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): April 24, 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 7.01.	Regulation FD Disclosure.	

On April 24, 2012, CNO Financial Group, Inc. (the “Company”) issued: (i) a presentation including historical information reflecting the retrospective adoption of the ASU 2010-26 DAC accounting change (also known as EITF Issue No. 09-G), a copy of which is attached hereto as Exhibit 99.1 and is incorporated herein by reference; and (ii) its quarterly financial supplement for the fourth quarter of 2011, as restated to reflect the adoption of ASU 2010-26, a copy of which is attached hereto as Exhibit 99.2 and is incorporated herein by reference.

The information contained 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	DAC Accounting Change - Impact of Implementing ASU 2010-26 on 2011 and Prior Periods.	
99.2	Quarterly Financial Supplement - 4Q2011 as Restated to Reflect the Adoption of ASU 2010-26.	

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: April 24, 2012	 	
 	By:	/s/ John R. Kline	 	
 	 	John R. Kline	 	
 	 	Senior Vice President and
Chief Accounting Officer	 	

3 

DAC Accounting Change Impact of Implementing ASU 2010-26 on 2011 and Prior Periods April 25, 2012 Exhibit 99.1

 

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, 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 a reduction 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 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.

 

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 share; operating return measures; and earnings before net realized investment gains (losses) and corporate interest and taxes. While management believes these measures are useful to enhance understanding and comparability of our financial results, these non-GAAP measures should not be considered substitutes for the most directly comparable GAAP measures. Additional information concerning non-GAAP measures 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.

 

CNO Financial Group 4

 

CNO Financial Group 5 DAC Adoption Overview  No change in the economics of our business – GAAP accounting change only – No change to statutory financials, cash flow, capital generation, or tax (NOL) position  Change impacts GAAP results of each of our four business segments differently – Colonial Penn significantly impacted; Bankers moderately impacted; little impact to Washington National and OCB  CNO’s GAAP earnings are disproportionally impacted – Fresh start accounting PVFP balance not impacted – Colonial Penn direct advertising costs expensed as incurred – Bankers career force distribution – Growing books of business create earnings strain  CNO will bifurcate reporting on in-force and new business profits – Press release, quarterly financial supplement, and Forms 10-Q and 10-K – Non-GAAP measures (excluding the impact of the ASU) included in quarterly investor presentations and Forms 10-Q and 10-K

 

CNO Financial Group 6 DAC Accounting Change Consolidated GAAP Impacts For the year ended December 31, 2011 CNO Net income Reduction of $47 million Operating earnings per diluted share Reduction of 15¢ per share Book value excluding AOCI Reduction of $575 million Book value per diluted share Reduction of $1.93 per share Operating return on equity Reduction of 30 bps

 

CNO Financial Group 7 $128.2 $137.7 $209.0 $180.5 $154.1 $128.2 $137.7 $209.0 $81.0 $81.0 $346.7 $209.2 Statutory Earnings Power Inflows to Holding Co Statutory Earnings Power Inflows to Holding Co Fees and Interest to Holding Company Net Dividends to Holding Company Net Gain From Operations Retained in Insurance Companies No Economic Impact ($ millions) Statutory earnings and cash generation remain unchanged Impacts GAAP only * ** * Dividends net of capital contributions ** Amount is net of $26mm contribution to life companies accrued in 2011 2010 2011 $281.6 $343.1 $210.8 $273.6 2010 2011 Pre-Tax GAAP Operating Income Before DAC Change Restated Pre-Tax GAAP Operating Income 2010 2011

 

CNO Financial Group 8 $(123.9) $456.8 $561.0 $332.9 $397.6 $(163.4) $(200.0) $(100.0) $- $100.0 $200.0 $300.0 $400.0 $500.0 $600.0 EBIT from In-force EBIT from Business Segments EBIT From New Business DAC Change Impact EBIT from Business Segments ($ millions) GAAP EBIT From Business Segments Restated for ASU 2010-26: New Business and In-force 2010 2011 EBIT from business segments before DAC change 403.7$ 467.1$ Corporate, excluding interest exp n e (42.8) ($47.7) EBIT - before DAC change 360.9$ 419.4$ EBIT from business segments - restated 332.9$ 397.6$ Corporate, excluding interest expense (42.8) ($47.7) EBIT - restated 290.1$ 349.9$ Statutory pre-tax gain from operations 279.3$ 372.4$ Δ $104.2 Δ $(39.5) Δ $64.7

 

CNO Financial Group 9 DAC Change Impact CNO Consolidated ($ millions) Before DAC Change Total In-force New Business New annualized premiums 375.1$ 375.1$ -$ 375.1$ Insurance policy income 2,690.5$ 2,690.5$ 2,347.2$ 343.3$ Investment / other income 1,356.7 1,356.7 1,314.1 42.6 Benefits & changes in reserves (2,664.6) (2,664.6) (2,429.6) (235.0) Expenses (non-acquisition) (471.0) (471.0) (403.9) (67.1) Earnings before amortization & acquisition expenses 911.6 911.6 827.8 83.8 Amortization (444.5) (306.0) (266.1) (39.9) Non-deferrable acquisition expenses - (208.0) (0.7) (207.3) EBIT from business segments 467.1 397.6 561.0$ (163.4)$ Corporate, excluding corporate interest expense (47.7) (47.7) EBIT 419.4$ 349.9$ 6.4% 6.1% Restated for ASU 2010-26 Operating ROE Year Ended December 31, 2011

 

CNO Financial Group 10 Change to Consolidated DAC Balance(1) - Summarized by DAC Component December 31, 2011 ($ millions) Before DAC Change Adjustments Restated for ASU 2010-26 Commissions 960$ (89)$ 871$ Overhead 357 (357) - Labor costs 289 (251) 38 Direct response advertising 179 (160) 19 Sales inducements and other 139 - 139 Medical inspection and other fees 26 (7) 19 Total 1,950$ (864)$ 1,086$ (1) DAC balance before the impact of unrealized appreciation of investments

 

CNO Financial Group 11 Summary of EBIT Impact by Segment Year Ended December 31, 2011 ($ in millions) Before DAC Change Total In-force New Business Bankers Life 327.2$ 290.9$ 399.6$ (108.7)$ Washington National 99.2 96.1 106.6 (10.5) Colonial Penn 27.3 (4.7) 39.5 (44.2) Other CNO Business 13.4 15.3 15.3 - EBIT from business segments 467.1 397.6 561.0$ (163.4)$ Corporate, excluding corporate interest expense (47.7) (47.7) EBIT 419.4$ 349.9$ Year Ended December 31, 2011 Restated for ASU 2010-26

 

CNO Financial Group 12 Additional Disclosures  Bifurcate results between in-force and new business – Bifurcation results in greater clarity around value drivers – New business results impacted by rate of sales, mix of business, and distribution channel – Bifurcated results included in press release, quarterly financial supplement, investor presentation, and Forms 10-Q and 10-K  Non-GAAP results showing the impact of adoption – Illustrate earnings without the impact of ASU 2010-26 – Included in quarterly earnings slides, and Forms 10-Q and 10-K  Navigating the quarterly financial supplement

 

CNO Financial Group 13 Key Takeaways  No change in the economics of our business - cash flow, capital generation and deployment strategy  Impacts GAAP results of each business segment differently  CNO disproportionately impacted - a timing of earnings issue  Management exploring potential mitigation actions  CNO will bifurcate reporting between in-force and new business profits to better illustrate long-term value  Renewed investor focus on statutory earnings, capital generation dynamics, product returns, and economic value creation

 

Questions and Answers

 

Appendix

 

CNO Financial Group 16 Pro Forma Illustration – If PVFP were treated like DAC (1) DAC and PVFP balances are before the impacts of unrealized appreciation of investments (2) Pro Forma assuming the balance of PVFP and amortization of PVFP is reduced by the same proportional decreases as DAC and DAC amortization to reflect the new rules ($ millions, except per share amounts)  Book value would decrease by an additional $259 million  2011 Operating Earnings would decrease $0.05 per share, rather than by $0.15 per share 12/31/2011 Balance Sheet Impact 12/31/2011 Income Statement Impact DAC Balance (1) PVFP Balance (1) Before DAC change $1,950.4 $912.5 Restated for ASU 2010-26 1,086.4 912.5 Pro Forma Adjustment for PVFP(2) 1,086.4 508.3 EBIT Operating Earnings Operating EPS Before DAC change $419.4 $216.0 $0.76 Restated for ASU 2010-26 349.9 171.5 0.61 Pro Forma Adjustment for PVFP(2) 396.4 201.2 0.71 Operating ROE would increase to 7.8%

 

CNO Financial Group 17 Before DAC Change Total In-force New Business New annualized premiums 245.9$ 245.9$ -$ 245.9$ Insurance policy income 1,612.4$ 1,612.4$ 1,358.9$ 253.5$ Investment / other income 780.1 780.1 737.5 42.6 Benefits & changes in reserves (1,570.1) (1,570.1) (1,378.0) (192.1) Expenses (non-acquisition) (186.6) (186.6) (148.9) (37.7) Earnings before amortization & acquisition expenses 635.8 635.8 569.5 66.3 Amortization (308.6) (206.3) (169.9) (36.4) Non-deferrable acquisition expenses - (138.6) - (138.6) EBIT 327.2$ 290.9$ 399.6$ (108.7)$ 12.2% 13.9%Operating Return on Allocated Capital Year Ended December 31, 2011 Restated for ASU 2010-26 DAC Change Impact – Bankers Life ($ millions)

 

CNO Financial Group 18 DAC Change Impact – Washington National ($ millions) Before DAC Change Total In-force New Business New annualized premiums 77.8$ 77.8$ -$ 77.8$ Insurance policy income 585.1$ 585.1$ 530.7$ 54.4$ Investment / other income 190.5 190.5 190.5 - Benefits & changes in reserves (464.5) (464.5) (442.0) (22.5) Expenses (non-acquisition) (155.4) (155.4) (130.5) (24.9) Earnings before amortization & acquisition expenses 155.7 155.7 148.7 7.0 Amortization (56.5) (44.9) (42.1) (2.8) Non-deferrable acquisition expenses - (14.7) - (14.7) EBIT 99.2$ 96.1$ 106.6$ (10.5)$ 8.4% 9.1% Restated for ASU 2010-26 Year Ended December 31, 2011 Operating Return on Allocated Capital

 

CNO Financial Group 19 DAC Change Impact – Colonial Penn ($ millions) Before DAC Change Total In-force New Business New annualized premiums 51.4$ 51.4$ -$ 51.4$ Insurance policy income 203.0$ 203.0$ 167.6$ 35.4$ Investment / other income 42.0 42.0 42.0 - Benefits & changes in reserves (150.1) (150.1) (129.7) (20.4) Expenses (non-acquisition) (30.6) (30.6) (26.1) (4.5) Earnings before amortization & acquisition expenses 64.3 64.3 53.8 10.5 Amortization (37.0) (15.0) (14.3) (0.7) Non-deferrable acquisition expenses - (54.0) - (54.0) EBIT 27.3$ (4.7)$ 39.5$ (44.2)$ 8.5% -5.9% Year Ended December 31, 2011 Operating Return on Allocated Capital Restated for ASU 2010-26

 

CNO Financial Group 20 DAC Change Impact – Other CNO Business ($ millions) Before DAC Change Total In-force New Business New annualized premiums -$ -$ -$ -$ Insurance policy income 290.0$ 290.0$ 290.0$ -$ Investment / other income 344.1 344.1 344.1 - Benefits & changes in reserves (479.9) (479.9) (479.9) - Expenses (non-acquisition) (98.4) (98.4) (98.4) - Earnings before amortization & acquisition expenses 55.8 55.8 55.8 - Amortization (42.4) (39.8) (39.8) - Non-deferrable acquisition expenses - (0.7) (0.7) - EBIT 13.4$ 15.3$ 15.3$ -$ -0.8% -1.0%Operating Return on Allocated Capital Restated for ASU 2010-26 Year Ended December 31, 2011

 

Exhibit 99.2

	

 	 	 	 	 	 	
Quarterly Financial Supplement -	 	 	 	 	 	
4Q2011 as Restated to Reflect the Adoption of ASU 2010-26	 	 	 	 	 	

 	 	 	 	 	 	
April 24, 2012	 	 	 	 	 	

Page 1

	
					
Table of Contents	 	 	 	Page	
 	 	 	 	 	
Consolidated balance sheet	 	 	 	3	
Consolidated statement of operations	 	 	 	4	
Operating results	 	 	 	5	
Computation of weighted average shares outstanding	 	 	 	6	
EBIT from Business Segments Summarized by In-Force and New Business	 	 	 	7	
Analyses of income before taxes and selected data:	 	 	 	 	
     Bankers Life	 	 	 	8-10	
     Washington National	 	 	 	11-13	
     Colonial Penn	 	 	 	14-15	
     Other CNO Business	 	 	 	16-18	
     Corporate Operations	 	 	 	19	
Premiums collected on insurance products:	 	 	 	 	
     Bankers Life	 	 	 	20	
     Washington National	 	 	 	21	
     Colonial Penn	 	 	 	22	
     Other CNO Business	 	 	 	23	
New annualized premiums	 	 	 	24	
Statutory information	 	 	 	25	
Notes	 	 	 	26	

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	 	 	1,048.5		974.3		899.1		999.6		989.3		975.5		749.6		724.8		
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	 	 	1,301.9		1,043.6		806.6		1,127.0		1,090.4		998.4		948.8		891.3		
Assets held in separate accounts	 	 	17.0		15.6		16.7		17.5		18.1		17.4		15.4		15.0		
Other assets	 	 	367.6		320.0		323.2		277.4		413.0		323.6		289.6		292.2		
Total assets	 	 	$	30,294.6		$	30,739.9		$	31,501.1		$	31,394.9		$	31,555.6		$	31,878.2		$	32,466.7		$	32,875.5		
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	 	 	593.6		693.3		843.2		505.3		651.8		712.2		585.2		556.3		
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	 	 	27,074.8		27,047.7		27,378.6		27,583.3		27,676.1		27,841.9		27,985.0		28,308.1		
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		
Accumulated deficit	 	 	(1,088.6	)	(1,068.5	)	(1,029.9	)	(867.8	)	(822.4	)	(776.0	)	(596.5	)	(532.1	)	
Total shareholders' equity before accumulated other comprehensive income (loss)	 	 	3,324.9		3,352.8		3,394.2		3,558.9		3,606.2		3,640.8		3,785.3		3,832.2		
Accumulated other comprehensive income (loss)	 	 	(105.1	)	339.4		728.3		252.7		273.3		395.5		696.4		735.2		
Total shareholders' equity	 	 	3,219.8		3,692.2		4,122.5		3,811.6		3,879.5		4,036.3		4,481.7		4,567.4		
Total liabilities and shareholders' equity	 	 	$	30,294.6		$	30,739.9		$	31,501.1		$	31,394.9		$	31,555.6		$	31,878.2		$	32,466.7		$	32,875.5		

 	 	 	 	 	 	 	 	 	 	 	
 	 	 	1Q10	2Q10	3Q10	4Q10	1Q11	2Q11	3Q11	4Q11	
 	 	 	 	 	 	 	 	 	 	 	
Book value per share at period-end (1) (2)	 	 	$	13.25		$	13.36		$	13.52		$	14.17		$	14.34		$	14.60		$	15.56		$	15.88		
 	 	 	 	 	 	 	 	 	 	 	
Book value per share assuming conversion of convertible securities (1) (3)	 	 	$	12.00		$	11.85		$	12.00		$	12.51		$	12.62		$	12.79		$	13.60		$	13.87		

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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	75.2		68.8		89.9		91.1		325.0		94.9		70.6		58.6		73.3		297.4		
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	167.8		172.2		173.8		176.5		690.3		170.1		175.7		182.0		176.7		704.5		
Total benefits and expenses	971.3		921.6		992.1		974.0		3,859.0		978.8		960.2		930.6		948.8		3,818.4		
 	 	 	 	 	 	 	 	 	 	 	
Income before income taxes	31.1		31.6		60.4		101.8		224.9		70.4		71.8		61.7		102.3		306.2		
Income tax expense on period income	11.3		11.5		21.8		34.7		79.3		25.0		25.4		25.2		37.9		113.5		
Valuation allowance for deferred tax assets	—		—		—		(95.0	)	(95.0	)	—		—		(143.0	)	—		(143.0	)	
Net income	$	19.8		$	20.1		$	38.6		$	162.1		$	240.6		$	45.4		$	46.4		$	179.5		$	64.4		$	335.7		

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CNO Financial Group, Inc.	 	 	 	 	 	 	 	 	 	 	
Operating results ($ in millions, except per share amounts)	1Q10	2Q10	3Q10	4Q10	2010	1Q11	2Q11	3Q11	4Q11	2011	
 	 	 	 	 	 	 	 	 	 	 	
EBIT (4):	 	 	 	 	 	 	 	 	 	 	
   Bankers Life	$	40.2		$	50.3		$	84.2		$	62.8		$	237.5		$	62.2		$	72.1		$	79.4		$	77.2		$	290.9		
   Washington National	27.0		19.6		26.1		27.7		100.4		24.3		21.8		21.2		28.8		96.1		
   Colonial Penn	(4.1	)	2.6		2.2		3.5		4.2		(5.7	)	0.5		(1.3	)	1.8		(4.7	)	
   Other CNO Business	(0.9	)	8.8		(23.6	)	6.5		(9.2	)	7.4		5.1		2.8		—		15.3		
EBIT from business segments	62.2		81.3		88.9		100.5		332.9		88.2		99.5		102.1		107.8		397.6		
Corporate operations, excluding corporate interest expense	(5.0	)	(11.8	)	(12.3	)	(13.7	)	(42.8	)	(0.5	)	(11.3	)	(27.5	)	(8.4	)	(47.7	)	
EBIT	57.2		69.5		76.6		86.8		290.1		87.7		88.2		74.6		99.4		349.9		
Corporate interest expense	(19.5	)	(19.8	)	(20.0	)	(20.0	)	(79.3	)	(20.6	)	(19.3	)	(18.7	)	(17.7	)	(76.3	)	
Income before net realized investment gains (losses), fair value changes in embedded derivative liabilities and taxes	37.7		49.7		56.6		66.8		210.8		67.1		68.9		55.9		81.7		273.6		
Tax expense on operating income	13.6		17.8		20.5		22.5		74.4		23.9		24.4		23.1		30.7		102.1		
Net operating income (5)	24.1		31.9		36.1		44.3		136.4		43.2		44.5		32.8		51.0		171.5		
Net realized investment gains (losses) (net of related amortization and taxes)	(3.1	)	(11.2	)	2.5		25.4		13.6		3.1		2.3		17.3		14.0		36.7		
Fair value changes in embedded derivative liabilities (net of related amortization and taxes)	—		—		—		—		—		—		—		(12.9	)	(0.4	)	(13.3	)	
Loss on extinguishment of debt, net of income taxes	(1.2	)	(0.6	)	—		(2.6	)	(4.4	)	(0.9	)	(0.4	)	(0.7	)	(0.2	)	(2.2	)	
Net income before valuation allowance for deferred tax assets	19.8		20.1		38.6		67.1		145.6		45.4		46.4		36.5		64.4		192.7		
Valuation allowance for deferred tax assets	—		—		—		95.0		95.0		—		—		143.0		—		143.0		
Net income	$	19.8		$	20.1		$	38.6		$	162.1		$	240.6		$	45.4		$	46.4		$	179.5		$	64.4		$	335.7		
 	 	 	 	 	 	 	 	 	 	 	
Per diluted share:	 	 	 	 	 	 	 	 	 	 	
Net operating income	$	.09		$	.12		$	.13		$	.16		$	.50		$	.15		$	.15		$	.12		$	.18		$	.61		
Net realized investment gains (losses), net of related amortization and taxes	(.01	)	(.04	)	.01		.08		.04		.01		.01		.06		.05		.12		
Fair value changes in embedded derivative liabilities, net of related amortization and taxes	—		—		—		—		—		—		—		(.04	)	—		(.04	)	
Loss on extinguishment of debt	—		—		—		(.01	)	(.01	)	—		—		—		—		(.01	)	
Valuation allowance for deferred tax assets	—		—		—		.31		.31		—		—		.47		—		.47		
Diluted earnings per share	$	.08		$	.08		$	.14		$	.54		$	.84		$	.16		$	.16		$	.61		$	.23		$	1.15		

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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

	
																															
EBIT from Business Segments Summarized by In-Force and New Business (6)	 	 	 	 	 	 	 	 	 	 	
(in millions)	 	 	 	 	 	 	 	 	 	 	
 	 	 	 	 	 	 	 	 	 	 	
CNO Financial Group, Inc.	 	 	 	 	 	 	 	 	 	 	
 	 	 	 	 	 	 	 	 	 	 	
EBIT from In-force Business	1Q10	2Q10	3Q10	4Q10	2010	1Q11	2Q11	3Q11	4Q11	2011	
 	 	 	 	 	 	 	 	 	 	 	
Revenues	 	 	 	 	 	 	 	 	 	 	
Insurance policy income	$	583.5		$	581.4		$	588.3		$	574.5		$	2,327.7		$	584.0		$	594.3		$	585.3		$	583.6		$	2,347.2		
Net investment income (loss)	317.4		285.4		344.0		345.3		1,292.1		349.8		331.7		283.8		338.7		1,304.0		
Fee revenue and other income	1.8		1.5		2.4		2.8		8.5		1.9		2.4		2.7		3.1		10.1		
Total revenues	902.7		868.3		934.7		922.6		3,628.3		935.7		928.4		871.8		925.4		3,661.3		
 	 	 	 	 	 	 	 	 	 	 	
Benefits and expenses	 	 	 	 	 	 	 	 	 	 	
Insurance policy benefits	635.7		589.5		632.2		611.1		2,468.5		624.8		626.3		569.4		609.1		2,429.6		
Interest expense	5.0		5.0		5.1		5.9		21.0		6.1		6.1		6.7		6.9		25.8		
Amortization	69.2		62.9		84.0		75.5		291.6		85.3		61.9		55.5		63.4		266.1		
Other operating costs and expenses	97.0		98.4		96.0		99.0		390.4		90.1		95.5		91.8		101.4		378.8		
Total benefits and expenses	806.9		755.8		817.3		791.5		3,171.5		806.3		789.8		723.4		780.8		3,100.3		
EBIT from In-Force Business	$	95.8		$	112.5		$	117.4		$	131.1		$	456.8		$	129.4		$	138.6		$	148.4		$	144.6		$	561.0		

EBIT from New Business	 	 	 	 	 	 	 	 	 	 	
 	 	 	 	 	 	 	 	 	 	 	
Revenues	 	 	 	 	 	 	 	 	 	 	
Insurance policy income	$	81.1		$	86.5		$	86.2		$	88.5		$	342.3		$	83.2		$	85.3		$	88.2		$	86.6		$	343.3		
Net investment income (loss)	16.2		11.1		17.3		11.5		56.1		11.1		9.1		6.2		10.6		37.0		
Fee revenue and other income	1.0		1.5		1.7		1.9		6.1		.9		1.3		1.5		1.9		5.6		
Total revenues	98.3		99.1		105.2		101.9		404.5		95.2		95.7		95.9		99.1		385.9		
 	 	 	 	 	 	 	 	 	 	 	
Benefits and expenses	 	 	 	 	 	 	 	 	 	 	
Insurance policy benefits	63.3		61.5		67.8		62.6		255.2		58.4		58.1		57.7		60.8		235.0		
Interest expense	—		—		—		—		—		—		—		—		—		—		
Amortization	6.1		5.4		6.1		6.5		24.1		9.2		9.3		13.3		8.1		39.9		
Other operating costs and expenses	62.5		63.4		59.8		63.4		249.1		68.8		67.4		71.2		67.0		274.4		
Total benefits and expenses	131.9		130.3		133.7		132.5		528.4		136.4		134.8		142.2		135.9		549.3		
EBIT from New Business	$	(33.6	)	$	(31.2	)	$	(28.5	)	$	(30.6	)	$	(123.9	)	$	(41.2	)	$	(39.1	)	$	(46.3	)	$	(36.8	)	$	(163.4	)	

EBIT from In-Force and New Business	 	 	 	 	 	 	 	 	 	 	
 	 	 	 	 	 	 	 	 	 	 	
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)	333.6		296.5		361.3		356.8		1,348.2		360.9		340.8		290.0		349.3		1,341.0		
Fee revenue and other income	2.8		3.0		4.1		4.7		14.6		2.8		3.7		4.2		5.0		15.7		
Total revenues	1,001.0		967.4		1,039.9		1,024.5		4,032.8		1,030.9		1,024.1		967.7		1,024.5		4,047.2		
 	 	 	 	 	 	 	 	 	 	 	
Benefits and expenses	 	 	 	 	 	 	 	 	 	 	
Insurance policy benefits	699.0		651.0		700.0		673.7		2,723.7		683.2		684.4		627.1		669.9		2,664.6		
Interest expense	5.0		5.0		5.1		5.9		21.0		6.1		6.1		6.7		6.9		25.8		
Amortization	75.3		68.3		90.1		82.0		315.7		94.5		71.2		68.8		71.5		306.0		
Other operating costs and expenses	159.5		161.8		155.8		162.4		639.5		158.9		162.9		163.0		168.4		653.2		
Total benefits and expenses	938.8		886.1		951.0		924.0		3,699.9		942.7		924.6		865.6		916.7		3,649.6		
EBIT from In-Force and New Business	$	62.2		$	81.3		$	88.9		$	100.5		$	332.9		$	88.2		$	99.5		$	102.1		$	107.8		$	397.6		

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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	48.7		50.8		55.6		52.8		207.9		68.5		46.9		44.1		46.8		206.3		
Amortization related to net realized investment gains (losses)	0.5		(0.5	)	1.1		6.9		8.0		0.8		(0.3	)	3.0		1.7		5.2		
Amortization related to fair value changes in embedded derivative liabilities	—		—		—		—		—		—		—		(11.5	)	0.1		(11.4	)	
Interest expense on investment borrowings	—		—		—		1.0		1.0		1.2		1.1		1.2		1.3		4.8		
Other operating costs and expenses	79.0		80.1		75.3		79.8		314.2		75.2		80.8		80.9		83.5		320.4		
   Total benefits and expenses	544.7		513.1		534.1		546.5		2,138.4		550.5		537.4		509.0		529.7		2,126.6		
   Income before income taxes	$	36.7		$	40.5		$	101.4		$	113.0		$	291.6		$	68.0		$	70.6		$	83.7		$	91.5		$	313.8		

 	 	 	 	 	 	 	 	 	 	 	
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 8

	
																															
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	$	707.0		$	694.9		$	632.6		$	572.0		$	707.0		$	662.3		$	657.7		$	648.2		$	442.2		$	662.3		
Deferred acquisition expenses	39.3		43.6		44.0		44.0		170.9		40.4		40.2		45.8		39.9		166.3		
Amortization related to operations	(26.2	)	(29.3	)	(36.5	)	(35.9	)	(127.9	)	(43.9	)	(30.0	)	(29.8	)	(32.6	)	(136.3	)	
Amortization related to net realized investment (gains) losses	(0.5	)	0.5		(1.0	)	(6.5	)	(7.5	)	(0.7	)	0.2		(2.8	)	(1.5	)	(4.8	)	
Amortization related to fair value changes in embedded derivative liabilities	—		—		—		—		—		—		—		11.5		(0.1	)	11.4		
Adjustment related to unrealized (gain) or loss on fixed maturities, available for sale	(24.7	)	(77.1	)	(67.1	)	88.7		(80.2	)	(0.4	)	(19.9	)	(230.7	)	(29.2	)	(280.2	)	
Balance, end of period	$	694.9		$	632.6		$	572.0		$	662.3		$	662.3		$	657.7		$	648.2		$	442.2		$	418.7		$	418.7		

Page 9

	

Bankers Life Segment EBIT Summarized by In-Force and New Business (6)	 	 	 	 	 	 	 	 	 	 	
(in millions)	 	 	 	 	 	 	 	 	 	 	
 	 	 	 	 	 	 	 	 	 	 	
CNO Financial Group, Inc.	 	 	 	 	 	 	 	 	 	 	
EBIT from In-force Business	1Q10	2Q10	3Q10	4Q10	2010	1Q11	2Q11	3Q11	4Q11	2011	
 	 	 	 	 	 	 	 	 	 	 	
Revenues	 	 	 	 	 	 	 	 	 	 	
Insurance policy income	$	336.9		$	336.2		$	340.5		$	327.6		$	1,341.2		$	338.8		$	346.3		$	339.0		$	334.8		$	1,358.9		
Net investment income (loss)	169.7		149.4		191.2		192.5		702.8		198.5		187.8		151.8		191.2		729.3		
Fee revenue and other income	1.3		1.2		1.9		2.3		6.7		1.4		2.0		2.1		2.7		8.2		
Total revenues	507.9		486.8		533.6		522.4		2,050.7		538.7		536.1		492.9		528.7		2,096.4		
 	 	 	 	 	 	 	 	 	 	 	
Benefits and expenses	 	 	 	 	 	 	 	 	 	 	
Insurance policy benefits	363.7		331.7		344.6		353.8		1,393.8		356.9		361.3		313.7		346.1		1,378.0		
Interest expense	—		—		—		1.0		1.0		1.2		1.1		1.2		1.3		4.8		
Amortization	43.6		46.2		50.3		47.1		187.2		60.1		38.5		31.6		39.7		169.9		
Other operating costs and expenses	39.8		37.1		34.3		35.3		146.5		33.8		36.6		34.8		38.9		144.1		
Total benefits and expenses	447.1		415.0		429.2		437.2		1,728.5		452.0		437.5		381.3		426.0		1,696.8		
EBIT from In-Force Business	$	60.8		$	71.8		$	104.4		$	85.2		$	322.2		$	86.7		$	98.6		$	111.6		$	102.7		$	399.6		

EBIT from New Business	 	 	 	 	 	 	 	 	 	 	
 	 	 	 	 	 	 	 	 	 	 	
Revenues	 	 	 	 	 	 	 	 	 	 	
Insurance policy income	$	59.3		$	64.5		$	64.6		$	66.6		$	255.0		$	61.2		$	63.3		$	65.6		$	63.4		$	253.5		
Net investment income (loss)	16.2		11.1		17.3		11.5		56.1		11.1		9.1		6.2		10.6		37.0		
Fee revenue and other income	1.0		1.5		1.7		1.9		6.1		.9		1.3		1.5		1.9		5.6		
Total revenues	76.5		77.1		83.6		80.0		317.2		73.2		73.7		73.3		75.9		296.1		
 	 	 	 	 	 	 	 	 	 	 	
Benefits and expenses	 	 	 	 	 	 	 	 	 	 	
Insurance policy benefits	52.8		51.0		57.5		52.2		213.5		47.9		47.6		46.9		49.7		192.1		
Interest expense	—		—		—		—		—		—		—		—		—		—		
Amortization	5.1		4.6		5.3		5.7		20.7		8.4		8.4		12.5		7.1		36.4		
Other operating costs and expenses	39.2		43.0		41.0		44.5		167.7		41.4		44.2		46.1		44.6		176.3		
Total benefits and expenses	97.1		98.6		103.8		102.4		401.9		97.7		100.2		105.5		101.4		404.8		
EBIT from New Business	$	(20.6	)	$	(21.5	)	$	(20.2	)	$	(22.4	)	$	(84.7	)	$	(24.5	)	$	(26.5	)	$	(32.2	)	$	(25.5	)	$	(108.7	)	

EBIT from In-Force and New Business	 	 	 	 	 	 	 	 	 	 	
 	 	 	 	 	 	 	 	 	 	 	
Revenues	 	 	 	 	 	 	 	 	 	 	
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)	185.9		160.5		208.5		204.0		758.9		209.6		196.9		158.0		201.8		766.3		
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	584.4		563.9		617.2		602.4		2,367.9		611.9		609.8		566.2		604.6		2,392.5		
 	 	 	 	 	 	 	 	 	 	 	
Benefits and expenses	 	 	 	 	 	 	 	 	 	 	
Insurance policy benefits	416.5		382.7		402.1		406.0		1,607.3		404.8		408.9		360.6		395.8		1,570.1		
Interest expense	—		—		—		1.0		1.0		1.2		1.1		1.2		1.3		4.8		
Amortization	48.7		50.8		55.6		52.8		207.9		68.5		46.9		44.1		46.8		206.3		
Other operating costs and expenses	79.0		80.1		75.3		79.8		314.2		75.2		80.8		80.9		83.5		320.4		
Total benefits and expenses	544.2		513.6		533.0		539.6		2,130.4		549.7		537.7		486.8		527.4		2,101.6		
EBIT from In-Force and New Business	$	40.2		$	50.3		$	84.2		$	62.8		$	237.5		$	62.2		$	72.1		$	79.4		$	77.2		$	290.9		

Page 10

	
																															
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	12.1		10.8		11.8		11.9		46.6		13.4		11.4		10.8		9.3		44.9		
Interest expense on investment borrowings	—		—		—		—		—		—		—		0.2		0.5		0.7		
Other operating costs and expenses	39.5		43.7		41.3		45.4		169.9		42.1		42.0		42.4		42.9		169.4		
   Total benefits and expenses	164.1		171.2		165.5		166.3		667.1		167.7		171.7		172.4		167.7		679.5		
   Income before income taxes	$	25.8		$	19.6		$	23.8		$	23.8		$	93.0		$	23.8		$	21.3		$	22.8		$	30.2		$	98.1		

 	 	 	 	 	 	 	 	 	 	 	
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 11

	
																															
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	$	104.1		$	108.3		$	113.0		$	122.2		$	104.1		$	126.8		$	130.4		$	135.0		$	138.7		$	126.8		
  Deferred acquisition expenses	8.8		8.6		14.1		9.6		41.1		8.6		9.0		9.0		8.9		35.5		
  Amortization related to operations	(4.6	)	(3.9	)	(4.9	)	(5.0	)	(18.4	)	(5.0	)	(4.4	)	(5.3	)	(5.3	)	(20.0	)	
Balance, end of period	$	108.3		$	113.0		$	122.2		$	126.8		$	126.8		$	130.4		$	135.0		$	138.7		$	142.3		$	142.3		

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Washington National Segment EBIT Summarized by In-Force and New Business (6)	 	 	 	 	 	 	 	 	 	 	
(in millions)	 	 	 	 	 	 	 	 	 	 	
 	 	 	 	 	 	 	 	 	 	 	
CNO Financial Group, Inc.	 	 	 	 	 	 	 	 	 	 	
EBIT from In-force Business	1Q10	2Q10	3Q10	4Q10	2010	1Q11	2Q11	3Q11	4Q11	2011	
 	 	 	 	 	 	 	 	 	 	 	
Revenues	 	 	 	 	 	 	 	 	 	 	
Insurance policy income	$	131.4		$	130.9		$	131.4		$	132.3		$	526.0		$	131.9		$	133.5		$	132.1		$	133.2		$	530.7		
Net investment income (loss)	45.4		45.9		46.4		47.7		185.4		46.3		46.7		47.3		49.2		189.5		
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	177.1		177.0		178.1		180.3		712.5		178.5		180.4		179.8		182.5		721.2		
 	 	 	 	 	 	 	 	 	 	 	
Benefits and expenses	 	 	 	 	 	 	 	 	 	 	
Insurance policy benefits	106.5		110.9		106.8		103.3		427.5		106.6		112.9		113.3		109.2		442.0		
Interest expense	—		—		—		—		—		—		—		0.2		0.5		0.7		
Amortization	11.2		10.2		11.3		11.3		44.0		12.7		10.6		10.2		8.6		42.1		
Other operating costs and expenses	31.8		34.8		33.3		35.8		135.7		31.9		32.1		33.7		32.1		129.8		
Total benefits and expenses	149.5		155.9		151.4		150.4		607.2		151.2		155.6		157.4		150.4		614.6		
EBIT from In-Force Business	$	27.6		$	21.1		$	26.7		$	29.9		$	105.3		$	27.3		$	24.8		$	22.4		$	32.1		$	106.6		

EBIT from New Business	 	 	 	 	 	 	 	 	 	 	
 	 	 	 	 	 	 	 	 	 	 	
Revenues	 	 	 	 	 	 	 	 	 	 	
Insurance policy income	$	14.0		$	13.8		$	13.5		$	13.7		$	55.0		$	13.5		$	13.1		$	13.8		$	14.0		$	54.4		
Net investment income (loss)	—		—		—		—		—		—		—		—		—		—		
Fee revenue and other income	—		—		—		—		—		—		—		—		—		—		
Total revenues	14.0		13.8		13.5		13.7		55.0		13.5		13.1		13.8		14.0		54.4		
 	 	 	 	 	 	 	 	 	 	 	
Benefits and expenses	 	 	 	 	 	 	 	 	 	 	
Insurance policy benefits	6.0		5.8		5.6		5.7		23.1		5.6		5.4		5.7		5.8		22.5		
Interest expense	—		—		—		—		—		—		—		—		—		—		
Amortization	0.9		0.6		0.5		0.6		2.6		0.7		0.8		0.6		0.7		2.8		
Other operating costs and expenses	7.7		8.9		8.0		9.6		34.2		10.2		9.9		8.7		10.8		39.6		
Total benefits and expenses	14.6		15.3		14.1		15.9		59.9		16.5		16.1		15.0		17.3		64.9		
EBIT from New Business	$	(0.6	)	$	(1.5	)	$	(0.6	)	$	(2.2	)	$	(4.9	)	$	(3.0	)	$	(3.0	)	$	(1.2	)	$	(3.3	)	$	(10.5	)	

EBIT from In-Force and New Business	 	 	 	 	 	 	 	 	 	 	
 	 	 	 	 	 	 	 	 	 	 	
Revenues	 	 	 	 	 	 	 	 	 	 	
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)	45.4		45.9		46.4		47.7		185.4		46.3		46.7		47.3		49.2		189.5		
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	191.1		190.8		191.6		194.0		767.5		192.0		193.5		193.6		196.5		775.6		
 	 	 	 	 	 	 	 	 	 	 	
Benefits and expenses	 	 	 	 	 	 	 	 	 	 	
Insurance policy benefits	112.5		116.7		112.4		109.0		450.6		112.2		118.3		119.0		115.0		464.5		
Interest expense	—		—		—		—		—		—		—		0.2		0.5		0.7		
Amortization	12.1		10.8		11.8		11.9		46.6		13.4		11.4		10.8		9.3		44.9		
Other operating costs and expenses	39.5		43.7		41.3		45.4		169.9		42.1		42.0		42.4		42.9		169.4		
Total benefits and expenses	164.1		171.2		165.5		166.3		667.1		167.7		171.7		172.4		167.7		679.5		
EBIT from In-Force and New Business	$	27.0		$	19.6		$	26.1		$	27.7		$	100.4		$	24.3		$	21.8		$	21.2		$	28.8		$	96.1		

Page 13

	
																															
CNO Financial Group, Inc.	 	 	 	 	 	 	 	 	 	 	
Colonial Penn	 	 	 	 	 	 	 	 	 	 	
Analysis of income (loss) 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	3.4		3.3		2.9		2.9		12.5		4.0		3.5		3.5		4.0		15.0		
Other operating costs and expenses	22.1		17.8		17.4		16.1		73.4		23.8		19.6		22.9		18.3		84.6	
   Total benefits and expenses	62.2		56.5		56.7		55.3		230.7		66.5		61.1		62.4		59.7		249.7	
   Income (loss) before income taxes	$	(3.6	)	$	2.6		$	4.2		$	7.6		$	10.8		$	(4.6	)	$	0.7		$	2.2		$	2.8		$	1.1		

 	 	 	 	 	 	 	 	 	 	 	
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	$	44.1		$	45.9		$	46.9		$	48.0		$	44.1		$	48.5		$	49.4		$	50.4		$	51.2		$	48.5		
  Deferred acquisition expenses	2.2		1.5		1.4		1.1		6.2		2.3		2.3		2.3		2.0		8.9		
  Amortization related to operations	(0.4	)	(0.5	)	(0.3	)	(0.6	)	(1.8	)	(1.4	)	(1.3	)	(1.5	)	(1.7	)	(5.9	)	
Balance, end of period	$	45.9		$	46.9		$	48.0		$	48.5		$	48.5		$	49.4		$	50.4		$	51.2		$	51.5		$	51.5		

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Colonial Penn Segment EBIT Summarized by In-Force and New Business (6)	 	 	 	 	 	 	 	 	 	 	
(in millions)	 	 	 	 	 	 	 	 	 	 	
 	 	 	 	 	 	 	 	 	 	 	
CNO Financial Group, Inc.	 	 	 	 	 	 	 	 	 	 	
EBIT from In-force Business	1Q10	2Q10	3Q10	4Q10	2010	1Q11	2Q11	3Q11	4Q11	2011	
 	 	 	 	 	 	 	 	 	 	 	
Revenues	 	 	 	 	 	 	 	 	 	 	
Insurance policy income	$	40.4		$	41.1		$	40.7		$	40.4		$	162.6		$	41.8		$	42.0		$	42.0		$	41.8		$	167.6		
Net investment income (loss)	9.7		9.7		9.9		10.0		39.3		10.3		10.5		10.1		10.2		41.1		
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	50.3		50.9		50.8		50.6		202.6		52.3		52.7		52.3		52.3		209.6		
 	 	 	 	 	 	 	 	 	 	 	
Benefits and expenses	 	 	 	 	 	 	 	 	 	 	
Insurance policy benefits	32.2		30.7		31.7		31.6		126.2		33.8		32.9		30.9		32.1		129.7		
Amortization	3.3		3.1		2.6		2.7		11.7		3.9		3.4		3.3		3.7		14.3		
Other operating costs and expenses	6.5		6.3		6.6		6.8		26.2		6.6		6.3		6.5		6.7		26.1		
Total benefits and expenses	42.0		40.1		40.9		41.1		164.1		44.3		42.6		40.7		42.5		170.1		
EBIT from In-Force Business	$	8.3		$	10.8		$	9.9		$	9.5		$	38.5		$	8.0		$	10.1		$	11.6		$	9.8		$	39.5		

EBIT from New Business	 	 	 	 	 	 	 	 	 	 	
 	 	 	 	 	 	 	 	 	 	 	
Revenues	 	 	 	 	 	 	 	 	 	 	
Insurance policy income	$	7.8		$	8.2		$	8.1		$	8.2		$	32.3		$	8.5		$	8.9		$	8.8		$	9.2		$	35.4		
Net investment income (loss)	—		—		—		—		—		—		—		—		—		—		
Fee revenue and other income	—		—		—		—		—		—		—		—		—		—		
Total revenues	7.8		8.2		8.1		8.2		32.3		8.5		8.9		8.8		9.2		35.4		
 	 	 	 	 	 	 	 	 	 	 	
Benefits and expenses	 	 	 	 	 	 	 	 	 	 	
Insurance policy benefits	4.5		4.7		4.7		4.7		18.6		4.9		5.1		5.1		5.3		20.4		
Amortization	0.1		0.2		0.3		0.2		0.8		0.1		0.1		0.2		0.3		0.7		
Other operating costs and expenses	15.6		11.5		10.8		9.3		47.2		17.2		13.3		16.4		11.6		58.5		
Total benefits and expenses	20.2		16.4		15.8		14.2		66.6		22.2		18.5		21.7		17.2		79.6		
EBIT from New Business	$	(12.4	)	$	(8.2	)	$	(7.7	)	$	(6.0	)	$	(34.3	)	$	(13.7	)	$	(9.6	)	$	(12.9	)	$	(8.0	)	$	(44.2	)	

EBIT from In-Force and New Business	 	 	 	 	 	 	 	 	 	 	
 	 	 	 	 	 	 	 	 	 	 	
Revenues	 	 	 	 	 	 	 	 	 	 	
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 (loss)	9.7		9.7		9.9		10.0		39.3		10.3		10.5		10.1		10.2		41.1		
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	58.1		59.1		58.9		58.8		234.9		60.8		61.6		61.1		61.5		245.0		
 	 	 	 	 	 	 	 	 	 	 	
Benefits and expenses	 	 	 	 	 	 	 	 	 	 	
Insurance policy benefits	36.7		35.4		36.4		36.3		144.8		38.7		38.0		36.0		37.4		150.1		
Amortization	3.4		3.3		2.9		2.9		12.5		4.0		3.5		3.5		4.0		15.0		
Other operating costs and expenses	22.1		17.8		17.4		16.1		73.4		23.8		19.6		22.9		18.3		84.6		
Total benefits and expenses	62.2		56.5		56.7		55.3		230.7		66.5		61.1		62.4		59.7		249.7		
EBIT from In-Force and New Business	$	(4.1	)	$	2.6		$	2.2		$	3.5		$	4.2		$	(5.7	)	$	0.5		$	(1.3	)	$	1.8		$	(4.7	)	

Page 15

	
																															
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	11.1		3.4		19.8		14.4		48.7		8.6		9.4		10.4		11.4		39.8		
Amortization related to net realized investment gains (losses)	(0.6	)	1.0		(1.3	)	2.2		1.3		(0.4	)	(0.3	)	0.9		—		0.2		
Amortization related to fair value changes in embedded derivative liabilities	—		—		—		—		—		—		—		(2.6	)	—		(2.6	)	
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	18.9		20.2		21.8		21.1		82.0		17.8		20.5		16.8		23.7		78.8		
   Total benefits and expenses	167.7		145.8		194.5		165.0		673.0		158.4		153.8		145.5		161.9		619.6		
   Income (loss) before income taxes	$	(0.2	)	$	2.8		$	(35.3	)	$	(5.4	)	$	(38.1	)	$	6.8		$	6.5		$	4.3		$	3.0		$	20.6		

 	 	 	 	 	 	 	 	 	 	 	
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 16

	
																															
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	$	207.8		$	199.4		$	181.8		$	156.9		$	207.8		$	162.0		$	151.8		$	141.9		$	117.5		$	162.0		
Deferred acquisition expenses	7.9		2.1		1.7		1.9		13.6		1.9		1.9		1.2		1.0		6.0		
Other adjustments	—		(3.9	)	(6.8	)	—		(10.7	)	—		—		—		—		—		
Amortization related to operations	(9.8	)	(1.8	)	(10.1	)	(7.3	)	(29.0	)	(6.2	)	(7.2	)	(9.3	)	(7.8	)	(30.5	)	
Amortization related to net realized investment (gains) losses	0.6		(1.0	)	1.2		(2.2	)	(1.4	)	0.4		0.3		(0.9	)	—		(0.2	)	
Amortization related to fair value changes in embedded derivative liabilities	—		—		—		—		—		—		—		2.6		—		2.6		
Adjustment related to unrealized (gain) or loss on fixed maturities, available for sale	(7.1	)	(13.0	)	(10.9	)	12.7		(18.3	)	(6.3	)	(4.9	)	(18.0	)	1.6		(27.6	)	
Balance, end of period	$	199.4		$	181.8		$	156.9		$	162.0		$	162.0		$	151.8		$	141.9		$	117.5		$	112.3		$	112.3		

Page 17

	

Other CNO Business Segment EBIT Summarized by In-Force and New Business (6)	 	 	 	 	 	 	 	 	 	 	
(in millions)	 	 	 	 	 	 	 	 	 	 	
 	 	 	 	 	 	 	 	 	 	 	
CNO Financial Group, Inc.	 	 	 	 	 	 	 	 	 	 	
EBIT from In-force Business	1Q10	2Q10	3Q10	4Q10	2010	1Q11	2Q11	3Q11	4Q11	2011	
 	 	 	 	 	 	 	 	 	 	 	
Revenues	 	 	 	 	 	 	 	 	 	 	
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)	92.6		80.4		96.5		95.1		364.6		94.7		86.7		74.6		88.1		344.1		
Fee revenue and other income	—		—		—		—		—		—		—		—		—		—		
Total revenues	167.4		153.6		172.2		169.3		662.5		166.2		159.2		146.8		161.9		634.1		
 	 	 	 	 	 	 	 	 	 	 	
Benefits and expenses	 	 	 	 	 	 	 	 	 	 	
Insurance policy benefits	133.3		116.2		149.1		122.4		521.0		127.5		119.2		111.5		121.7		479.9		
Interest expense	5.0		5.0		5.1		4.9		20.0		4.9		5.0		5.3		5.1		20.3		
Amortization	11.1		3.4		19.8		14.4		48.7		8.6		9.4		10.4		11.4		39.8		
Other operating costs and expenses	18.9		20.2		21.8		21.1		82.0		17.8		20.5		16.8		23.7		78.8		
Total benefits and expenses	168.3		144.8		195.8		162.8		671.7		158.8		154.1		144.0		161.9		618.8		
EBIT from In-Force Business	$	(.9	)	$	8.8		$	(23.6	)	$	6.5		$	(9.2	)	$	7.4		$	5.1		$	2.8		$	—		$	15.3		

EBIT from New Business	 	 	 	 	 	 	 	 	 	 	
 	 	 	 	 	 	 	 	 	 	 	
Revenues	 	 	 	 	 	 	 	 	 	 	
Insurance policy income	$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	—		
Net investment income (loss)	—		—		—		—		—		—		—		—		—		—		
Fee revenue and other income	—		—		—		—		—		—		—		—		—		—		
Total revenues	—		—		—		—		—		—		—		—		—		—		
 	 	 	 	 	 	 	 	 	 	 	
Benefits and expenses	 	 	 	 	 	 	 	 	 	 	
Insurance policy benefits	—		—		—		—		—		—		—		—		—		—		
Interest expense	—		—		—		—		—		—		—		—		—		—		
Amortization	—		—		—		—		—		—		—		—		—		—		
Other operating costs and expenses	—		—		—		—		—		—		—		—		—		—		
Total benefits and expenses	—		—		—		—		—		—		—		—		—		—		
EBIT from New Business	$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	—		

EBIT from In-Force and New Business	 	 	 	 	 	 	 	 	 	 	
 	 	 	 	 	 	 	 	 	 	 	
Revenues	 	 	 	 	 	 	 	 	 	 	
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)	92.6		80.4		96.5		95.1		364.6		94.7		86.7		74.6		88.1		344.1		
Fee revenue and other income	—		—		—		—		—		—		—		—		—		—		
Total revenues	167.4		153.6		172.2		169.3		662.5		166.2		159.2		146.8		161.9		634.1		
 	 	 	 	 	 	 	 	 	 	 	
Benefits and expenses	 	 	 	 	 	 	 	 	 	 	
Insurance policy benefits	133.3		116.2		149.1		122.4		521.0		127.5		119.2		111.5		121.7		479.9		
Interest expense	5.0		5.0		5.1		4.9		20.0		4.9		5.0		5.3		5.1		20.3		
Amortization	11.1		3.4		19.8		14.4		48.7		8.6		9.4		10.4		11.4		39.8		
Other operating costs and expenses	18.9		20.2		21.8		21.1		82.0		17.8		20.5		16.8		23.7		78.8		
Total benefits and expenses	168.3		144.8		195.8		162.8		671.7		158.8		154.1		144.0		161.9		618.8		
EBIT from In-Force and New Business	$	(.9	)	$	8.8		$	(23.6	)	$	6.5		$	(9.2	)	$	7.4		$	5.1		$	2.8		$	—		$	15.3		

Page 18

	
																															
CNO Financial Group, Inc.	 	 	 	 	 	 	 	 	 	 	
Corporate Operations	 	 	 	 	 	 	 	 	 	 	
Analysis of loss before taxes (in millions)	1Q10	2Q10	3Q10	4Q10	2010	1Q11	2Q11	3Q11	4Q11	2011	
 	 	 	 	 	 	 	 	 	 	 	
Net investment income (loss):	 	 	 	 		 	 	 	 	 	
   General account invested assets	$	—		$	0.1		$	—		$	—		$	0.1		$	—		$	0.9		$	1.1		$	1.0		$	3.0		
   Other special-purpose portfolios	0.2		(3.2	)	3.4		(1.9	)	(1.5	)	8.2		(0.1	)	(13.7	)	(3.1	)	(8.7	)	
Fee revenue and other income	0.5		0.4		0.4		0.3		1.6		0.4		0.2		0.3		0.4		1.3		
Net operating results of variable interest entities	2.4		1.1		1.9		1.8		7.2		2.0		0.2		3.8		1.5		7.5		
Interest expense on investment borrowings	—		—		—		—		—		—		—		(0.1	)	(0.1	)	(0.2	)	
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	)	
Corporate operations, excluding corporate interest expense	(5.0	)	(11.8	)	(12.3	)	(13.7	)	(42.8	)	(0.5	)	(11.3	)	(27.5	)	(8.4	)	(47.7	)	
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	)	
Loss before income taxes	$	(24.5	)	$	(31.6	)	$	(32.3	)	$	(33.7	)	$	(122.1	)	$	(21.1	)	$	(30.6	)	$	(46.2	)	$	(26.1	)	$	(124.0	)	

Page 19

	
																															
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 20

	
																															
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 21

	
																															
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 22

	
																															
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 23

	
																															
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 24

	
																															
CNO Financial Group, Inc.	 	 	 	 	 	 	 	 	 	 	
Statutory information - consolidated basis (7) (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		

Page 25

Notes

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

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

(3) Assumes conversion of all convertible securities.

(4) 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.

(5) 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.

(6) Management believes that an analysis of EBIT, separated between in-force and new business provides increased clarity around the value drivers of our business, particularly since the new business results are significantly impacted by the rate of sales, mix of business and the distribution channel through which new sales are made. EBIT from new business includes pre-tax revenues and expenses associated with new sales of our insurance products during the first year after the sale is completed. EBIT from in-force business includes all pre-tax revenues and expenses associated with sales of insurance products that were completed more than one year before the end of the reporting period. The allocation of certain revenues and expenses between new and in-force business is based on estimates, which we believe are reasonable.

(7) 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 26