UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549

FORM 8-K

CURRENT REPORT
PURSUANT TO SECTION 13 OR 15(d) OF THE
SECURITIES EXCHANGE ACT OF 1934

Date of Report (Date of earliest event reported): February 22, 2012

CNO Financial Group, Inc.
(Exact Name of Registrant as Specified in Charter)

	
			
Delaware	001-31792	75-3108137	
(State or Other
Jurisdiction of Incorporation)	(Commission File Number)	(I.R.S. Employer
Identification No.)	
11825 North Pennsylvania Street
Carmel, Indiana  46032
(Address of Principal Executive Offices) (Zip Code)

(317) 817-6100
(Registrant's telephone number, including area code)

Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions:

	
		
o	Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)	
 	 	
o	Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)	
 	 	
o	Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))	
 	 	
o	Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))	

1 

	
		
Item 2.02.	Results of Operations and Financial Condition.	

On February 22, 2012, CNO Financial Group, Inc. (the “Company”) issued: (i) a press release announcing its financial results for the quarter and year ended December 31, 2011, a copy of which is attached hereto as Exhibit 99.1 and is incorporated herein by reference; and (ii) additional financial information related to the Company's financial and operating results for the quarter ended December 31, 2011, a copy of which is attached hereto as Exhibit 99.2 and is incorporated herein by reference.

The information contained under Item 2.02 in this Current Report on Form 8-K (including Exhibits 99.1 and 99.2) is being furnished and shall not be deemed “filed” for purposes of Section 18 of the Securities and Exchange Act of 1934, as amended (the “Exchange Act”), or otherwise subject to the liabilities of that Section. The information contained in this Current Report on Form 8-K shall not be incorporated by reference into any registration statement or other document pursuant to the Securities Act of 1933, as amended, or the Exchange Act, except as shall be expressly set forth by specific reference in any such filing.

	
		
Item 9.01(d).	Financial Statements and Exhibits.	

The following materials are furnished as exhibits to this Current Report on Form 8-K:

	
		
99.1	Press release dated February 22, 2012 related to financial results for the quarter and year ended December 31, 2011.	
99.2	Quarterly Financial Supplement - 4Q2011.	

2 

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized.

	
				
 	CNO Financial Group, Inc.	
 	 	
Date: February 22, 2012	 	
 	By:	/s/ John R. Kline	 	
 	 	John R. Kline	 	
 	 	Senior Vice President and
Chief Accounting Officer	 	

3 

Exhibit 99.1

For Immediate Release

	
		
Contact:	(News Media)  Tony Zehnder +1.312.396.7086	
 	(Investors)  Scott Galovic +1.317.817.3228	

CNO Reports Fourth Quarter Net Income of $73 Million or 26 Cents Per Diluted Share

Net Income for the year up 34%
Fourth quarter and full year Operating Income up 16% and 19% respectively
Fourth quarter and full year New Annualized Premium (“NAP”) up 6% and 2% respectively
Key capital measures continue to strengthen including debt-to-total capital reducing to 17.1%

Carmel, Ind. February 22, 2012 - CNO Financial Group, Inc. (NYSE: CNO) today announced fourth quarter 2011 net income of $73 million, or 26 cents per diluted share, and operating earnings of $60 million, or 22 cents per diluted share. For the full year 2011, CNO reported net income of $383 million, or $1.31 per diluted share, and net operating income of $216 million, or 76 cents per diluted share.
"We again delivered positive results with strong earnings growth for both the fourth quarter and full year, as our businesses continued to perform well," CEO Ed Bonach said. "We were especially pleased with our sales momentum, and that CNO's key measures of financial strength, including risk-based capital, liquidity, debt-to-total capital and book value, all continued to improve."
Fourth Quarter 2011 Results
		
•	$113.7 million of income before net realized investment gains, corporate interest and taxes (“EBIT”) (1), up 16% compared to $98.2 million in 4Q10	
		
•	Net operating income (2) of $60.1 million, up 16% compared to $51.7 million in 4Q10	
		
•	Net operating income per diluted share: 22 cents, compared to 18 cents in 4Q10	
		
•	Net income of $73.1 million, compared to $168.2 million in 4Q10 (which included $95.0 million of income from the decrease to the valuation allowance for deferred taxes)	
		
•	Net income per diluted share of 26 cents, compared to 56 cents in 4Q10 (which included 31 cents from the decrease to the valuation allowance for deferred taxes)	
		
•	NAP (3): $103.3 million, up 6% from 4Q10	

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CNO Financial (2)
February 22, 2012

Full Year 2011 Results
		
•	EBIT of $419.4 million (1), up 16% compared to $360.9 million in 2010	
		
•	Net operating income (2) of $216.0 million, up 19% compared to $181.9 million in 2010	
		
•	Net operating income per diluted share: 76 cents, compared to 65 cents in 2010	
		
•	Net income of $382.5 million, compared to $284.6 million in 2010	
		
•	Net income per diluted share of $1.31, compared to 99 cents in 2010	
		
•	NAP (3): $375 million, up 2% from 2010	

Financial Strength at December 31, 2011
		
•	The consolidated statutory risk-based capital ratio of our insurance subsidiaries increased 26 percentage points to 358% in 2011, driven by statutory earnings of $363 million partially offset by $209 million of net dividend payments to our holding company	
		
•	Unrestricted cash and investments held by our holding company increased by $41.7 million to $202.8 million during 2011	
		
•	Uses of cash in 2011 included share repurchases of $69.8 million and debt repayment of $144.8 million	
		
•	Debt-to-total capital ratio, as defined in our senior secured credit facility (4), reduced to 17.1% from 20.0% at December 31, 2010	
		
•	Book value per common share, excluding accumulated other comprehensive income (loss) (5), increased to $18.26 from $16.28 at December 31, 2010	

Segment Sales Results
		
•	Consolidated NAP in 4Q11 was $103.3 million, up 6% from 4Q10	
		
•	At Bankers Life (career distribution), NAP in 4Q11 was $69.8 million, up 2% from 4Q10 driven by higher sales of life and short-term care products	
		
•	At Washington National (independent distribution), NAP in 4Q11 was $21.2 million, up 10% from 4Q10 driven by increased sales of core supplemental health and life insurance products	
		
•	At Colonial Penn (direct distribution), NAP in 4Q11 was $12.3 million, up 29% from 4Q10 reflecting robust lead generation	

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CNO Financial (3)
February 22, 2012

Quarterly Segment Operating Results

								
 	Three months ended	
 	December 31,	
 	2011	 	2010	
 	(Dollars in millions, except per-share data)	
EBIT (1):	 	 	 	
Bankers Life	$	87.2		 	$	71.4		
Washington National	29.2		 	28.7		
Colonial Penn	6.2		 	5.8		
Other CNO Business	(.5	)	 	6.0		
EBIT from business segments	122.1		 	111.9		
Corporate Operations, excluding corporate interest expense	(8.4	)	 	(13.7	)	
EBIT	113.7		 	98.2		
Corporate interest expense	(17.7	)	 	(20.0	)	
Income before net realized investment gains, fair value changes in embedded derivative liabilities and taxes	96.0		 	78.2		
Tax expense on operating income	35.9		 	26.5		
Net operating income (2)	60.1		 	51.7		
Net realized investment gains (net of related amortization and taxes)	13.6		 	24.1		
Fair value changes in embedded derivative liabilities (net of related amortization and taxes)	(.4	)	 	—		
Loss on extinguishment of debt, net of income taxes	(.2	)	 	(2.6	)	
Net income before valuation allowance for deferred tax assets	73.1		 	73.2		
Decrease in the valuation allowance for deferred tax assets	—		 	95.0		
Net income	$	73.1		 	$	168.2		
Per diluted share:	 	 	 	
Net operating income	$	.22		 	$	.18		
Net realized investment gains, net of related amortization and taxes	.04		 	.08		
Loss on extinguishment of debt, net of income taxes	—		 	(.01	)	
Valuation allowance for deferred tax assets	—		 	.31		
Net income	$	.26		 	$	.56		

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CNO Financial (4)
February 22, 2012

The following summarizes the financial impact of several significant items (described in the segment results) on our 4Q11 earnings (dollars in millions, except per-share data):         

												
 	Three months ended
December 31, 2011	
 	Actual results	 	Significant items	 	Excluding significant items	
 	 	 	 	 	 	
EBIT (1):	 	 	 	 	 	
Bankers Life	$	87.2		 	$	(11.0	)	 	$	76.2		
Washington National	29.2		 	.8		 	30.0		
Colonial Penn	6.2		 	—		 	6.2		
Other CNO Business	(.5	)	 	—		 	(.5	)	
EBIT from business segments	122.1		 	(10.2	)	 	111.9		
Corporate Operations, excluding corporate interest expense	(8.4	)	 	2.6		 	(5.8	)	
EBIT	113.7		 	(7.6	)	 	106.1		
Corporate interest expense	(17.7	)	 	—		 	(17.7	)	
Income before net realized investment gains, fair value changes in embedded derivative liabilities and taxes	96.0		 	(7.6	)	 	88.4		
Tax expense on operating income	35.9		 	(2.7	)	 	33.2		
Net operating income (2)	60.1		 	(4.9	)	 	55.2		
Net realized investment gains (net of related amortization and taxes)	13.6		 	(13.6	)	 	—		
Fair value changes in embedded derivative liabilities (net of related amortization and taxes)	(.4	)	 	.4		 	—		
Loss on extinguishment of debt, net of income taxes	(.2	)	 	.2		 	—		
Net income	$	73.1		 	$	(17.9	)	 	$	55.2		
Per diluted share:	 	 	 	 	 	
Net operating income	$	.22		 	$	(.02	)	 	$	.20		
Non-operating items	.04		 	(.04	)	 	—		
Net income	$	.26		 	$	(.06	)	 	$	.20		

Segment Earnings
Bankers Life:  Pre-tax operating earnings in 4Q11 of $87.2 million included approximately $11 million of favorable reserve developments in the long-term care and Medicare supplement blocks.
Pre-tax operating earnings in 4Q10 of $71.4 million included approximately $9 million of favorable reserve developments in the long-term care and Medicare supplement blocks.
Pre-tax operating earnings in 4Q11 compared to 4Q10 were up $15.8 million, or 22 percent. Such increase reflects: (i) $9.1 million increased earnings on the annuity block reflecting favorable investment spreads and a larger inforce block and lower amortization of insurance intangibles due to lower than expected surrenders, offset by lower surrender charges; (ii) $4.5 million lower amortization of insurance intangibles due to higher lapses of Medicare supplement policies in 4Q10; and (iii) $2 million in favorable reserve developments in the long-term care and Medicare supplement blocks.
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CNO Financial (5)
February 22, 2012

Washington National:  Pre-tax operating earnings in 4Q11 of $29.2 million included: (i) a $4.5 million out-of-period adjustment which reduced earnings; and (ii) approximately $3.7 million of favorable reserve developments in the supplemental health block.
Pre-tax operating earnings in 4Q11 did not fluctuate significantly from 4Q10.
Colonial Penn:  Pre-tax operating earnings in 4Q11 were up 7 percent compared to 4Q10, primarily reflecting growth in the block.
Other CNO Business:  This segment's business is not being actively marketed and its earnings will often fluctuate between periods. Pre-tax operating earnings in 4Q11 and 4Q10 were within our expected range.
Corporate Operations (including our investment advisory subsidiary and corporate expenses): Net expenses in 4Q11 of $8.4 million included: (i) a charge of $10 million related to the impact of lower interest rates on the value of liabilities for agent deferred compensation and other retirement benefits; and (ii) a reduction in expenses of $7.4 million related to a true-up of the expense assumptions related to stock-based compensation to reflect actual and future expected forfeitures.
Net expenses in 4Q10 of $13.7 million included: (i) a charge of $4.3 million related to the impact of lower interest rates on the value of liabilities for agent deferred compensation and former executive retirement benefits; and (ii) a charge of $2.1 million related to a true-up of pay-for-performance accruals.
Non-Operating Items
Net realized investment gains in 4Q11 were $13.6 million (net of related amortization and taxes), including other-than-temporary impairment losses of $8.3 million recorded in earnings. Net realized investment gains in 4Q10 were $24.1 million (net of related amortization and taxes), including other-than-temporary impairment losses of $77.1 million recorded in earnings.

The results for 4Q10 reflect a $95.0 million reduction to the deferred tax valuation allowance.
The results for 4Q11 also included $.6 million of after-tax non-operating charges related to the change in estimated fair value of embedded derivatives and a loss on extinguishment of debt, compared to a charge of $2.6 million of non-operating items in 4Q10.
Conference Call
The Company will host a conference call to discuss results on February 23, 2012 at 11:00 a.m. Eastern Standard Time. The webcast can be accessed through the Investors section of the company's website: http://investor.CNOinc.com . Participants should go to the website at least 15 minutes before the event to register and download any necessary audio software. During the call, we will be referring to a presentation that will be available the morning of the call at the Investors section of the company's website.

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CNO Financial (6)
February 22, 2012

About CNO
CNO is a holding company. Our insurance subsidiaries - principally Bankers Life and Casualty Company, Washington National Insurance Company and Colonial Penn Life Insurance Company - serve working American families and seniors by helping them protect against financial adversity and provide for a more secure retirement. For more information, visit CNO online at www.CNOinc.com .
____________________________________________

(1)	Management believes that an analysis of earnings before net realized investment gains (losses), fair value changes due to fluctuations in the interest rates used to discount embedded derivative liabilities related to our fixed index annuities, corporate interest expense, loss on extinguishment of debt and taxes (“EBIT,” a non-GAAP financial measure) provides a clearer comparison of the operating results of the company quarter-over-quarter because these items are unrelated to the company's underlying fundamentals. A reconciliation of EBIT to Net Income applicable to common stock is provided in the tables on pages 3 and 10.	
		
(2)	Management believes that an analysis of Net income applicable to common stock before: (i) loss on extinguishment of debt, net of income taxes; (ii) net realized investment gains or losses, net of related amortization and income taxes; and (iii) fair value changes due to fluctuations in the interest rates used to discount embedded derivative liabilities related to our fixed index annuities, net of related amortization and income taxes (“Net operating income,” a non-GAAP financial measure) is important to evaluate the financial performance of the company, and is a key measure commonly used in the life insurance industry. Management uses this measure to evaluate performance because the items excluded from net operating income can be affected by events that are unrelated to the company's underlying fundamentals. The impact of fair value changes in embedded derivative liabilities caused by interest rate fluctuations was insignificant in prior periods. Prior to June 30, 2011, certain of our trading securities were held to offset the income statement volatility caused by the effect of interest rate fluctuations on the value of embedded derivatives related to our fixed index annuity products. During 2Q2011, these securities were sold. A reconciliation of Net operating income to Net income applicable to common stock is provided in the tables on pages 3 and 10. Additional information concerning this non-GAAP measure is included in our periodic filings with the Securities and Exchange Commission that are available in the “Investors - SEC Filings” section of CNO's website, www.CNOinc.com .	
		
(3)	Measured by new annualized premium, which includes 6% of annuity and 10% of single premium whole life deposits and 100% of all other premiums. PDP sales are not comparable to other sales and are therefore excluded in all periods.	
		
(4)	The calculation of this non-GAAP measure differs from the corresponding GAAP measure because: (i) debt is defined as par value plus accrued interest and unused letters of credit; and (ii) accumulated other comprehensive income (loss) has been excluded from the value of capital used to determine this measure. Management believes this non-GAAP measure is useful as the level of such ratio impacts certain provisions in our senior secured credit facility. The corresponding GAAP measures for debt-to-total capital were 14.6% and 18.8% at December 31, 2011 and 2010, respectively.	
		
(5)	The calculation of this non-GAAP measure differs from the corresponding GAAP measure because accumulated other comprehensive income (loss) has been excluded from the value of capital used to determine this measure. Management believes this non-GAAP measure is useful because it removes the volatility that arises from changes in the unrealized appreciation (depreciation) of our investments. The corresponding GAAP measures for book value per common share were $20.86 and $17.23 at December 31, 2011 and 2010, respectively.	

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CNO Financial (7)
February 22, 2012

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 statements, contain forward-looking statements within the meaning of the federal securities laws and the Private Securities Litigation Reform Act of 1995. Forward-looking statements typically are identified by the use of terms such as “anticipate,” “believe,” “plan,” “estimate,” “expect,” “project,” “intend,” “may,” “will,” “would,” “contemplate,” “possible,” “attempt,” “seek,” “should,” “could,” “goal,” “target,” “on track,” “comfortable with,” “optimistic” and similar words, although some forward-looking statements are expressed differently. You should consider statements that contain these words carefully because they describe our expectations, plans, strategies and goals and our beliefs concerning future business conditions, our results of operations, financial position, and our business outlook or they state other ''forward-looking'' information based on currently available information. Assumptions and other important factors that could cause our actual results to differ materially from those anticipated in our forward-looking statements include, among other things: (i) changes in or sustained low interest rates causing reductions in investment income, the margins of our fixed annuity and life insurance businesses, and sales of, and demand for, our products; (ii) general economic, market and political conditions, including the performance and fluctuations of the financial markets which may affect the value of our investments as well as our ability to raise capital or refinance existing indebtedness and the cost of doing so; (iii) the ultimate outcome of lawsuits filed against us and other legal and regulatory proceedings to which we are subject; (iv) our ability to make anticipated changes to certain non-guaranteed elements of our life insurance products; (v) our ability to obtain adequate and timely rate increases on our health products, including our long-term care business; (vi) the receipt of any required regulatory approvals for dividend and surplus debenture interest payments from our insurance subsidiaries; (vii) mortality, morbidity, the increased cost and usage of health care services, persistency, the adequacy of our previous reserve estimates and other factors which may affect the profitability of our insurance products; (viii) changes in our assumptions related to deferred acquisition costs or the present value of future profits; (ix) the recoverability of our deferred tax assets and the effect of potential ownership changes and tax rate changes on their value; (x) our assumption that the positions we take on our tax return filings, including our position that our 7.0% convertible senior debentures due 2016 will not be treated as stock for purposes of Section 382 of the Internal Revenue Code of 1986, as amended, and will not trigger an ownership change, will not be successfully challenged by the Internal Revenue Service; (xi) changes in accounting principles and the interpretation thereof (including changes in principles related to accounting for deferred acquisition costs); (xii) our ability to continue to satisfy the financial ratio and balance requirements and other covenants of our debt agreements; (xiii) our ability to achieve anticipated expense reductions and levels of operational efficiencies including improvements in claims adjudication and continued automation and rationalization of operating systems, (xiv) performance and valuation of our investments, including the impact of realized losses (including other-than-temporary impairment charges); (xv) our ability to identify products and markets in which we can compete effectively against competitors with greater market share, higher ratings, greater financial resources and stronger brand recognition; (xvi) our ability to generate sufficient liquidity to meet our debt service obligations and other cash needs; (xvii) our ability to maintain effective controls over financial reporting; (xviii) our ability to continue to recruit and retain productive agents and distribution partners and customer response to new products, distribution channels and marketing initiatives; (xix) our ability to achieve eventual upgrades of the financial strength ratings of CNO Financial and our insurance company subsidiaries as well as the impact of our ratings on our business, our ability to access capital and the cost of capital; (xx) the risk factors or uncertainties listed from time to time in our filings with the Securities and Exchange Commission; (xxi) regulatory changes or actions, including those relating to regulation of the financial affairs of our insurance companies, such as the payment of dividends and surplus debenture interest to us, regulation of the sale, underwriting and pricing of products, and health care regulation affecting health insurance products; and (xxii) changes in the Federal income tax laws and regulations which may affect or eliminate the relative tax advantages of some of our products or affect the value of our deferred tax assets. Other factors and assumptions not identified above are also relevant to the forward-looking statements, and if they prove incorrect, could also cause actual results to differ materially from those projected. All forward-looking statements are expressly qualified in their entirety by the foregoing cautionary statements. Our forward-looking statements speak only as of the date made. We assume no obligation to update or to publicly announce the results of any revisions to any of the forward-looking statements to reflect actual results, future events or developments, changes in assumptions or changes in other factors affecting the forward-looking statements.

- Tables Follow -

CNO Financial (8)
February 22, 2012
CNO FINANCIAL GROUP, INC. AND SUBSIDIARIES
CONSOLIDATED BALANCE SHEET
(Dollars in millions)

								
 	December 31,	
 	2011	 	2010	
 	 	 	 	
ASSETS	 	 	 	
Investments:	 	 	 	
Fixed maturities, available for sale, at fair value (amortized cost:  2011 - $21,779.1; 2010 - $20,155.8)	$	23,516.0		 	$	20,633.9		
Equity securities at fair value (cost: 2011 - $177.0; 2010 - $68.2)	175.1		 	68.1		
Mortgage loans	1,602.8		 	1,761.2		
Policy loans	279.7		 	284.4		
Trading securities	91.6		 	372.6		
Investments held by securitization entities	496.3		 	420.9		
Other invested assets	202.8		 	240.9		
Total investments	26,364.3		 	23,782.0		
Cash and cash equivalents - unrestricted	436.0		 	571.9		
Cash and cash equivalents held by securitization entities	74.4		 	26.8		
Accrued investment income	288.7		 	327.8		
Present value of future profits	697.7		 	1,008.6		
Deferred acquisition costs	1,418.1		 	1,764.2		
Reinsurance receivables	3,091.1		 	3,256.3		
Income tax assets, net	630.5		 	839.4		
Assets held in separate accounts	15.0		 	17.5		
Other assets	316.9		 	305.1		
Total assets	$	33,332.7		 	$	31,899.6		
LIABILITIES AND SHAREHOLDERS' EQUITY	 	 	 	
Liabilities:	 		 	 		
Liabilities for insurance products:	 		 	 		
Interest-sensitive products	$	13,165.5		 	$	13,194.7		
Traditional products	10,482.7		 	10,307.6		
Claims payable and other policyholder funds	1,034.3		 	968.7		
Liabilities related to separate accounts	15.0		 	17.5		
Other liabilities	548.3		 	496.3		
Investment borrowings	1,676.5		 	1,204.1		
Borrowings related to variable interest entities	519.9		 	386.9		
Notes payable – direct corporate obligations	857.9		 	998.5		
Total liabilities	28,300.1		 	27,574.3		
Commitments and Contingencies	 	 	 	
Shareholders' equity:	 		 	 		
Common stock ($0.01 par value, 8,000,000,000 shares authorized, shares issued and outstanding:  2011 – 241,304,503; 2010 – 251,084,174)	2.4		 	2.5		
Additional paid-in capital	4,361.9		 	4,424.2		
Accumulated other comprehensive income	625.5		 	238.3		
Retained earnings (accumulated deficit)	42.8		 	(339.7	)	
Total shareholders' equity	5,032.6		 	4,325.3		
Total liabilities and shareholders' equity	$	33,332.7		 	$	31,899.6		
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CNO Financial (9)
February 22, 2012

CNO FINANCIAL GROUP, INC. AND SUBSIDIARIES
CONSOLIDATED STATEMENT OF OPERATIONS
(Dollars in millions, except per-share data)

	
																
 	Three months ended	 	Year ended	
 	December 31,	 	December 31,	
 	2011	 	2010	 	2011	 	2010	
Revenues:	 	 	 	 	 	 	 	
Insurance policy income	$	670.2		 	$	663.0		 	$	2,690.5		 	$	2,670.0		
Net investment income:	 	 	 	 	 	 	 	
General account assets	344.2		 	332.2		 	1,360.7		 	1,295.0		
Policyholder and reinsurer accounts and other special-purpose portfolios	7.8		 	27.3		 	(6.6	)	 	71.9		
Realized investment gains:	 	 	 	 	 	 	 	
Net realized investment gains, excluding impairment losses	31.5		 	125.3		 	96.4		 	180.0		
Other-than-temporary impairment losses:	 	 	 	 	 	 	 	
Total other-than-temporary impairment losses	(13.6	)	 	(77.0	)	 	(39.9	)	 	(146.8	)	
Portion of other-than-temporary impairment losses recognized in accumulated other comprehensive income	5.3		 	(.1	)	 	5.3		 	(3.0	)	
Net impairment losses recognized	(8.3	)	 	(77.1	)	 	(34.6	)	 	(149.8	)	
Total realized gains	23.2		 	48.2		 	61.8		 	30.2		
Fee revenue and other income	5.7		 	5.1		 	18.2		 	16.8		
Total revenues	1,051.1		 	1,075.8		 	4,124.6		 	4,083.9		
Benefits and expenses:	 	 	 	 	 	 	 	
Insurance policy benefits	670.4		 	673.7		 	2,699.0		 	2,723.7		
Interest expense	28.1		 	28.6		 	114.1		 	113.2		
Amortization	107.0		 	126.0		 	432.4		 	443.8		
Loss on extinguishment of debt	.3		 	4.1		 	3.4		 	6.8		
Other operating costs and expenses	129.4		 	132.1		 	496.5		 	502.9		
Total benefits and expenses	935.2		 	964.5		 	3,745.4		 	3,790.4		
Income before income taxes	115.9		 	111.3		 	379.2		 	293.5		
Income tax expense:	 	 	 	 	 	 	 	
Tax expense on period income	42.8		 	38.1		 	139.7		 	103.9		
Valuation allowance for deferred tax assets	—		 	(95.0	)	 	(143.0	)	 	(95.0	)	
Net income	$	73.1		 	$	168.2		 	$	382.5		 	$	284.6		
Earnings per common share:	 	 	 	 	 	 	 	
Basic:	 	 	 	 	 	 	 	
Weighted average shares outstanding	242,789,000		 	251,064,000		 	247,952,000		 	250,973,000		
Net income	$	.30		 	$	.67		 	$	1.54		 	$	1.13		
Diluted:	 	 	 	 	 	 	 	
Weighted average shares outstanding	298,071,000		 	306,662,000		 	304,081,000		 	301,858,000		
Net income	$	.26		 	$	.56		 	$	1.31		 	$	.99		

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CNO Financial (10)
February 22, 2012

CNO FINANCIAL GROUP, INC. AND SUBSIDIARIES
Operating Results
(Dollars in millions, except per-share data)

	
								
 	Year ended	
 	December 31,	
 	2011	 	2010	
EBIT (1):	 	 	 	
Bankers Life	$	327.2		 	$	284.1		
Washington National	99.2		 	104.6		
Colonial Penn	27.3		 	26.5		
Other CNO Business	13.4		 	(11.5	)	
EBIT from business segments	467.1		 	403.7		
Corporate Operations, excluding corporate interest expense	(47.7	)	 	(42.8	)	
EBIT	419.4		 	360.9		
Corporate interest expense	(76.3	)	 	(79.3	)	
Income before net realized investment gains, fair value changes in embedded derivative liabilities and taxes	343.1		 	281.6		
Tax expense on operating income	127.1		 	99.7		
Net operating income (2)	216.0		 	181.9		
Net realized investment gains (net of related amortization and taxes)	35.5		 	12.1		
Fair value changes in embedded derivative liabilities (net of related amortization and taxes)	(9.8	)	 	—		
Loss on extinguishment of debt, net of income taxes	(2.2	)	 	(4.4	)	
Net income before valuation allowance for deferred tax assets	239.5		 	189.6		
Decrease in the valuation allowance for deferred tax assets	143.0		 	95.0		
Net income	$	382.5		 	$	284.6		
Per diluted share:	 	 	 	
Net operating income	$	.76		 	$	.65		
Net realized investment gains, net of related amortization and taxes	.12		 	.04		
Fair value changes in embedded derivative liabilities, net of related amortization and taxes	(.03	)	 	—		
Loss on extinguishment of debt, net of income taxes	(.01	)	 	(.01	)	
Valuation allowance for deferred tax assets	.47		 	.31		
Net income	$	1.31		 	$	.99		

-more-

CNO Financial (11)
February 22, 2012

CNO FINANCIAL GROUP, INC. AND SUBSIDIARIES
COLLECTED PREMIUMS
(Dollars in millions)

	
								
 	Three months ended	
 	December 31,	
 	2011	 	2010	
Bankers Life segment :	 	 	 	
Annuity	$	240.1		 	$	234.4		
Medicare supplement and other supplemental health	335.9		 	347.2		
Life	66.1		 	56.2		
Total collected premiums	$	642.1		 	$	637.8		
Washington National segment :	 	 	 	
Medicare supplement and other supplemental health	$	142.6		 	$	142.9		
Life	3.7		 	4.2		
Total collected premiums	$	146.3		 	$	147.1		
Colonial Penn segment:	 	 	 	
Life	$	49.3		 	$	46.8		
Supplemental health	1.3		 	1.6		
Total collected premiums	$	50.6		 	$	48.4		
Other CNO Business segment :	 	 	 	
Annuity	$	3.0		 	$	3.5		
Other health	6.3		 	7.5		
Life	40.1		 	46.7		
Total collected premiums	$	49.4		 	$	57.7		

-more-

CNO Financial (12)
February 22, 2012

CNO FINANCIAL GROUP, INC. AND SUBSIDIARIES
BENEFIT RATIOS ON MAJOR HEALTH LINES OF BUSINESS

	
						
 	Three months ended	
 	December 31,	
 	2011	 	2010	
Bankers Life segment :	 	 	 	
Medicare Supplement:	 	 	 	
Earned premium	$179 million		 	$177 million		
Benefit ratio (a)	70.5	%	 	70.7	%	
Long-Term Care:	 	 	 	
Earned premium	$141 million		 	$145 million		
Benefit ratio (a)	112.1	%	 	113.3	%	
Interest-adjusted benefit ratio (a non-GAAP measure) (b)	67.3	%	 	71.5	%	
Washington National segment :	 	 	 	
Medicare Supplement:	 	 	 	
Earned premium	$33 million		 	$38 million		
Benefit ratio (a)	66.7	%	 	70.9	%	
Supplemental health:	 	 	 	
Earned premium	$110 million		 	$103 million		
Benefit ratio (a)	76.3	%	 	75.0	%	
Interest-adjusted benefit ratio (a non-GAAP measure) (b)	48.3	%	 	45.0	%	

____________________________________________________________________________________

		
(a)	The benefit ratio is calculated by dividing the related product's insurance policy benefits by insurance policy income.	
(b)	The interest-adjusted benefit ratio (a non-GAAP measure) is calculated by dividing the product's insurance policy benefits less interest income on the accumulated assets backing the insurance liabilities by insurance policy income. Interest income is an important factor in measuring the performance of longer duration health products. The net cash flows generally cause an accumulation of amounts in the early years of a policy (accounted for as reserve increases), which will be paid out as benefits in later policy years (accounted for as reserve decreases). Accordingly, as the policies age, the benefit ratio will typically increase, but the increase in the change in reserve will be partially offset by interest income earned on the accumulated assets. The interest-adjusted benefit ratio reflects the interest income offset. Since interest income is an important factor in measuring the performance of these products, management believes a benefit ratio, which includes the effect of interest income, is useful in analyzing product performance. Additional information concerning this non-GAAP measure is included in our periodic filings with the Securities and Exchange Commission that are available in the “Investors - SEC Filings” section of CNO Financial's website, www.CNOinc.com .	

- # # # # -

Exhibit 99.2

	

 	 	 	 	 	 	
Quarterly Financial Supplement -	 	 	 	 	 	
4Q2011	 	 	 	 	 	

 	 	 	 	 	 	
February 22, 2012	 	 	 	 	 	

Page 1

	
					
Table of Contents	 	 	 	Page	
 	 	 	 	 	
Consolidated balance sheet	 	 	 	3	
Consolidated statement of operations	 	 	 	4	
Earnings per share analysis	 	 	 	5	
Computation of weighted average shares outstanding	 	 	 	6	
Analyses of income before taxes and selected data:	 	 	 	 	
     Bankers Life	 	 	 	7-8	
     Washington National	 	 	 	9-10	
     Colonial Penn	 	 	 	11	
     Other CNO Business	 	 	 	12-13	
     Corporate operations	 	 	 	14	
Premiums collected on insurance products:	 	 	 	 	
     Bankers Life	 	 	 	15	
     Washington National	 	 	 	16	
     Colonial Penn	 	 	 	17	
     Other CNO Business	 	 	 	18	
New annualized premiums	 	 	 	19	
Statutory information	 	 	 	20	
Notes	 	 	 	21	

Page 2

	
																											
CNO Financial Group, Inc.	 	 	 	 	 	 	 	 	 	 	
Consolidated balance sheet (in millions)	 	 	Mar-10	Jun-10	Sep-10	Dec-10	Mar-11	Jun-11	Sep-11	Dec-11	
 	 	 	 	 	 	 	 	 	 	 	
Assets	 	 	 	 	 	 	 	 	 	 	
Investments:	 	 	 	 	 	 	 	 	 	 	
  Fixed maturities, available for sale, at fair value	 	 	$	18,813.8		$	19,935.7		$	21,007.5		$	20,633.9		$	20,852.2		$	21,622.9		$	23,016.7		$	23,516.0		
  Equity securities at fair value	 	 	31.1		31.0		41.1		68.1		105.4		129.6		164.3		175.1		
  Mortgage loans	 	 	1,936.6		1,948.1		1,825.6		1,761.2		1,751.3		1,752.8		1,648.2		1,602.8		
  Policy loans	 	 	294.0		292.9		290.9		284.4		281.6		279.5		279.6		279.7		
  Trading securities	 	 	332.0		360.7		389.7		372.6		403.1		83.5		81.8		91.6		
  Investments held by variable interest entities	 	 	511.7		478.4		454.8		420.9		401.6		414.0		453.5		496.3		
  Securities lending collateral	 	 	147.4		77.6		—		—		—		—		—		—		
  Other invested assets	 	 	236.3		167.2		189.5		240.9		272.1		252.2		190.9		202.8		
  Total investments	 	 	22,302.9		23,291.6		24,199.1		23,782.0		24,067.3		24,534.5		25,835.0		26,364.3		
Cash and cash equivalents - unrestricted	 	 	321.1		323.7		548.8		571.9		424.6		580.2		461.9		436.0		
Cash and cash equivalents held by variable interest entities	 	 	24.3		13.5		18.3		26.8		27.1		25.3		19.7		74.4		
Accrued investment income	 	 	334.0		323.1		345.3		327.8		336.7		314.3		301.2		288.7		
Present value of future profits	 	 	1,133.2		1,077.3		1,028.3		1,008.6		970.1		936.5		714.2		697.7		
Deferred acquisition costs	 	 	1,788.0		1,700.0		1,612.7		1,764.2		1,766.1		1,762.6		1,444.7		1,418.1		
Reinsurance receivables	 	 	3,444.1		3,357.2		3,315.7		3,256.3		3,219.0		3,172.5		3,131.3		3,091.1		
Income tax assets, net	 	 	1,021.9		769.0		536.7		839.4		798.9		703.5		687.2		630.5		
Assets held in separate accounts	 	 	17.0		15.6		16.7		17.5		18.1		17.4		15.4		15.0		
Other assets	 	 	398.4		349.8		352.0		305.1		439.9		349.8		314.9		316.9		
Total assets	 	 	$	30,784.9		$	31,220.8		$	31,973.6		$	31,899.6		$	32,067.8		$	32,396.6		$	32,925.5		$	33,332.7		
Liabilities	 	 	 	 	 	 	 	 	 	 	
Liabilities for insurance products:	 	 	 	 	 	 	 	 	 	 	
  Interest-sensitive products	 	 	$	13,217.7		$	13,177.8		$	13,217.6		$	13,194.7		$	13,161.3		$	13,152.8		$	13,168.2		$	13,165.5		
  Traditional products	 	 	10,137.6		10,199.7		10,253.0		10,307.6		10,357.9		10,424.4		10,444.8		10,482.7		
  Claims payable and other policyholder funds	 	 	969.4		946.0		939.4		968.7		979.0		978.0		985.5		1,034.3		
  Liabilities related to separate accounts	 	 	17.0		15.6		16.7		17.5		18.1		17.4		15.4		15.0		
Other liabilities	 	 	583.6		683.6		833.9		496.3		643.1		703.7		576.9		548.3		
Investment borrowings	 	 	454.5		454.2		653.9		1,204.1		1,203.8		1,305.3		1,509.1		1,676.5		
Borrowings related to variable interest entities	 	 	495.4		449.7		425.0		386.9		354.4		317.3		405.6		519.9		
Securities lending payable	 	 	152.4		82.0		—		—		—		—		—		—		
Notes payable - direct corporate obligations	 	 	1,037.2		1,029.4		1,029.8		998.5		949.8		934.5		871.2		857.9		
Total liabilities	 	 	27,064.8		27,038.0		27,369.3		27,574.3		27,667.4		27,833.4		27,976.7		28,300.1		
Shareholders' equity	 	 	 	 	 	 	 	 	 	 	
Common stock	 	 	2.5		2.5		2.5		2.5		2.5		2.5		2.4		2.4		
Additional paid-in capital	 	 	4,411.0		4,418.8		4,421.6		4,424.2		4,426.1		4,414.3		4,379.4		4,361.9		
Retained earnings (accumulated deficit)	 	 	(590.4	)	(557.3	)	(507.9	)	(339.7	)	(285.8	)	(226.3	)	(30.3	)	42.8		
Total shareholders' equity before accumulated other comprehensive income (loss)	 	 	3,823.1		3,864.0		3,916.2		4,087.0		4,142.8		4,190.5		4,351.5		4,407.1		
Accumulated other comprehensive income (loss)	 	 	(103.0	)	318.8		688.1		238.3		257.6		372.7		597.3		625.5		
Total shareholders' equity	 	 	3,720.1		4,182.8		4,604.3		4,325.3		4,400.4		4,563.2		4,948.8		5,032.6		
Total liabilities and shareholders' equity	 	 	$	30,784.9		$	31,220.8		$	31,973.6		$	31,899.6		$	32,067.8		$	32,396.6		$	32,925.5		$	33,332.7		

 	 	 	 	 	 	 	 	 	 	 	
 	 	 	1Q10	2Q10	3Q10	4Q10	1Q11	2Q11	3Q11	4Q11	
 	 	 	 	 	 	 	 	 	 	 	
Book value per share at period-end (1) (2)	 	 	$	15.24		$	15.39		$	15.60		$	16.28		$	16.48		$	16.80		$	17.89		$	18.26		
 	 	 	 	 	 	 	 	 	 	 	
Book value per share assuming conversion of convertible securities (1) (3)	 	 	$	13.68		$	13.52		$	13.70		$	14.23		$	14.37		$	14.58		$	15.49		$	15.80		

Page 3

	
																															
CNO Financial Group, Inc.	 	 	 	 	 	 	 	 	 	 	
Consolidated statement of operations (in millions)	1Q10	2Q10	3Q10	4Q10	2010	1Q11	2Q11	3Q11	4Q11	2011	
 	 	 	 	 	 	 	 	 	 	 	
Revenues	 	 	 	 	 	 	 	 	 	 	
Insurance policy income	$	664.6		$	667.9		$	674.5		$	663.0		$	2,670.0		$	667.2		$	679.6		$	673.5		$	670.2		$	2,690.5		
Net investment income (loss):	 	 	 	 	 	 	 	 	 	 	
   General account assets	315.2		321.1		326.5		332.2		1,295.0		336.1		342.2		338.2		344.2		1,360.7		
Policyholder and reinsurer accounts and other special-purpose portfolios	24.0		(22.7	)	43.3		27.3		71.9		37.4		3.1		(54.9	)	7.8		(6.6	)	
Realized investment gains (losses):	 	 	 	 	 	 	 	 	 	 	
Net realized investment gains, excluding impairment losses	15.4		11.2		28.1		125.3		180.0		18.4		13.0		33.5		31.5		96.4		
   Other-than-temporary impairment losses:	 	 	 	 	 	 	 	 	 	 	
      Total other-than-temporary impairment losses	(17.7	)	(29.3	)	(22.8	)	(77.0	)	(146.8	)	(13.3	)	(10.1	)	(2.9	)	(13.6	)	(39.9	)	
Portion of other-than-temporary impairment losses recognized in accumulated other comprehensive income (loss)	(2.6	)	1.4		(1.7	)	(0.1	)	(3.0	)	—		—		—		5.3		5.3		
   Net impairment losses recognized	(20.3	)	(27.9	)	(24.5	)	(77.1	)	(149.8	)	(13.3	)	(10.1	)	(2.9	)	(8.3	)	(34.6	)	
Total realized gains (losses)	(4.9	)	(16.7	)	3.6		48.2		30.2		5.1		2.9		30.6		23.2		61.8		
Fee revenue and other income	3.5		3.6		4.6		5.1		16.8		3.4		4.2		4.9		5.7		18.2		
Total revenues	1,002.4		953.2		1,052.5		1,075.8		4,083.9		1,049.2		1,032.0		992.3		1,051.1		4,124.6		
 	 	 	 	 	 	 	 	 	 	 	
Benefits and expenses	 	 	 	 	 	 	 	 	 	 	
Insurance policy benefits	699.0		651.0		700.0		673.7		2,723.7		683.2		684.4		661.0		670.4		2,699.0		
Interest expense	27.5		28.7		28.4		28.6		113.2		29.2		28.9		27.9		28.1		114.1		
Amortization	102.6		96.6		118.6		126.0		443.8		136.7		101.5		87.2		107.0		432.4		
Loss on extinguishment of debt	1.8		0.9		—		4.1		6.8		1.4		0.6		1.1		0.3		3.4		
Other operating costs and expenses	118.4		124.2		128.2		132.1		502.9		115.1		124.4		127.6		129.4		496.5		
Total benefits and expenses	949.3		901.4		975.2		964.5		3,790.4		965.6		939.8		904.8		935.2		3,745.4		
 	 	 	 	 	 	 	 	 	 	 	
Income before income taxes	53.1		51.8		77.3		111.3		293.5		83.6		92.2		87.5		115.9		379.2		
Income tax expense on period income	19.2		18.7		27.9		38.1		103.9		29.7		32.7		34.5		42.8		139.7		
Valuation allowance for deferred tax assets	—		—		—		(95.0	)	(95.0	)	—		—		(143.0	)	—		(143.0	)	
Net income	$	33.9		$	33.1		$	49.4		$	168.2		$	284.6		$	53.9		$	59.5		$	196.0		$	73.1		$	382.5		

Page 4

	
																															
CNO Financial Group, Inc.	 	 	 	 	 	 	 	 	 	 	
Earnings per share analysis ($ in millions, except per share amounts)	1Q10	2Q10	3Q10	4Q10	2010	1Q11	2Q11	3Q11	4Q11	2011	
 	 	 	 	 	 	 	 	 	 	 	
Income before net realized investment gains (losses), net of related amortization and income taxes:	 	 	 	 	 	 	 	 	 	 	
    Bankers Life	$	53.2		$	64.0		$	95.5		$	71.4		$	284.1		$	63.9		$	84.7		$	91.4		$	87.2		$	327.2		
 	 	 	 	 	 	 	 	 	 	 	
    Washington National	27.6		21.1		27.2		28.7		104.6		25.2		22.7		22.1		29.2		99.2	
 	 	 	 	 	 	 	 	 	 	 	
    Colonial Penn	5.3		7.6		7.8		5.8		26.5		5.4		7.6		8.1		6.2		27.3	
 	 	 	 	 	 	 	 	 	 	 	
    Other CNO Business	(1.9	)	8.8		(24.4	)	6.0		(11.5	)	7.1		4.8		2.0		(0.5	)	13.4	
 	 	 	 	 	 	 	 	 	 	 	
    Corporate operations:	 	 	 	 	 	 	 	 	 	 	
            Interest expense on debt	(19.5	)	(19.8	)	(20.0	)	(20.0	)	(79.3	)	(20.6	)	(19.3	)	(18.7	)	(17.7	)	(76.3	)	
            Loss on extinguishment of debt	(1.8	)	(0.9	)	—		(4.1	)	(6.8	)	(1.4	)	(0.6	)	(1.1	)	(0.3	)	(3.4	)	
            Other corporate expenses, net	(5.0	)	(11.8	)	(12.3	)	(13.7	)	(42.8	)	(0.5	)	(11.3	)	(27.5	)	(8.4	)	(47.7	)	
 	 	 	 	 	 	 	 	 	 	 	
Net realized investment gains (losses), net of related amortization	(4.8	)	(17.2	)	3.5		37.2		18.7		4.5		3.6		25.7		20.8		54.6		
Fair value changes in embedded derivative liabilities, net of related amortization	—		—		—		—		—		—		—		(14.5	)	(0.6	)	(15.1	)	

Income before taxes	53.1		51.8		77.3		111.3		293.5		83.6		92.2		87.5		115.9		379.2		
 	 	 	 	 	 	 	 	 	 	 	
Taxes	19.2		18.7		27.9		38.1		103.9		29.7		32.7		34.5		42.8		139.7		
Valuation allowance for deferred tax assets	—		—		—		(95.0	)	(95.0	)	—		—		(143.0	)	—		(143.0	)	
Net income	$	33.9		$	33.1		$	49.4		$	168.2		$	284.6		$	53.9		$	59.5		$	196.0		$	73.1		$	382.5		

 	 	 	 	 	 	 	 	 	 	 	

 	 	 	 	 	 	 	 	 	 	 	
Diluted earnings per share	$	0.13		$	0.12		$	0.17		$	0.56		$	0.99		$	0.19		$	0.21		$	0.66		$	0.26		$	1.31		
 	 	 	 	 	 	 	 	 	 	 	
Net realized investment gains (losses), net of related amortization and taxes	(0.01	)	(0.04	)	0.01		0.08		0.04		0.01		0.01		0.05		0.04		.12		
 	 	 	 	 	 	 	 	 	 	 	
Fair value changes in embedded derivative liabilities, net of related amortization and taxes	—		—		—		—		—		—		—		(0.03	)	—		(.03	)	
 	 	 	 	 	 	 	 	 	 	 	
Valuation allowance for deferred tax assets	—		—		—		0.31		0.31		—		—		0.47		—		.47		
 	 	 	 	 	 	 	 	 	 	 	
Loss on extinguishment of debt	—		—		—		(0.01	)	(0.01	)	—		—		—		—		(.01	)	
 	 	 	 	 	 	 	 	 	 	 	
Diluted earnings per share, excluding net realized investment gains (losses), fair value changes in embedded derivative liabilities, valuation allowance for deferred tax assets and loss on extinguishment of debt	$	0.14		$	0.16		$	0.16		$	0.18		$	0.65		$	0.18		$	0.20		$	0.17		$	0.22		$	0.76		

 	 	 	 	 	 	 	 	 	 	 	

Page 5

	
																					
CNO Financial Group, Inc.	 	 	 	 	 	 	 	 	 	 	
Computation of weighted average shares outstanding	1Q10	2Q10	3Q10	4Q10	2010	1Q11	2Q11	3Q11	4Q11	2011	
(000s)	 	 	 	 	 	 	 	 	 	 	
 	 	 	 	 	 	 	 	 	 	 	
Basic	 	 	 	 	 	 	 	 	 	 	
Shares outstanding, beginning of period	250,786.2		250,929.8		251,044.7		251,046.4		250,786.2		251,084.2		251,404.9		249,415.2		243,247.3		251,084.2		
Weighted average shares issued during the period:	 	 	 	 	 	 	 	 	 	 	
Shares repurchased	—		—		—		—		—		—		(590.3	)	(2,511.6	)	(720.5	)	(3,700.7	)	
Shares issued under stock option and restricted stock plans	2.3		67.8		0.1		18.2		240.0		52.6		118.5		61.8		268.6		694.4		
Shares withheld for the payment of taxes owed on the vesting of restricted stock	(0.7	)	(3.4	)	—		(0.5	)	(53.5	)	(16.3	)	—		(0.3	)	(6.2	)	(125.9	)	
Weighted average basic shares outstanding during the period	250,787.8		250,994.2		251,044.8		251,064.1		250,972.7		251,120.5		250,933.1		246,965.1		242,789.2		247,952.0		
Basic shares outstanding, end of period	250,929.8		251,044.7		251,046.4		251,084.2		251,084.2		251,404.9		249,415.2		243,247.3		241,304.5		241,304.5		
Diluted	 	 	 	 	 	 	 	 	 	 	
Weighted average basic shares outstanding	250,787.8		250,994.2		251,044.8		251,064.1		250,972.7		251,120.5		250,933.1		246,965.1		242,789.2		247,952.0		
Common stock equivalent shares related to:	 	 	 	 	 	 	 	 	 	 	
  Convertible debentures	39,532.4		49,793.3		53,363.6		53,366.9		49,014.1		53,366.9		53,366.9		53,366.9		53,366.9		53,366.9		
  Stock option and restricted stock plans	1,760.3		1,860.6		1,631.2		2,231.1		1,870.8		2,748.3		3,035.8		2,352.9		1,914.6		2,512.9		
  Warrants	—		—		—		—		—		262.4		712.4		22.9		—		249.4		
Weighted average diluted shares outstanding during the period	292,080.5		302,648.1		306,039.6		306,662.1		301,857.6		307,498.1		308,048.2		302,707.8		298,070.7		304,081.2		
Diluted shares outstanding, end of period	296,498.0		306,268.9		306,044.5		306,682.1		306,682.1		307,782.4		306,530.3		298,990.0		296,586.0		296,586.0		

Page 6

	
																															
CNO Financial Group, Inc.	 	 	 	 	 	 	 	 	 	 	
Bankers Life	 	 	 	 	 	 	 	 	 	 	
Analysis of income before taxes (in millions)	1Q10	2Q10	3Q10	4Q10	2010	1Q11	2Q11	3Q11	4Q11	2011	
 	 	 	 	 	 	 	 	 	 	 	
Insurance policy income	$	396.2		$	400.7		$	405.1		$	394.2		$	1,596.2		$	400.0		$	409.6		$	404.6		$	398.2		$	1,612.4		
Net investment income (loss):	 	 	 	 	 	 	 	 	 	 	
   General account invested assets	172.2		177.0		182.4		187.7		719.3		191.3		196.5		194.3		198.2		780.3		
   Fixed index products	12.1		(15.3	)	21.9		13.9		32.6		18.3		0.4		(36.3	)	3.6		(14.0	)	
   Other special-purpose portfolios	1.6		(1.2	)	4.2		2.4		7.0		—		—		—		—		—		
Net realized investment gains (losses)	(3.0	)	(10.3	)	18.3		57.1		62.1		6.6		(1.8	)	26.5		16.6		47.9		
Fee revenue and other income	2.3		2.7		3.6		4.2		12.8		2.3		3.3		3.6		4.6		13.8		
   Total revenues	581.4		553.6		635.5		659.5		2,430.0		618.5		608.0		592.7		621.2		2,440.4		
 	 	 	 	 	 	 	 	 	 	 	
Insurance policy benefits	350.6		344.2		341.8		339.9		1,376.5		337.6		351.3		333.6		339.2		1,361.7		
Insurance policy benefits - fair value changes in embedded derivative liabilities	—		—		—		—		—		—		—		30.7		0.5		31.2		
Amounts added to policyholder account balances:	 	 	 	 	 	 	 	 	 	 	
Annuity products and interest-sensitive life products other than fixed index products	43.8		44.1		43.3		44.1		175.3		40.8		40.5		40.0		39.9		161.2		
Fixed index products	22.1		(5.6	)	17.0		22.0		55.5		26.4		17.1		(13.0	)	16.7		47.2		
Amortization related to operations	67.0		70.6		76.4		76.5		290.5		101.9		69.7		67.2		69.8		308.6		
Amortization related to net realized investment gains (losses)	0.5		(0.5	)	1.4		8.8		10.2		1.0		(0.4	)	3.9		2.3		6.8		
Amortization related to fair value changes in embedded derivative liabilities	—		—		—		—		—		—		—		(16.4	)	0.1		(16.3	)	
Interest expense on investment borrowings	—		—		—		1.0		1.0		1.2		1.1		1.2		1.3		4.8		
Other operating costs and expenses	47.7		46.6		43.2		47.5		185.0		40.1		45.4		45.8		50.5		181.8		
   Total benefits and expenses	531.7		499.4		523.1		539.8		2,094.0		549.0		524.7		493.0		520.3		2,087.0		
   Income before income taxes	$	49.7		$	54.2		$	112.4		$	119.7		$	336.0		$	69.5		$	83.3		$	99.7		$	100.9		$	353.4		

 	 	 	 	 	 	 	 	 	 	 	
Health underwriting margins (in millions)	1Q10	2Q10	3Q10	4Q10	2010	1Q11	2Q11	3Q11	4Q11	2011	
 	 	 	 	 	 	 	 	 	 	 	
Medicare supplement:	 	 	 	 	 	 	 	 	 	 	
   Earned premium	$	178.8		$	178.5		$	178.2		$	177.4		$	712.9		$	181.0		$	179.5		$	179.2		$	178.6		$	718.3		
   Benefit ratio	72.8	%	70.7	%	69.5	%	70.7	%	70.9	%	67.2	%	69.8	%	68.4	%	70.5	%	69.0	%	
Underwriting margin (earned premium less policy benefits)	$	48.6		$	52.3		$	54.4		$	52.0		$	207.3		$	59.3		$	54.2		$	56.7		$	52.7		$	222.9		
 	 	 	 	 	 	 	 	 	 	 	
PDP:	 	 	 	 	 	 	 	 	 	 	
   Earned premium	$	18.0		$	19.7		$	19.3		$	10.8		$	67.8		$	14.4		$	16.7		$	12.9		$	10.5		$	54.5		
   Benefit ratio	88.7	%	89.8	%	64.4	%	60.7	%	77.7	%	89.5	%	88.6	%	76.1	%	72.6	%	82.8	%	
Underwriting margin (earned premium less policy benefits)	$	2.0		$	2.0		$	6.9		$	4.2		$	15.1		$	1.5		$	1.9		$	3.1		$	2.9		$	9.4		
 	 	 	 	 	 	 	 	 	 	 	
PFFS:	 	 	 	 	 	 	 	 	 	 	
   Earned premium	$	(0.1	)	$	(0.3	)	$	(0.4	)	$	0.2		$	(0.6	)	$	—		$	3.6		$	—		$	—		$	3.6		
   Benefit ratio	N/A		N/A		N/A		N/A		N/A		N/A		N/A		N/A		N/A		N/A		
Underwriting margin (earned premium less policy benefits)	$	5.0		$	4.0		$	6.5		$	2.0		$	17.5		$	0.7		$	3.7		$	0.5		$	0.3		$	5.2		
 	 	 	 	 	 	 	 	 	 	 	
Long-term care:	 	 	 	 	 	 	 	 	 	 	
   Earned premium	$	149.1		$	144.6		$	146.8		$	145.4		$	585.9		$	144.4		$	143.4		$	142.0		$	141.1		$	570.9		
   Benefit ratio before interest income on reserves	114.4	%	113.0	%	114.2	%	113.3	%	113.7	%	113.4	%	115.0	%	109.7	%	112.1	%	112.6	%	
   Interest-adjusted benefit ratio	75.2	%	71.9	%	73.2	%	71.5	%	73.0	%	70.8	%	71.6	%	65.5	%	67.3	%	68.8	%	
Underwriting margin (earned premium plus interest income on reserves less policy benefits)	$	36.9		$	40.6		$	39.4		$	41.5		$	158.4		$	42.2		$	40.7		$	49.1		$	46.1		$	178.1		

Page 7

	
																															
CNO Financial Group, Inc.	 	 	 	 	 	 	 	 	 	 	
Bankers Life	 	 	 	 	 	 	 	 	 	 	
Average liabilities for insurance products (in millions) (continued)	1Q10	2Q10	3Q10	4Q10	2010	1Q11	2Q11	3Q11	4Q11	2011	
 	 	 	 	 	 	 	 	 	 	 	
Annuities:	 	 	 	 	 	 	 	 	 	 	
   Mortality based	$	251.8		$	250.7		$	249.4		$	248.5		$	250.1		$	245.9		$	243.1		$	240.0		$	236.7		$	241.4		
   Fixed index	1,685.0		1,769.7		1,871.3		2,008.3		1,833.6		2,147.7		2,268.3		2,412.9		2,573.0		2,350.5		
   Deposit based	4,905.3		4,905.5		4,905.2		4,882.8		4,899.7		4,832.4		4,793.2		4,750.5		4,699.6		4,768.9		
Medicare supplement and other supplemental health	4,275.6		4,337.4		4,376.8		4,431.4		4,355.3		4,489.6		4,529.9		4,564.0		4,606.8		4,547.6		
Life:	 	 	 	 	 	 	 	 	 	 	
   Interest sensitive	407.8		412.2		414.0		417.6		412.9		420.5		425.2		431.8		437.1		428.6		
   Non-interest sensitive	331.4		346.9		363.4		379.5		355.3		397.8		416.8		437.7		460.5		428.2		
Total average liabilities for insurance products, net of reinsurance ceded	$	11,856.9		$	12,022.4		$	12,180.1		$	12,368.1		$	12,106.9		$	12,533.9		$	12,676.5		$	12,836.9		$	13,013.7		$	12,765.2		

 	 	 	 	 	 	 	 	 	 	 	
Present value of future profits (in millions)	1Q10	2Q10	3Q10	4Q10	2010	1Q11	2Q11	3Q11	4Q11	2011	
 	 	 	 	 	 	 	 	 	 	 	
Balance, beginning of period	$	569.5		$	539.1		$	495.3		$	465.7		$	569.5		$	467.2		$	442.7		$	422.0		$	208.9		$	467.2		
Amortization related to operations	(22.5	)	(21.5	)	(19.1	)	(16.9	)	(80.0	)	(24.6	)	(16.9	)	(14.3	)	(14.2	)	(70.0	)	
Amortization related to net realized investment (gains) losses	—		—		(0.1	)	(0.4	)	(0.5	)	(0.1	)	0.1		(0.2	)	(0.2	)	(0.4	)	
Adjustment related to unrealized (gain) or loss on fixed maturities, available for sale	(7.9	)	(22.3	)	(10.4	)	18.8		(21.8	)	0.2		(3.9	)	(198.6	)	7.3		(195.0	)	
Balance, end of period	$	539.1		$	495.3		$	465.7		$	467.2		$	467.2		$	442.7		$	422.0		$	208.9		$	201.8		$	201.8		

 	 	 	 	 	 	 	 	 	 	 	
Deferred acquisition costs (in millions)	1Q10	2Q10	3Q10	4Q10	2010	1Q11	2Q11	3Q11	4Q11	2011	
 	 	 	 	 	 	 	 	 	 	 	
Balance, beginning of period	$	1,179.1		$	1,171.3		$	1,089.6		$	1,011.4		$	1,179.1		$	1,149.5		$	1,146.2		$	1,139.9		$	836.4		$	1,149.5		
Deferred acquisition expenses	72.0		78.5		77.5		77.7		305.7		76.6		76.6		81.9		73.8		308.9		
Amortization related to operations	(44.5	)	(49.1	)	(57.3	)	(59.6	)	(210.5	)	(77.3	)	(52.8	)	(52.9	)	(55.6	)	(238.6	)	
Amortization related to net realized investment (gains) losses	(0.5	)	0.5		(1.3	)	(8.4	)	(9.7	)	(0.9	)	0.3		(3.7	)	(2.1	)	(6.4	)	
Amortization related to fair value changes in embedded derivative liabilities	—		—		—		—		—		—		—		16.4		(0.1	)	16.3		
Adjustment related to unrealized (gain) or loss on fixed maturities, available for sale	(34.8	)	(111.6	)	(97.1	)	128.4		(115.1	)	(1.7	)	(30.4	)	(345.2	)	(45.8	)	(423.1	)	
Balance, end of period	$	1,171.3		$	1,089.6		$	1,011.4		$	1,149.5		$	1,149.5		$	1,146.2		$	1,139.9		$	836.4		$	806.6		$	806.6		

Page 8

	
																															
CNO Financial Group, Inc.	 	 	 	 	 	 	 	 	 	 	
Washington National	 	 	 	 	 	 	 	 	 	 	
Analysis of income before taxes (in millions)	1Q10	2Q10	3Q10	4Q10	2010	1Q11	2Q11	3Q11	4Q11	2011	
 	 	 	 	 	 	 	 	 	 	 	
Insurance policy income	$	145.4		$	144.7		$	144.9		$	146.0		$	581.0		$	145.4		$	146.6		$	145.9		$	147.2		$	585.1		
Net investment income (loss):	 	 	 	 	 	 	 	 	 	 	
   General account invested assets	45.5		45.8		46.2		46.7		184.2		46.3		46.7		47.3		49.1		189.4		
Trading account income related to reinsurer accounts	0.8		1.1		1.6		(1.0	)	2.5		0.3		0.7		2.6		0.2		3.8		
Change in value of embedded derivatives related to modified coinsurance agreements	(0.9	)	(1.0	)	(1.4	)	2.0		(1.3	)	(0.3	)	(0.7	)	(2.6	)	(0.1	)	(3.7	)	
Net realized investment gains (losses)	(1.2	)	—		(2.3	)	(3.9	)	(7.4	)	(0.5	)	(0.5	)	1.6		1.4		2.0		
Fee revenue and other income	0.3		0.2		0.3		0.3		1.1		0.3		0.2		0.4		0.1		1.0		
   Total revenues	189.9		190.8		189.3		190.1		760.1		191.5		193.0		195.2		197.9		777.6		
 	 	 	 	 	 	 	 	 	 	 	
Insurance policy benefits	112.5		116.7		112.4		109.0		450.6		112.2		118.3		119.0		115.0		464.5		
Amortization related to operations	14.8		13.1		14.4		14.6		56.9		16.1		14.0		13.9		12.5		56.5		
Interest expense on investment borrowings	—		—		—		—		—		—		—		0.2		0.5		0.7		
Other operating costs and expenses	36.2		39.9		37.6		41.7		155.4		38.5		38.5		38.4		39.3		154.7		
   Total benefits and expenses	163.5		169.7		164.4		165.3		662.9		166.8		170.8		171.5		167.3		676.4		
   Income before income taxes	$	26.4		$	21.1		$	24.9		$	24.8		$	97.2		$	24.7		$	22.2		$	23.7		$	30.6		$	101.2		

 	 	 	 	 	 	 	 	 	 	 	
Health underwriting margins (in millions)	1Q10	2Q10	3Q10	4Q10	2010	1Q11	2Q11	3Q11	4Q11	2011	
 	 	 	 	 	 	 	 	 	 	 	
Medicare supplement:	 	 	 	 	 	 	 	 	 	 	
Earned premium	$	41.6		$	40.2		$	39.1		$	37.5		$	158.4		$	35.5		$	34.9		$	33.5		$	32.6		$	136.5		
Benefit ratio	65.7	%	65.8	%	67.0	%	70.9	%	67.3	%	66.3	%	71.1	%	69.9	%	66.7	%	68.5	%	
Underwriting margin (earned premium less policy benefits)	$	14.2		$	13.8		$	12.9		$	10.9		$	51.8		$	12.0		$	10.1		$	10.1		$	10.8		$	43.0		
 	 	 	 	 	 	 	 	 	 	 	
Supplemental health:	 	 	 	 	 	 	 	 	 	 	
Earned premium	$	98.0		$	99.1		$	100.6		$	103.1		$	400.8		$	104.7		$	106.9		$	107.6		$	110.0		$	429.2		
Benefit ratio before interest income on reserves	82.3	%	83.2	%	81.3	%	75.0	%	80.4	%	78.7	%	82.7	%	82.4	%	76.3	%	80.0	%	
Interest-adjusted benefit ratio	49.4	%	52.0	%	50.5	%	45.0	%	49.2	%	49.1	%	54.1	%	53.9	%	48.3	%	51.3	%	
Underwriting margin (earned premium plus interest income on reserves less policy benefits)	$	49.6		$	47.6		$	49.7		$	56.8		$	203.7		$	53.3		$	49.1		$	49.6		$	56.6		$	208.6		

Page 9

	
																															
CNO Financial Group, Inc.	 	 	 	 	 	 	 	 	 	 	
Washington National	 	 	 	 	 	 	 	 	 	 	
Average liabilities for insurance products (in millions) (continued)	1Q10	2Q10	3Q10	4Q10	2010	1Q11	2Q11	3Q11	4Q11	2011	
 	 	 	 	 	 	 	 	 	 	 	
Medicare supplement and other supplemental health	$	2,530.1		$	2,485.5		$	2,432.4		$	2,432.5		$	2,470.1		$	2,434.6		$	2,437.1		$	2,436.9		$	2,436.1		$	2,436.2		
Non-interest sensitive life	206.8		206.5		207.8		205.7		206.7		205.2		202.2		198.7		199.6		201.4	
Total average liabilities for insurance products, net of reinsurance ceded	$	2,736.9		$	2,692.0		$	2,640.2		$	2,638.2		$	2,676.8		$	2,639.8		$	2,639.3		$	2,635.6		$	2,635.7		$	2,637.6		

 	 	 	 	 	 	 	 	 	 	 	
Present value of future profits (in millions)	1Q10	2Q10	3Q10	4Q10	2010	1Q11	2Q11	3Q11	4Q11	2011	
 	 	 	 	 	 	 	 	 	 	 	
Balance, beginning of period	$	455.1		$	447.6		$	440.7		$	433.8		$	455.1		$	426.9		$	418.5		$	411.5		$	406.0		$	426.9		
  Amortization related to operations	(7.5	)	(6.9	)	(6.9	)	(6.9	)	(28.2	)	(8.4	)	(7.0	)	(5.5	)	(4.0	)	(24.9	)	
Balance, end of period	$	447.6		$	440.7		$	433.8		$	426.9		$	426.9		$	418.5		$	411.5		$	406.0		$	402.0		$	402.0		

 	 	 	 	 	 	 	 	 	 	 	
Deferred acquisition costs (in millions)	1Q10	2Q10	3Q10	4Q10	2010	1Q11	2Q11	3Q11	4Q11	2011	
 	 	 	 	 	 	 	 	 	 	 	
Balance, beginning of period	$	185.4		$	190.2		$	196.4		$	206.7		$	185.4		$	212.3		$	216.8		$	222.3		$	226.9		$	212.3		
  Deferred acquisition expenses	12.1		12.4		17.8		13.3		55.6		12.2		12.5		13.0		12.5		50.2		
  Amortization related to operations	(7.3	)	(6.2	)	(7.5	)	(7.7	)	(28.7	)	(7.7	)	(7.0	)	(8.4	)	(8.5	)	(31.6	)	
Balance, end of period	$	190.2		$	196.4		$	206.7		$	212.3		$	212.3		$	216.8		$	222.3		$	226.9		$	230.9		$	230.9		

Page 10

	
																															
CNO Financial Group, Inc.	 	 	 	 	 	 	 	 	 	 	
Colonial Penn	 	 	 	 	 	 	 	 	 	 	
Analysis of income before taxes (in millions)	1Q10	2Q10	3Q10	4Q10	2010	1Q11	2Q11	3Q11	4Q11	2011	
 	 	 	 	 	 	 	 	 	 	 	
Insurance policy income	$	48.2		$	49.3		$	48.8		$	48.6		$	194.9		$	50.3		$	50.9		$	50.8		$	51.0		$	203.0		
Net investment income on general account invested assets	9.7		9.7		9.9		10.0		39.3		10.3		10.5		10.1		10.2		41.1	
Net realized investment gains	0.5		—		2.0		4.1		6.6		1.1		0.2		3.5		1.0		5.8	
Fee revenue and other income	0.2		0.1		0.2		0.2		0.7		0.2		0.2		0.2		0.3		0.9	
   Total revenues	58.6		59.1		60.9		62.9		241.5		61.9		61.8		64.6		62.5		250.8	
 	 	 	 	 	 	 	 	 	 	 	
Insurance policy benefits	36.4		35.2		36.1		36.1		143.8		38.5		37.8		35.7		37.2		149.2	
Amounts added to annuity and interest-sensitive life product account balances	0.3		0.2		0.3		0.2		1.0		0.2		0.2		0.3		0.2		0.9	
Amortization related to operations	8.7		8.8		7.0		8.8		33.3		9.0		8.6		9.3		10.1		37.0		
Other operating costs and expenses	7.4		7.3		7.7		7.9		30.3		7.7		7.4		7.7		7.8		30.6	
   Total benefits and expenses	52.8		51.5		51.1		53.0		208.4		55.4		54.0		53.0		55.3		217.7	
   Income before income taxes	$	5.8		$	7.6		$	9.8		$	9.9		$	33.1		$	6.5		$	7.8		$	11.6		$	7.2		$	33.1		

 	 	 	 	 	 	 	 	 	 	 	
Average liabilities for insurance products (in millions)	1Q10	2Q10	3Q10	4Q10	2010	1Q11	2Q11	3Q11	4Q11	2011	
 	 	 	 	 	 	 	 	 	 	 	
Annuities - mortality based	$	79.9		$	79.3		$	79.2		$	79.2		$	79.4		$	78.5		$	77.8		$	77.3		$	77.1		$	77.7		
Supplemental health	18.3		17.7		17.5		17.1		17.6		16.6		16.3		16.1		15.8		16.2	
Life:	 	 	 	 	 	 	 	 	 	 	
   Interest sensitive	21.9		21.6		21.1		20.7		21.3		20.7		20.5		20.2		20.1		20.3	
   Non-interest sensitive	576.6		578.2		580.3		583.6		579.7		586.7		588.7		590.2		593.4		589.8	
Total average liabilities for insurance products, net of reinsurance ceded	$	696.7		$	696.8		$	698.1		$	700.6		$	698.0		$	702.5		$	703.3		$	703.8		$	706.4		$	704.0		

 	 	 	 	 	 	 	 	 	 	 	
Present value of future profits (in millions)	1Q10	2Q10	3Q10	4Q10	2010	1Q11	2Q11	3Q11	4Q11	2011	
 	 	 	 	 	 	 	 	 	 	 	
Balance, beginning of period	$	92.4		$	89.4		$	86.6		$	84.0		$	92.4		$	81.7		$	79.1		$	76.9		$	74.9		$	81.7		
  Amortization related to operations	(3.0	)	(2.8	)	(2.6	)	(2.3	)	(10.7	)	(2.6	)	(2.2	)	(2.0	)	(2.3	)	(9.1	)	
Balance, end of period	$	89.4		$	86.6		$	84.0		$	81.7		$	81.7		$	79.1		$	76.9		$	74.9		$	72.6		$	72.6		

 	 	 	 	 	 	 	 	 	 	 	
Deferred acquisition costs (in millions)	1Q10	2Q10	3Q10	4Q10	2010	1Q11	2Q11	3Q11	4Q11	2011	
 	 	 	 	 	 	 	 	 	 	 	
Balance, beginning of period	$	199.8		$	211.0		$	217.0		$	223.7		$	199.8		$	226.5		$	238.5		$	246.6		$	256.8		$	226.5		
  Deferred acquisition expenses	16.9		12.0		11.1		9.3		49.3		18.4		14.5		17.5		12.5		62.9		
  Amortization related to operations	(5.7	)	(6.0	)	(4.4	)	(6.5	)	(22.6	)	(6.4	)	(6.4	)	(7.3	)	(7.8	)	(27.9	)	
Balance, end of period	$	211.0		$	217.0		$	223.7		$	226.5		$	226.5		$	238.5		$	246.6		$	256.8		$	261.5		$	261.5		

Page 11

	
																															
CNO Financial Group, Inc.	 	 	 	 	 	 	 	 	 	 	
Other CNO Business	 	 	 	 	 	 	 	 	 	 	
Analysis of income (loss) before taxes (in millions)	1Q10	2Q10	3Q10	4Q10	2010	1Q11	2Q11	3Q11	4Q11	2011	
 	 	 	 	 	 	 	 	 	 	 	
Insurance policy income	$	74.8		$	73.2		$	75.7		$	74.2		$	297.9		$	71.5		$	72.5		$	72.2		$	73.8		$	290.0		
Net investment income (loss):	 	 	 	 	 	 	 	 	 	 	
   General account invested assets	87.8		88.5		88.0		87.8		352.1		88.2		87.6		85.4		85.7		346.9		
   Fixed index products	3.9		(6.5	)	6.2		6.2		9.8		5.0		(0.9	)	(8.4	)	0.9		(3.4	)	
Trading account income related to policyholder accounts	0.9		(1.6	)	2.3		1.1		2.7		1.5		—		(2.4	)	1.5		0.6		
Net realized investment gains (losses)	0.1		(5.0	)	(13.0	)	(9.7	)	(27.6	)	(1.0	)	1.1		3.0		3.0		6.1		
   Total revenues	167.5		148.6		159.2		159.6		634.9		165.2		160.3		149.8		164.9		640.2		
 	 	 	 	 	 	 	 	 	 	 	
Insurance policy benefits	90.3		84.3		110.4		82.6		367.6		88.8		85.9		86.7		88.7		350.1		
Insurance policy benefits - fair value changes in embedded derivative liabilities	—		—		—		—		—		—		—		3.2		—		3.2		
Amounts added to policyholder account balances:	 	 	 	 	 	 	 	 	 	 	
Annuity products and interest-sensitive life products other than fixed index products	32.4		31.4		32.4		31.4		127.6		31.6		30.3		28.9		29.6		120.4		
   Fixed index products	10.6		0.5		6.3		8.4		25.8		7.1		3.0		(4.1	)	3.4		9.4		
Amortization related to operations	12.2		3.6		20.7		15.1		51.6		9.1		9.9		11.3		12.1		42.4		
Amortization related to net realized investment gains (losses)	(0.6	)	1.0		(1.3	)	2.2		1.3		(0.4	)	(0.3	)	1.0		0.1		0.4		
Amortization related to fair value changes in embedded derivative liabilities	—		—		—		—		—		—		—		(3.0	)	—		(3.0	)	
Interest expense on investment borrowings	5.0		5.0		5.1		4.9		20.0		4.9		5.0		5.3		5.1		20.3		
Other operating costs and expenses	18.8		20.0		21.7		20.9		81.4		17.6		20.3		16.7		23.5		78.1		
   Total benefits and expenses	168.7		145.8		195.3		165.5		675.3		158.7		154.1		146.0		162.5		621.3		
   Income (loss) before income taxes	$	(1.2	)	$	2.8		$	(36.1	)	$	(5.9	)	$	(40.4	)	$	6.5		$	6.2		$	3.8		$	2.4		$	18.9		

 	 	 	 	 	 	 	 	 	 	 	
Health underwriting margins (in millions)	1Q10	2Q10	3Q10	4Q10	2010	1Q11	2Q11	3Q11	4Q11	2011	
 	 	 	 	 	 	 	 	 	 	 	
Long-term care:	 	 	 	 	 	 	 	 	 	 	
   Earned premium	$	7.7		$	7.5		$	7.5		$	7.2		$	29.9		$	7.3		$	7.0		$	6.9		$	6.4		$	27.6		
   Benefit ratio before interest income on reserves	187.2	%	212.9	%	201.7	%	243.0	%	210.8	%	235.7	%	205.8	%	227.5	%	237.1	%	226.4	%	
   Interest-adjusted benefit ratio	96.8	%	128.0	%	116.9	%	155.1	%	123.8	%	148.0	%	106.4	%	126.1	%	127.8	%	127.3	%	
Underwriting margin (earned premium plus interest income on reserves less policy benefits)	$	0.2		$	(2.1	)	$	(1.2	)	$	(4.0	)	$	(7.1	)	$	(3.5	)	$	(0.5	)	$	(1.8	)	$	(1.9	)	$	(7.7	)	

Page 12

	
																															
CNO Financial Group, Inc.	 	 	 	 	 	 	 	 	 	 	
Other CNO Business	 	 	 	 	 	 	 	 	 	 	
Average liabilities for insurance products (in millions) (continued)	1Q10	2Q10	3Q10	4Q10	2010	1Q11	2Q11	3Q11	4Q11	2011	
 	 	 	 	 	 	 	 	 	 	 	
Annuities:	 	 	 	 	 	 	 	 	 	 	
   Mortality based	$	212.0		$	210.9		$	209.8		$	209.2		$	210.5		$	207.8		$	205.9		$	218.9		$	231.9		$	216.1		
   Fixed index	743.6		728.1		705.5		678.0		713.8		652.1		632.1		607.6		577.9		617.4		
   Deposit based	620.0		659.6		705.0		698.8		670.9		692.0		687.4		666.5		645.0		672.7		
   Separate accounts	17.1		16.3		16.2		17.1		16.7		17.8		17.7		16.4		15.2		16.8		
Other health	480.9		480.1		479.4		479.8		480.0		481.8		481.9		481.3		481.4		481.6		
Life:	 	 	 	 	 	 	 	 	 	 	
   Interest sensitive	2,607.2		2,593.7		2,581.0		2,560.1		2,585.5		2,527.4		2,506.1		2,484.6		2,456.6		2,493.7		
   Non-interest sensitive	844.9		839.9		831.2		820.5		834.1		805.6		790.9		780.6		774.0		787.8		
Total average liabilities for insurance products, net of reinsurance ceded	$	5,525.7		$	5,528.6		$	5,528.1		$	5,463.5		$	5,511.5		$	5,384.5		$	5,322.0		$	5,255.9		$	5,182.0		$	5,286.1		

 	 	 	 	 	 	 	 	 	 	 	
Present value of future profits (in millions)	1Q10	2Q10	3Q10	4Q10	2010	1Q11	2Q11	3Q11	4Q11	2011	
 	 	 	 	 	 	 	 	 	 	 	
Balance, beginning of period	$	58.9		$	57.1		$	54.7		$	44.8		$	58.9		$	32.8		$	29.8		$	26.1		$	24.4		$	32.8		
Amortization related to operations	(1.3	)	(1.6	)	(9.7	)	(7.1	)	(19.7	)	(2.4	)	(2.2	)	(1.1	)	(3.6	)	(9.3	)	
Amortization related to net realized investment (gains) losses	—		—		0.1		—		0.1		—		—		—		—		—		
Adjustment related to unrealized (gain) or loss on fixed maturities, available for sale	(0.5	)	(0.8	)	(0.3	)	(4.9	)	(6.5	)	(0.6	)	(1.5	)	(0.6	)	0.5		(2.2	)	
Balance, end of period	$	57.1		$	54.7		$	44.8		$	32.8		$	32.8		$	29.8		$	26.1		$	24.4		$	21.3		$	21.3		

 	 	 	 	 	 	 	 	 	 	 	
Deferred acquisition costs (in millions)	1Q10	2Q10	3Q10	4Q10	2010	1Q11	2Q11	3Q11	4Q11	2011	
 	 	 	 	 	 	 	 	 	 	 	
Balance, beginning of period	$	226.6		$	215.5		$	197.0		$	170.9		$	226.6		$	175.9		$	164.6		$	153.8		$	124.6		$	175.9		
Deferred acquisition expenses	8.0		2.3		1.8		2.1		14.2		2.1		2.1		1.3		1.2		6.7		
Other adjustments	—		(3.9	)	(6.8	)	—		(10.7	)	—		—		—		—		—		
Amortization related to operations	(10.9	)	(2.0	)	(11.0	)	(8.0	)	(31.9	)	(6.7	)	(7.7	)	(10.2	)	(8.5	)	(33.1	)	
Amortization related to net realized investment (gains) losses	0.6		(1.0	)	1.2		(2.2	)	(1.4	)	0.4		0.3		(1.0	)	(0.1	)	(0.4	)	
Amortization related to fair value changes in embedded derivative liabilities	—		—		—		—		—		—		—		3.0		—		3.0		
Adjustment related to unrealized (gain) or loss on fixed maturities, available for sale	(8.8	)	(13.9	)	(11.3	)	13.1		(20.9	)	(7.1	)	(5.5	)	(22.3	)	1.9		(33.0	)	
Balance, end of period	$	215.5		$	197.0		$	170.9		$	175.9		$	175.9		$	164.6		$	153.8		$	124.6		$	119.1		$	119.1		

Page 13

	
																															
CNO Financial Group, Inc.	 	 	 	 	 	 	 	 	 	 	
Corporate Operations	 	 	 	 	 	 	 	 	 	 	
Analysis of loss before taxes (in millions)	1Q10	2Q10	3Q10	4Q10	2010	1Q11	2Q11	3Q11	4Q11	2011	
 	 	 	 	 	 	 	 	 	 	 	
Interest expense on corporate debt	$	(19.5	)	$	(19.8	)	$	(20.0	)	$	(20.0	)	$	(79.3	)	$	(20.6	)	$	(19.3	)	$	(18.7	)	$	(17.7	)	$	(76.3	)	
Net investment income (loss):	 	 	 	 		 	 	 	 	 	
   General account invested assets	—		.1		—		—		.1		—		.9		1.1		1.0		3.0		
   Other special-purpose portfolios	.2		(3.2	)	3.4		(1.9	)	(1.5	)	8.2		(.1	)	(13.7	)	(3.1	)	(8.7	)	
Net realized investment gains (losses)	(1.3	)	(1.4	)	(1.4	)	.6		(3.5	)	(1.1	)	3.9		(4.0	)	1.2		—		
Fee revenue and other income	.5		.4		.4		.3		1.6		.4		.2		.3		.4		1.3		
Net operating results of variable interest entities	2.4		1.1		1.9		1.8		7.2		2.0		.2		3.8		1.5		7.5		
Interest expense on investment borrowings	—		—		—		—		—		—		—		(.1	)	(.1	)	(.2	)	
Loss on extinguishment of debt	(1.8	)	(.9	)	—		(4.1	)	(6.8	)	(1.4	)	(.6	)	(1.1	)	(.3	)	(3.4	)	
Other operating costs and expenses	(8.1	)	(10.2	)	(18.0	)	(13.9	)	(50.2	)	(11.1	)	(12.5	)	(18.9	)	(8.1	)	(50.6	)	
   Income (loss) before income taxes	$	(27.6	)	$	(33.9	)	$	(33.7	)	$	(37.2	)	$	(132.4	)	$	(23.6	)	$	(27.3	)	$	(51.3	)	$	(25.2	)	$	(127.4	)	

Page 14

	
																															
CNO Financial Group, Inc.	 	 	 	 	 	 	 	 	 	 	
Bankers Life	 	 	 	 	 	 	 	 	 	 	
Premiums collected on insurance products (in millions)	1Q10	2Q10	3Q10	4Q10	2010	1Q11	2Q11	3Q11	4Q11	2011	
 	 	 	 	 	 	 	 	 	 	 	
Annuities	 	 	 	 	 	 	 	 	 	 	
 	 	 	 	 	 	 	 	 	 	 	
Fixed index (first-year)	$	104.0		$	146.9		$	146.3		$	180.5		$	577.7		$	148.2		$	163.9		$	208.0		$	188.3		$	708.4		
 	 	 	 	 	 	 	 	 	 	 	
Other fixed rate (first-year)	119.1		133.1		118.4		52.9		423.5		73.1		94.1		55.1		50.6		272.9		
Other fixed rate (renewal)	1.1		1.1		1.1		1.0		4.3		0.9		1.1		1.0		1.2		4.2		
  Subtotal - other fixed rate annuities	120.2		134.2		119.5		53.9		427.8		74.0		95.2		56.1		51.8		277.1		
 	 	 	 	 	 	 	 	 	 	 	
      Total annuities	224.2		281.1		265.8		234.4		1,005.5		222.2		259.1		264.1		240.1		985.5		
 	 	 	 	 	 	 	 	 	 	 	
Health	 	 	 	 	 	 	 	 	 	 	
 	 	 	 	 	 	 	 	 	 	 	
Medicare supplement (first-year)	27.2		29.4		29.3		30.5		116.4		25.1		24.7		24.5		27.0		101.3		
Medicare supplement (renewal)	149.4		139.4		140.8		151.8		581.4		153.7		144.3		146.8		155.1		599.9		
  Subtotal - Medicare supplement	176.6		168.8		170.1		182.3		697.8		178.8		169.0		171.3		182.1		701.2		
 	 	 	 	 	 	 	 	 	 	 	
Long-term care (first-year)	4.8		5.5		5.7		6.2		22.2		6.1		6.0		5.9		5.5		23.5		
Long-term care (renewal)	144.7		141.1		139.3		137.3		562.4		138.8		136.9		131.9		130.8		538.4		
  Subtotal - long-term care	149.5		146.6		145.0		143.5		584.6		144.9		142.9		137.8		136.3		561.9		
 	 	 	 	 	 	 	 	 	 	 	
PDP and PFFS (first-year)	1.4		0.7		0.6		1.0		3.7		0.4		0.2		0.6		0.6		1.8		
PDP and PFFS (renewal)	16.7		13.4		15.0		17.6		62.7		10.6		14.4		15.6		14.1		54.7		
  Subtotal - PDP and PFFS	18.1		14.1		15.6		18.6		66.4		11.0		14.6		16.2		14.7		56.5		
 	 	 	 	 	 	 	 	 	 	 	
Other health (first-year)	0.6		0.5		0.5		0.5		2.1		0.4		0.3		0.4		0.5		1.6		
Other health (renewal)	2.3		2.4		2.2		2.3		9.2		2.5		2.3		2.3		2.3		9.4		
  Subtotal - other health	2.9		2.9		2.7		2.8		11.3		2.9		2.6		2.7		2.8		11.0		
 	 	 	 	 	 	 	 	 	 	 	
    Total health	347.1		332.4		333.4		347.2		1,360.1		337.6		329.1		328.0		335.9		1,330.6		
 	 	 	 	 	 	 	 	 	 	 	
Life insurance	 	 	 	 	 	 	 	 	 	 	
 	 	 	 	 	 	 	 	 	 	 	
First-year	20.2		24.8		25.8		26.9		97.7		24.7		29.4		30.9		30.8		115.8		
Renewal	26.3		27.3		29.0		29.3		111.9		31.7		32.6		34.6		35.3		134.2		
 	 	 	 	 	 	 	 	 	 	 	
    Total life insurance	46.5		52.1		54.8		56.2		209.6		56.4		62.0		65.5		66.1		250.0		
 	 	 	 	 	 	 	 	 	 	 	
Collections on insurance products	 	 	 	 	 	 	 	 	 	 	
 	 	 	 	 	 	 	 	 	 	 	
Total first-year premium collections on insurance products	277.3		340.9		326.6		298.5		1,243.3		278.0		318.6		325.4		303.3		1,225.3		
Total renewal premium collections on insurance products	340.5		324.7		327.4		339.3		1,331.9		338.2		331.6		332.2		338.8		1,340.8		
 	 	 	 	 	 	 	 	 	 	 	
    Total collections on insurance products	$	617.8		$	665.6		$	654.0		$	637.8		$	2,575.2		$	616.2		$	650.2		$	657.6		$	642.1		$	2,566.1		

Page 15

	
																															
CNO Financial Group, Inc.	 	 	 	 	 	 	 	 	 	 	
Washington National	 	 	 	 	 	 	 	 	 	 	
Premiums collected on insurance products (in millions)	1Q10	2Q10	3Q10	4Q10	2010	1Q11	2Q11	3Q11	4Q11	2011	
 	 	 	 	 	 	 	 	 	 	 	
Health	 	 	 	 	 	 	 	 	 	 	
 	 	 	 	 	 	 	 	 	 	 	
Medicare supplement (first-year)	$	1.2		$	1.1		$	0.7		$	0.8		$	3.8		$	0.6		$	0.5		$	0.4		$	0.4		$	1.9		
Medicare supplement (renewal)	39.5		37.6		37.2		36.7		151.0		34.7		32.6		31.5		31.4		130.2		
  Subtotal - Medicare supplement	40.7		38.7		37.9		37.5		154.8		35.3		33.1		31.9		31.8		132.1		
 	 	 	 	 	 	 	 	 	 	 	
Supplemental health (first-year)	12.5		13.1		13.0		13.4		52.0		13.2		13.7		13.2		14.0		54.1		
Supplemental health (renewal)	87.1		87.1		88.5		90.8		353.5		93.7		95.2		95.2		96.0		380.1		
  Subtotal - supplemental health	99.6		100.2		101.5		104.2		405.5		106.9		108.9		108.4		110.0		434.2		
Other health (all renewal)	1.1		1.0		1.3		1.2		4.6		1.0		0.8		0.9		0.8		3.5		
 	 	 	 	 	 	 	 	 	 	 	
    Total health	141.4		139.9		140.7		142.9		564.9		143.2		142.8		141.2		142.6		569.8		
 	 	 	 	 	 	 	 	 	 	 	
Life insurance	 	 	 	 	 	 	 	 	 	 	
 	 	 	 	 	 	 	 	 	 	 	
First-year	0.2		0.1		0.1		0.4		0.8		0.4		0.3		0.4		0.1		1.2		
Renewal	4.2		3.7		3.7		3.8		15.4		3.9		3.6		3.7		3.6		14.8		
 	 	 	 	 	 	 	 	 	 	 	
    Total life insurance	4.4		3.8		3.8		4.2		16.2		4.3		3.9		4.1		3.7		16.0		
 	 	 	 	 	 	 	 	 	 	 	
Collections on insurance products	 	 	 	 	 	 	 	 	 	 	
 	 	 	 	 	 	 	 	 	 	 	
Total first-year premium collections on insurance products	13.9		14.3		13.8		14.6		56.6		14.2		14.5		14.0		14.5		57.2		
Total renewal premium collections on insurance products	131.9		129.4		130.7		132.5		524.5		133.3		132.2		131.3		131.8		528.6		
 	 	 	 	 	 	 	 	 	 	 	
    Total collections on insurance products	$	145.8		$	143.7		$	144.5		$	147.1		$	581.1		$	147.5		$	146.7		$	145.3		$	146.3		$	585.8		

Page 16

	
																															
CNO Financial Group, Inc.	 	 	 	 	 	 	 	 	 	 	
Colonial Penn	 	 	 	 	 	 	 	 	 	 	
Premiums collected on insurance products (in millions)	1Q10	2Q10	3Q10	4Q10	2010	1Q11	2Q11	3Q11	4Q11	2011	
 	 	 	 	 	 	 	 	 	 	 	
Life insurance	 	 	 	 	 	 	 	 	 	 	
 	 	 	 	 	 	 	 	 	 	 	
First-year	$	7.9		$	8.1		$	8.1		$	8.2		$	32.3		$	8.7		$	8.6		$	8.9		$	9.2		$	35.4		
Renewal	39.4		38.6		38.8		38.6		155.4		40.7		39.9		40.3		40.1		161.0		
 	 	 	 	 	 	 	 	 	 	 	
    Total life insurance	47.3		46.7		46.9		46.8		187.7		49.4		48.5		49.2		49.3		196.4		
 	 	 	 	 	 	 	 	 	 	 	
Health (all renewal)	 	 	 	 	 	 	 	 	 	 	
 	 	 	 	 	 	 	 	 	 	 	
Medicare supplement	1.5		1.6		1.4		1.5		6.0		1.3		1.4		1.3		1.2		5.2		
 	 	 	 	 	 	 	 	 	 	 	
Other health	0.1		0.1		0.1		0.1		0.4		0.2		0.1		0.1		0.1		0.5		
 	 	 	 	 	 	 	 	 	 	 	
    Total health	1.6		1.7		1.5		1.6		6.4		1.5		1.5		1.4		1.3		5.7		
 	 	 	 	 	 	 	 	 	 	 	
Collections on insurance products	 	 	 	 	 	 	 	 	 	 	
 	 	 	 	 	 	 	 	 	 	 	
Total first-year premium collections on insurance products	7.9		8.1		8.1		8.2		32.3		8.7		8.6		8.9		9.2		35.4		
Total renewal premium collections on insurance products	41.0		40.3		40.3		40.2		161.8		42.2		41.4		41.7		41.4		166.7		
 	 	 	 	 	 	 	 	 	 	 	
    Total collections on insurance products	$	48.9		$	48.4		$	48.4		$	48.4		$	194.1		$	50.9		$	50.0		$	50.6		$	50.6		$	202.1		

Page 17

	
																															
CNO Financial Group, Inc.	 	 	 	 	 	 	 	 	 	 	
Other CNO Business	 	 	 	 	 	 	 	 	 	 	
Premiums collected on insurance products (in millions)	1Q10	2Q10	3Q10	4Q10	2010	1Q11	2Q11	3Q11	4Q11	2011	
 	 	 	 	 	 	 	 	 	 	 	
Annuities	 	 	 	 	 	 	 	 	 	 	
 	 	 	 	 	 	 	 	 	 	 	
Fixed index (first-year)	$	3.5		$	2.0		$	2.4		$	2.4		$	10.3		$	2.7		$	2.7		$	2.2		$	1.9		$	9.5		
Fixed index (renewal)	1.2		1.5		0.9		1.0		4.6		0.9		1.4		0.8		0.8		3.9		
  Subtotal - fixed index annuities	4.7		3.5		3.3		3.4		14.9		3.6		4.1		3.0		2.7		13.4		
 	 	 	 	 	 	 	 	 	 	 	
Other fixed rate (first-year)	0.2		0.5		0.2		—		0.9		0.4		1.6		0.1		—		2.1		
Other fixed rate (renewal)	0.2		0.2		0.1		0.1		0.6		0.2		0.2		0.2		0.3		0.9		
  Subtotal - other fixed rate annuities	0.4		0.7		0.3		0.1		1.5		0.6		1.8		0.3		0.3		3.0		
 	 	 	 	 	 	 	 	 	 	 	
      Total annuities	5.1		4.2		3.6		3.5		16.4		4.2		5.9		3.3		3.0		16.4		
 	 	 	 	 	 	 	 	 	 	 	
Health	 	 	 	 	 	 	 	 	 	 	
 	 	 	 	 	 	 	 	 	 	 	
Long-term care (all renewal)	7.7		7.5		7.1		6.9		29.2		7.4		7.0		6.5		6.1		27.0		
Other health (all renewal)	0.7		0.7		0.5		0.6		2.5		0.2		0.2		0.2		0.2		0.8		
 	 	 	 	 	 	 	 	 	 	 	
    Total health	8.4		8.2		7.6		7.5		31.7		7.6		7.2		6.7		6.3		27.8		
 	 	 	 	 	 	 	 	 	 	 	
Life insurance	 	 	 	 	 	 	 	 	 	 	
 	 	 	 	 	 	 	 	 	 	 	
First-year	0.6		0.7		0.6		0.4		2.3		0.4		0.9		0.3		0.5		2.1		
Renewal	49.6		46.2		47.2		46.3		189.3		46.0		48.0		43.7		39.6		177.3		
 	 	 	 	 	 	 	 	 	 	 	
    Total life insurance	50.2		46.9		47.8		46.7		191.6		46.4		48.9		44.0		40.1		179.4		
 	 	 	 	 	 	 	 	 	 	 	
Collections on insurance products	 	 	 	 	 	 	 	 	 	 	
 	 	 	 	 	 	 	 	 	 	 	
Total first-year premium collections on insurance products	4.3		3.2		3.2		2.8		13.5		3.5		5.2		2.6		2.4		13.7		
Total renewal premium collections on insurance products	59.4		56.1		55.8		54.9		226.2		54.7		56.8		51.4		47.0		209.9		
 	 	 	 	 	 	 	 	 	 	 	
    Total collections on insurance products	$	63.7		$	59.3		$	59.0		$	57.7		$	239.7		$	58.2		$	62.0		$	54.0		$	49.4		$	223.6		

Page 18

	
																															
CNO Financial Group, Inc.	 	 	 	 	 	 	 	 	 	 	
New Annualized Premiums ("NAP") (in millions)	 	 	 	 	 	 	 	 	 	 	

Bankers Life	1Q10	2Q10	3Q10	4Q10	2010	1Q11	2Q11	3Q11	4Q11	2011	
 	 	 	 	 	 	 	 	 	 	 	
Medicare supplement	$	19.4		$	21.0		$	16.0		$	31.8		$	88.2		$	18.3		$	18.6		$	19.4		$	31.5		$	87.8		
Life	15.8		17.3		16.3		15.9		65.3		16.6		18.6		18.2		17.0		70.4		
Long-term care	8.6		8.7		7.2		6.7		31.2		6.9		7.3		7.3		7.0		28.5		
Annuity	13.7		17.0		15.8		14.2		60.7		13.4		15.6		15.9		14.3		59.2		
   Subtotal Bankers Life	57.5		64.0		55.3		68.6		245.4		55.2		60.1		60.8		69.8		245.9		

Washington National	 	 	 	 	 	 	 	 	 	 	
 	 	 	 	 	 	 	 	 	 	 	
Supplemental health	14.6		17.5		18.0		17.5		67.6		15.7		17.9		18.6		18.9		71.1		
Medicare supplement	1.1		0.7		0.4		0.8		3.0		0.5		0.4		0.3		0.3		1.5		
Life	0.7		0.7		0.8		0.7		2.9		0.8		0.8		0.9		1.8		4.3		
Annuity	0.3		0.2		0.2		0.2		0.9		0.2		0.3		0.2		0.2		0.9		
   Subtotal Washington National	16.7		19.1		19.4		19.2		74.4		17.2		19.4		20.0		21.2		77.8		

Colonial Penn	 	 	 	 	 	 	 	 	 	 	
 	 	 	 	 	 	 	 	 	 	 	
Graded Life	13.1		12.2		11.5		9.5		46.3		13.6		12.8		12.7		12.3		51.4		

 	 	 	 	 	 	 	 	 	 	 	
Total NAP	$	87.3		$	95.3		$	86.2		$	97.3		$	366.1		$	86.0		$	92.3		$	93.5		$	103.3		$	375.1		

Page 19

	
																															
CNO Financial Group, Inc.	 	 	 	 	 	 	 	 	 	 	
Statutory information - consolidated basis (4) (in millions)	1Q10	2Q10	3Q10	4Q10	2010	1Q11	2Q11	3Q11	4Q11(*)	2011(*)	
 	 	 	 	 	 	 	 	 	 	 	
Net gain from operations before interest expense and federal income taxes	$	55.6		$	66.0		$	97.3		$	109.1		$	328.0		$	114.0		$	92.9		$	91.9		$	132.8		$	431.6		
Interest expense on surplus debentures held by parent company	12.0		12.2		12.2		12.3		48.7		12.0		12.2		22.7		12.3		59.2	
 	 	 	 	 	 	 	 	 	 	 	
Net gain from operations before federal income taxes	43.6		53.8		85.1		96.8		279.3		102.0		80.7		69.2		120.5		372.4	
Federal income tax expense (benefit)	4.3		7.6		1.6		4.3		17.8		0.6		2.0		3.7		3.0		9.3	
 	 	 	 	 	 	 	 	 	 	 	
Net gain from operations before net realized capital gains (losses)	39.3		46.2		83.5		92.5		261.5		101.4		78.7		65.5		117.5		363.1	
Net realized capital gains (losses)	(13.5	)	(10.2	)	(10.3	)	(45.6	)	(79.6	)	(15.0	)	2.4		10.5		5.8		3.7	
 	 	 	 	 	 	 	 	 	 	 	
Net income	$	25.8		$	36.0		$	73.2		$	46.9		$	181.9		$	86.4		$	81.1		$	76.0		$	123.3		$	366.8		

 	 	 	 	 	 	 	 	 	 	 	
Capital and surplus	$	1,418.5		$	1,434.7		$	1,443.1		$	1,525.1		$	1,525.1		$	1,567.4		$	1,551.5		$	1,553.1		$	1,578.1		$	1,578.1		
Asset valuation reserve (AVR)	46.0		61.9		78.6		71.3		71.3		97.7		116.5		143.2		168.4		168.4	
 	 	 	 	 	 	 	 	 	 	 	
  Capital, surplus and AVR	1,464.5		1,496.6		1,521.7		1,596.4		1,596.4		1,665.1		1,668.0		1,696.3		1,746.5		1,746.5		
 	 	 	 	 	 	 	 	 	 	 	
Interest maintenance reserve (IMR)	308.6		319.5		343.9		428.1		428.1		448.3		475.8		507.1		552.0		552.0		
 	 	 	 	 	 	 	 	 	 	 	
  Total statutory capital, surplus, AVR & IMR	$	1,773.1		$	1,816.1		$	1,865.6		$	2,024.5		$	2,024.5		$	2,113.4		$	2,143.8		$	2,203.4		$	2,298.5		$	2,298.5		

* Such amounts are preliminary as the statutory basis financial statements of our insurance subsidiaries for 4Q11 will be filed with the respective insurance regulators on or about March 1, 2012.

Page 20

Notes

(1) Excludes accumulated other comprehensive income (loss).

(2) Shareholders' equity divided by common shares outstanding.

(3) Assumes conversion of all convertible securities.

(4) Based on statutory accounting practices prescribed or permitted by regulatory authorities for CNO Financial's insurance subsidiaries after appropriate elimination of intercompany accounts among such subsidiaries. Such accounting practices differ from GAAP.

Page 21