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. Exhibit 99.1

2. Slide 2: Forward-Looking Statements

   CNO Financial Group 2 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

3. Slide 3: Non-GAAP Measures

   CNO Financial Group 3 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 sha

4. Slide 4: CNO Financial Group

   E 3 CNO FINANCIAL GROUP CNO Financial Group

5. Slide 5: Summary

   CNO Financial Group 5 Summary  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 con

6. Slide 6: Operating EPS (Diluted)

   CNO Financial Group 6 Operating EPS* (Diluted) CNO Earnings Growth Drivers:  Business growth and retention  NGE and premium rate increases  Favorable claim developments  Proactive capital deployment 2010 $0.65 2011 $0.76 * Operating earnings per share exclude loss on extinguishment of debt, net

7. Slide 7: Operating ROE

   CNO Financial Group 7 Operating ROE CNO Operating ROE*, Trailing 4 Quarters *Operating return excludes loss on extinguishment of debt, net realized investment gains (losses), fair value changes due to fluctuations in the interest rates used to discount embedded derivative liabilities related to our

8. Slide 8: Growth in the CNO Franchise

   CNO Financial Group 8 $11,478.0 $12,106.9 $12,765.2 $2,894.9 $2,676.8 $2,637.6 $698.0 $704.0 $693.6 Growth in the CNO Franchise ($ millions) $16,106.8 Average liabilities on core business segments are increasing, while OCB is shrinking CNO $15,066.5 $15,481.7 $5,799.2 $5,511.5 $5,286.1 2009 2010 201

9. Slide 9: Financial Strength

   CNO Financial Group 9 Financial Strength CNO * Risk-Based Capital (“RBC”) requirements provide a tool for insurance regulators to determine the levels of statutory capital and surplus an insurer must maintain in relation to its insurance and investment risks. The RBC ratio is the ratio of the statut

10. Slide 10: 2011: A Year of Accomplishments

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

11. Slide 11: 2011 Core Business Review

    CNO Financial Group 11 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

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

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

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

    CNO Financial Group 13 4Q11 Sales and Distribution Results  Sales results – Up 2% • Life sales up 7% • LTC sales up 6% Bankers Life Quarterly NAP* *Med Advantage sales (includes PDP) are excluded from NAP in all periods. ($ millions)  Recruiting has been successful – New agent contracts up 25% – A

14. Slide 14: LTC and STC Sales Mix

    CNO Financial Group 14 LTC (LTC and HHC) and STC Sales Mix 19% 29% 33% 36% 41% 48% 81% 71% 67% 64% 59% 52% 2006 2007 2008 2009 2010 2011 STC (Short Term Care) LTC (Long Term Care and Home Health Care) Long Term Care Bankers Life  Bankers business model utilizing exclusive distribution, and a focus

15. Slide 15: Washington National Sales and Distribution Results

    CNO Financial Group 15 Washington National $0.7 $17.5 $18.9 $1.8 Life Supplemental Health4Q10 NAP 4Q11 NAP 4Q11 Sales and Distribution Results ($ millions) Core product sales (supplemental health and life) up 14%  Investment in life sales gaining traction  PMA new producing agents 131, up 7%; and

16. Slide 16: Colonial Penn Sales and Distribution Results

    CNO Financial Group 16  Sales growth continues, NAP up 29% Robust lead generation activity continues  Quarterly results in 2011 were in line with expectations and reflect seasonality 4Q11 Sales and Distribution Results Colonial Penn 4Q10 $9.5 1Q11 $13.6 2Q11 $12.8 3Q11 $12.7 4Q11 $12.3 Quarterly

17. Slide 17: 2012 Outlook

    CNO Financial Group 17 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

18. Slide 18: 4Q11 and 2011 Consolidated Summary

    CNO Financial Group 18 4Q11 and 2011 Consolidated Summary CNO *Management believes that an analysis of net income applicable to common stock before: (1) loss on extinguishment of debt, net of income taxes; (2) net realized investment gains or losses, net of related amortization and income taxes; (3)

19. Slide 19: Segment Earnings Trends

    CNO Financial Group 19 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

20. Slide 20: Statutory Earnings Power and Cash Generation

    CNO Financial Group 20 $128.2 $137.7 $209.0 $180.5 $154.1 $128.2 $137.7 $209.0 $81.0 $81.0 $346.7 $209.2 Statutory Earnings Power Inflows to Holding Co Statutory Earnings Power Inflows to Holding Co Fees and Interest to Holding Company Net Dividends to Holding Company Net Gain From Operations Retain

21. Slide 21: Corporate Liquidity Trend

    CNO Financial Group 21 $209.2 $346.7 $145.5$139.1 2010 2011 Corporate Liquidity Trend Recurring Sources and Uses Including Dividends and Scheduled Debt Payments ($ in millions) Recurring Sources Net Dividends Recurring Uses** Scheduled Debt Payments Made*** $128.2 $114.1 $137.7 $90.5 $209.0 * Amount

22. Slide 22: Excess Capital

    CNO Financial Group 22 4Q11 358% 3Q11 359% 2Q11 351% 1Q11 341% 4Q10 332% 4Q10 $161.1 1Q11 $169.0 2Q11 $234.0 3Q11 $168.9 4Q11 $202.8 Excess Capital Consolidated RBC Ratio Liquidity ($ millions) Approximately $37 million in excess of management target $102.8 million in excess of management target 350

23. Slide 23: Actively Managing Interest Rate Risk

    CNO Financial Group 23 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 Reserv

24. Slide 24: 2012 Outlook

    CNO Financial Group 24 2012 Outlook  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

25. Slide 25: Net Investment Income

    CNO Financial Group 25 Net Investment Income CNO  Relatively stable new money and earned yield progression despite low interest rate environment  Year over year increase in investment income primarily due to growth in assets (including expanded FHLB floating rate program) 3Q11 $338.24Q10 $332.2 1Q

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

    CNO Financial Group 26 Realized Gains/Losses Recognized through Net Income CNO 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)

27. Slide 27: Impairments

    CNO Financial Group 27 Holdings Investors Guaranty Assurance Berkshire Hathaway Comcast Cable Communications Prudential Securities Kraft Time Warner Cable Home Depot, Inc. Ahold Lease USA, Inc. Heinz (H.J.) Company Cox Enterprises $0 $2 $4 $6 $8 $10 $12 $14 1Q11 2Q11 3Q11 4Q11 IGA Corporates Alt-A /

28. Slide 28: Unrealized Gain/Loss

    CNO Financial Group 28 Unrealized Gain/Loss* CNO ($ millions) *Includes debt and equity securities classified as available for sale. Excludes investments from variable interest entities which we consolidate under GAAP. $0 $200 $400 $600 $800 $1,000 $1,200 $1,400 $1,600 $1,800 $2,000 4Q 2010 1Q 2011

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

    CNO Financial Group 29 Holding Company Investments at 12/31/11 CNO ($ millions) Alternatives & Equities (Balance) Fixed Income (net) $75 Cash & Money Market $25 Cash and Money Market $87.9 Fixed Income (net) 68.9 Equities 17.8 Alternatives 28.2 TOTAL $202.8 Long Term Target Allocation Current Invest

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

    CNO Financial Group 30 Asset Allocation and Quality at 12/31/11* Govts/Agency 1.4% Cash & Other 6.0%ABS 5.7% Municipals 7.3% CMBS 5.5% HY Corporates 4.3% Mortgage Loans 6.5% CMOs 8.6% IG Corporates 54.7% *Excludes investments from variable interest entities which we consolidate under GAAP (the relat

31. Slide 31: 2011 Summary and Outlook

    CNO Financial Group 31 2011 Summary and Outlook CNO Market Observations  Many market participants appear to be increasing HG corporate allocations without offsetting increase in supply  Most structured credit markets face emerging supply/demand imbalance due to limited new issue volume and ongoing

32. Slide 32: CNO Value Proposition

    CNO Financial Group 32 CNO Value Proposition Competitive Advantage  Exclusive, growing distribution  Target market focus, with growth as Baby Boomers turn 65  Sustainable with barriers to entry Products  Diversified product suite focused on protection needs  Actively managed inforce block  Foc

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

    CNO Financial Group 33 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

34. Slide 34: Questions and Answers

    CNO Financial Group 34 Questions and Answers

35. Slide 35: Appendix

    CNO Financial Group 35 Appendix

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

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

37. Slide 37: Quarterly Earnings

    CNO Financial Group 37 Quarterly Earnings CNO *Management believes that an analysis of earnings before net realized investment gains (losses), corporate interest, loss on extinguishment of debt, fair value changes due to fluctuations in the interest rates used to discount embedded derivative liabili

38. Slide 38: Quarterly Earnings - Bankers Life

    CNO Financial Group 38 Quarterly Earnings 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 Total r

39. Slide 39: Quarterly Earnings - Washington National

    CNO Financial Group 39 Quarterly 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 Tot

40. Slide 40: Quarterly Earnings - Colonial Penn

    CNO Financial Group 40 Quarterly 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.

41. Slide 41: Quarterly Earnings - Other CNO Business

    CNO Financial Group 41 Quarterly 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 In

42. Slide 42: Operating Return on Allocated Capital Computation

    CNO Financial Group 42 Operating Return on Allocated Capital Computation* Bankers Life Washington National Colonial Penn Other CNO Business Corporate Total For twelve months ended December 31, 2011 Segment pre-tax operating earnings (a non-GAAP financial measure) 327.2$ 99.2$ 27.3$ 13.4$ (124.0)$ 34

43. Slide 43: Premiums Collected

    CNO Financial Group 43 Premiums Collected CNO  Trailing 4 quarters down .3% – Stable results at Bankers Life, Washington National, and Colonial Penn – OCB declining primarily due to continued run-off of inforce blocks, as expected CP Washington National Collected Premiums -Trailing 4 Quarters BLC O

44. Slide 44: Premiums Collected - Med Supp

    CNO Financial Group 44 Premiums Collected – Med Supp  First-year premiums down 11%; 2011 impacted by 1Q11 elevated lapses Med Supp – First-Year Premiums 4Q10 $30.5 1Q11 $25.1 2Q11 $24.7 3Q11 $24.5 4Q11 $27.0 Bankers Life ($ millions) Policies issued and not included in NAP (net of chargebacks, in t

45. Slide 45: Premiums Collected - LTC

    CNO Financial Group 45 Premiums Collected – LTC Net first-year premiums down 11% (Net) $6.2 (Net) $6.1 (Net) $6.0 (Net) $5.9 (Net) $5.5Long-Term Care – First-Year Premiums* *Includes $2.0 million in 4Q10, $1.5 million in 1Q11, $1.4 million in 2Q11, $1.4 million in 3Q11, and $1.6 million in 4Q11 of

46. Slide 46: Premiums Collected - Life

    CNO Financial Group 46 Premiums Collected – Life  First-year premiums up 14% due to higher SPWL sales Life – First-Year Premiums SPWL Non- SPWL 1Q11 $24.7 $12.3 $14.6 4Q10 $26.9 $11.0 $15.1 Bankers Life ($ millions) 2Q11 $29.4 $13.7 $14.3 First-Year Prems – Tr. 4 Qtrs: $97.7 $102.2 $106.8 $111.9 $1

47. Slide 47: Premiums Collected - Annuity

    CNO Financial Group 47 Premiums Collected – Annuity  First-year premiums up 2% 4Q10 $233.4 1Q11 $221.3 2Q11 $258.0 3Q11 $263.1 4Q11 $238.9 Annuity – First-Year Premiums Bankers Life ($ millions) First-Year Prems – Tr. 4 Qtrs: $1,001.2 $999.4 $977.4 $975.8 $981.3 Total Premiums - Quarterly: $234.4 $

48. Slide 48: Premiums Collected - Supplemental Health

    CNO Financial Group 48 Premiums Collected – Supplemental Health Washington National  First-year premiums up 4% due to continued higher sales 4Q10 $13.4 1Q11 $13.2 2Q11 $13.7 3Q11 $13.2 4Q11 $14.0 Supplemental Health – First-Year Premiums ($ millions) First-Year Prems – Tr. 4 Qtrs: $52.0 $52.7 $53.3

49. Slide 49: Premiums Collected - Life, Colonial Penn

    CNO Financial Group 49 Premiums Collected – Life Colonial Penn  First-year premiums up 12% due to continued robust lead generation activity and sales 4Q10 $8.2 1Q11 $8.7 2Q11 $8.6 3Q11 $8.9 4Q11 $9.2 Life – First-Year Premiums ($ millions) First-Year Prems – Tr. 4 Qtrs: $32.3 $33.1 $33.6 $34.4 $35.

50. Slide 50: Book Value

    CNO Financial Group 50 Book Value CNO *See slide 67 for a reconciliation to the corresponding GAAP measure. ($ 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 Compreh

51. Slide 51: 4Q11 Holding Company Liquidity

    CNO Financial Group 51 4Q11 Holding Company Liquidity CNO ($ millions) 4Q 2011 YTD 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

52. Slide 52: Covenant Metrics

    CNO Financial Group 52 Covenant Metrics Interest Coverage Ratio RBC Ratio $1,596 $1,665 $1,668 $1,696 $1,746 0 500 1,000 1,500 2,000 12/31/10 3/31/11 6/30/11 9/30/11 12/31/11 332% 351% 359% 358% 341% 200% 300% 12/31/10 3/31/11 6/30/11 9/30/11 12/31/11 Statutory Adjusted Capital ($ millions) Debt to

53. Slide 53: Debt Maturity Profile

    CNO Financial Group 53 $25 $25 $20 $275 $20 $85$75 $55 $293 $275 $45 $80 $85 $313 $75 2012 2013 2014 2015 2016 2017 2018 Debt Maturity Profile Term Loan Sr. Health Note 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 o

54. Slide 54: Valuation Allowance

    CNO Financial Group 54 Valuation Allowance $558.2 Valuation Allowance $342.3 Net $583.0 Net $304.0 $0.0 $200.0 $400.0 $600.0 $800.0 $1,000.0 Life Non- Life Capital Valuation Allow ance for Loss Carryforw ards Net Loss Carryforw ards in Deferred Tax Asset Gross $583.0 Gross $342.3 Gross $862.2 GAAP B

55. Slide 55: GAAP Valuation Allowance Model

    CNO Financial Group 55 GAAP Valuation Allowance Model ($ millions) CNO (1) Modeled future taxable earnings are based on the 3-year average normalized taxable income, which is assumed to grow by 5 percent per year in the next five years and then remain flat for the remaining years. Life NOLs Non-life

56. Slide 56: DAC Accounting Change Revision to Estimated Impacts

    CNO Financial Group 56 DAC Accounting Change Revision to Estimated Impacts – Consolidated December 31, 2011 Pro Forma Current Estimate Previous Estimate Annual Net Income Reduction of approximately $47 million Reduction of $29 - $34 million Income Per Diluted Share Approximately 15¢ 9¢ - 12¢ Book Va

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

    CNO Financial Group 57 Commercial Mortgage Loans at 12/31/11 By Vintage CNO By Property Type  6.6% of invested assets based on market value  Current LTV of approximately 64.9%  Average trailing DSCR stable at approximately 1.47  0.79% delinquency rate  Limited 2012 loan maturities ($28mm) 2008

58. Slide 58: European Debt by Select Countries

    CNO Financial Group 58 European Debt by Select Countries CNO Sovereigns Corporates Banks Total Market Market / BV Total 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 ($ millions)

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

    CNO Financial Group 59 Prime Jumbo at 12/31/11 CNO  3.8% of total invested assets  93.7% NAIC 1 classification  Substantial proportion of investments purchased at discounts reflective of current market expectations for cash flows from collateral  All securities evaluated using market-consistent

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

    CNO Financial Group 60 CMBS at 12/31/11 Our CMBS exposure is heavily weighted towards AAA-rated securities with substantial credit support, and seasoned vintages with relatively stronger qualitative characteristics. CNO AAA AA A BBB Pre-2004 181.1$ 23.7$ 26.8$ 1.8$ 2004 96.5 12.9 8.0 3.0 2005 278.1

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

    CNO Financial Group 61 CMBS at 12/31/11 CNO  5.4% of invested assets  98.8% NAIC 1 classification  Collateral performing materially better than overall CMBS collateral universe in terms of delinquency and cumulative loss  All securities evaluated using market-consistent estimates of collateral p

62. Slide 62: Commercial Mortgage Loans - Geographic Distribution

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

63. Slide 63: Commercial Mortgage Loans Portfolio at 12/31/11

    CNO Financial Group 63 Commercial Mortgage Loans Portfolio at 12/31/11 CNO ($ millions) - 200 400 600 800 1,000 1,200 1,400 1,600 1,800 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

64. Slide 64: Information Related to Certain Non-GAAP Financial Measures

    CNO Financial Group 64 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

65. Slide 65: Information Related to Certain Non-GAAP Financial Measures

    CNO Financial Group 65 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 appli

66. Slide 66: 4Q10 1Q11 2Q11 3Q11 4Q11 Operating income 51.7$ 51.9$ 7.5$ 46.5$ 60.1$ Add: interest

    CNO Financial Group 66 4Q10 1Q11 2Q11 3Q11 4Q11 Operating income 51.7$ 51.9$ 57.5$ 46.5$ 60.1$ Add: interest expense on 7.0% Convertible Senior Debentures due 2016, net of income taxes 3.6 3.7 3.7 3.7 3.7 Total adjusted operating income 55.3$ 55.6$ 61.2$ 50.2$ 63.8$ Weighted average shares outstandi

67. Slide 67: Information Related to Certain Non-GAAP Financial Measures

    CNO Financial Group 67 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 f

68. Slide 68: Information Related to Certain Non-GAAP Financial Measures

    CNO Financial Group 68 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 discoun

69. Slide 69: Information Related to Certain Non-GAAP Financial Measures

    CNO Financial Group 69 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, fo

70. Slide 70: Information Related to Certain Non-GAAP Financial Measures

    CNO Financial Group 70 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 million

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

    CNO Financial Group 71 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 finan

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

    CNO Financial Group 72 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 (doll

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

    CNO Financial Group 73 Information Related to Certain Non-GAAP Financial Measures A reconciliation of the debt to capital ratio to debt to capital, as defined in our Senior Secured Agreement is as follows (dollars in millions) 4Q10 1Q11 2Q11 3Q11 4Q11 Corporate notes payable 998.5$ 949.8$ 934.5$ 871

CNO Financial Group — Q4 2011 Earnings Presentation on 6ix