 $233.4 4Q09 $197.3 First-Year Prems.-Tr. 4 Qtrs: $1,057.1 $979.1 $984.4 $965.1 $1,001.2 Total Premiums-Quarterly: $198.2 $224.4 $281.1 $265.8 $234.4 CNO Fi

55. Slide 55: Annuity Surrenders

    Annuity Surrenders Bankers Life IA Surrenders  Total account value: 2Q09 (annualized quarterly rate) 4Q08 1Q09 12.4% 2Q10 – IAs - $1.9 billion 10.9% 10.5% 3Q09 1Q10 10.5% 3Q10 4Q09 9.7% 9.1% 9.2% 4Q10 – Non-IAs - $4.5 billion 8.3% 7.7%  Average account value: – IAs - $1.9 billion – Non-IAs - $4.7

56. Slide 56: Benefit Ratio – PDP

    Benefit Ratio* – PDP Bankers Life  Down 7.7 points, impacted by improved pricing and plan design 1Q10 88.7% 2Q10 89.8% changes 4Q09 68.4% 3Q10 64.4% 4Q10 60.7% *We calculate benefit ratios by dividing insurance policy benefits by insurance policy income. CNO Financial Group 56

57. Slide 57: Benefit Ratio – Med Supp

    Benefit Ratio* – Med Supp Bankers Life  4Q10 impacted by favorable claims experience 4Q09 1Q10 72.8% 2Q10 3Q10 4Q10 71.7% 70.7% 69.5% 70.7% *We calculate benefit ratios by dividing insurance policy benefits by insurance policy income. CNO Financial Group 57

58. Slide 58: Interest-Adjusted Benefit Ratio – LTC

    Interest-Adjusted Benefit Bankers Life Ratio* – LTC 1Q10 2Q10 3Q10 4Q10 4Q09 75.2% 73.2% 71.9% 71.5%  4Q09 reflects a reserve release 66.4% due to positive development of reserves and the impact of policyholder actions following rate increases in 2009 Trailing 4 Quarter Avg.: 67.9% 69.6% 71.0% 71.7

59. Slide 59: New Agent Contracts

    New Agent Contracts Bankers Life 9,402 8,431 7,938 7,579 6,704 2006 2007 2008 2009 2010  Recruiting is down versus 2009, but comparable to pre-2009 levels  Recruiting trends similar to peers  15 new locations planned in 2011 CNO Financial Group 59

60. Slide 60: LTC Rate Increase

    LTC Rate Increase Bankers Life Additional rate increase filings commenced on our LTC portfolio in October  We are filing for an additional increase on almost all plans sold between 2002 and 2005.  For plans generally sold between 1992-2003, we are filing for an additional increase ONLY on policies

61. Slide 61: Segment Performance Washington National

    Segment ($ millions) Performance Washington National Pre-Tax Operating Income*  Earnings of $28.7 million, up 25% 1Q10 4Q10 3Q10 – Reflects an increase in earnings 4Q09 $27.6 2Q10 $27.2 $28.7 $23.0 from our supplemental health $21.1 products due to growth in this block of business and lower claims

62. Slide 62: Premiums – Supplemental Health

    Premiums – Supplemental Health Washington National ($ millions) Supplemental Health – First-Year Premiums  NAP up 15% 4Q09 1Q10 2Q10 $13.1 3Q10 $13.0 4Q10 $13.4 $12.3 $12.5 – Increased focus on supplemental health products – Momentum increasing in Worksite market First-Year Prems.-Tr. 4 Qtrs: $45.4

63. Slide 63: Interest-Adjusted Benefit Ratio – Supplemental Health Insurance

    Interest-Adjusted Benefit Ratio* – Supplemental Health Insurance Washington National 2Q10 3Q10 4Q09 1Q10 52.0%  Down 4.1 points vs. 4Q09 due 49.1% 49.4% 50.5% 4Q10 45.0% to favorable claim experience  Non-interest adjusted ratio 75.0% vs. 4Q09 82.0% Trailing 4 Quarter Avg.: 46.0% 47.8% 48.4% 50.3%

64. Slide 64: Segment Performance Colonial Penn

    Segment ($ millions) Performance Colonial Penn Pre-Tax Operating Income*  Earnings of $5.8 million, down 1.7% 3Q10 2Q10 $7.6 $7.8 – Unfavorable mortality in life products 4Q09 1Q10 4Q10 $5.9 $5.8 $5.3 – Substantially offset by increased earnings in core life products due to growth and higher invest

65. Slide 65: Premiums – Life Insurance Colonial Penn

    Premiums ($ millions) – Life Insurance Colonial Penn Life – First-Year Premiums  Sales (NAP) up 13%  YTD sales up 11% 2Q10 3Q10 4Q10 1Q10 $8.2 4Q09 $8.1 $8.1 $7.9 $7.5  YTD lead generation up 35% First-Year Prems.-Tr. 4 Qtrs: $33.0 $31.7 $31.4 $31.6 $32.3 Total Premiums-Quarterly: $48.9 $47.3 $46

66. Slide 66: Segment Performance Other CNO Business

    Segment ($ millions) Performance Other CNO Business Pre-Tax Operating Income (Loss)*  Earnings of $6.0 million compared to 4Q09 losses of $29.7 million 2Q10 $8.8 4Q10 – Results in 4Q10 reflect favorable mortality in this $6.0 segment’s life block which increased earnings by $6 million – Results in

67. Slide 67: 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

68. Slide 68: 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): 4Q09 1Q10 2Q10 3Q10 4Q10 Net income applicable to common stock $

69. Slide 69: 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

70. Slide 70: 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 or decreases to our valuation allowance for deferred tax assets (“net

71. Slide 71: 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

72. Slide 72: 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, 2010, is as follows (dollars in millions): Bankers Washington

73. Slide 73: 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

74. Slide 74: 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

75. Slide 75: 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 2010 Earnings Presentation on 6ix