2012 CNO Investor Day

2012 CNO Investor Day
December 13 2012
13,

Agenda
Time Topic Speaker
12:15 Introductions Erik Helding – SVP Investor Relations & Treasury

12:20 CNO Strategy Ed Bonach – CEO

12:50 Segment Growth Strategy Scott Perry – CBO

1:05 Target Market & Distribution Scott Perry – CBO & President, Bankers Life
Mike Buckley – SVP Sales, Bankers Life
Steve Stecher – President, Washington National
Gerardo Monroy – President, Colonial Penn
y ,
1:50 Break

2:00 Investments Eric Johnson – CIO, President, 40|86

2:30 Financial Overview Fred Crawford – CFO

3:00 Q&A

3:25 Concluding Remarks Ed Bonach - CEO

CNO Financial Group | Investor Day | December 13, 2012 2

Forward-Looking Statements
Certain statements made in this presentation should be considered
forward-looking statements as defined in the Private Securities Litigation
Reform Act of 1995. These include statements about future results of
operations and capital plans. We caution investors that these forward-
looking statements are not guarantees of future performance, and actual
results may differ materially. Investors should consider the important
risks and uncertainties that may cause actual results to differ, including
those included in our Quarterly Reports on Form 10-Q, our 2011 Annual
Report on Form 10-K and other filings we make with the Securities and
Exchange C
E h Commission. W assume no obligation t update thi
i i We bli ti to d t this
presentation, which speaks as of today’s date.


Non-GAAP Measures
This presentation contains financial measures that differ from the comparable measures
under Generally Accepted Accounting Principles (GAAP). Reconciliations between those
non-GAAP measures and th comparable GAAP measures are i l d d i th A
GAAP d the bl included in the Appendix.
di

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.
id d b tit t f th t di tl bl

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.
Fili ” ti f CNO’ b it CNOi


CNO Strategy
gy
Ed Bonach - CEO


Ed Bonach – Chief Executive Officer

Ed Bonach (58) was appointed chief executive officer and a director of
CNO Financial Group effective October 1, 2011.

Ed formerly served as executive vice president and chief financial officer
of CNO from May 2007 through September 2011. His areas of
responsibility included actuarial, accounting, controlling, risk management,
treasury, tax, facilities and investor relations. This role included partnering
with the CEO in strategically leading the organization.

Bonach joined CNO from National Life Group, where he served as
executive vice president and chief financial officer. Before joining National
Life in 2002, he was with Allianz Life for 23 years, where his positions
included President - Reinsurance Division and chief financial officer.

Bonach holds a bachelor of arts degree (cum laude) in mathematics from
St. Johns University in Collegeville, Minnesota. He is a fellow of the
Society of Actuaries (FSA), a member of the American Academy of
Actuaries (MAAA), and a Chartered Enterprise Risk Analyst (CERA).

Other outside involvement includes Board Member and Immediate Past
Chair, Medical Information Bureau (MIB), Board Member, Indianapolis
Chamber of Commerce, Board Member, Indiana Sports Corporation
(ISC), and Board Member, Boy Scouts of America-Crossroads of America
Council.


Track Record of Execution

86%

Return Value
To Shareholders Stock Performance
Since YE2009*

Invest in Growth
26%

15%

Financial Foundation
CNO Peers S&P Insurance
*As of market close on 12/07/12
As

Reset Business Mix

Peers - AFL, AIZ, AMP, GNW, HIG, LNC, MET, PFG, PL, PNX, PRI, PRU, SFG, SYA, TMK, UNM


What Differentiates CNO?

Focus on serving the needs of our middle-income
target market
g

Exclusive distribution
‒ Consistent with market focus
‒ We have “pricing” influence
‒ Track record of stable customer base

Alignment

Distribution Products Service Culture


CNO’s Target Market
We enrich lives by providing financial security to middle-income
American working families and retirees.
200
s
Millions

Population Growth in
180
Our Market
160

140

120
The Opportunity
100  Fast Growing
80  Underserved
 Unprepared for Retirement
60

0
40

20

0
2010 2020 2030 2040 2050
Age 45 - 54 Age 55 - 64 Age 65+

Source: Census Data and Center for a Secure Retirement

Strategic Investment – Driving ROE

Investing in our business segments

 Agent Growth and Development  Distribution Growth  New Markets
 Office Locations  Worksite Platform  Expanded Products

Investing in the Customer Experience and operational
g p p
efficiency
‒ Hired Bruce Baude to head IT & Operations


Focused On Customer Service and Operational
Effectiveness
Where We Have Opportunity...

Sourcing Rationalization
Fundamentals of Great Service I a
F d t l f G t S i In
Business Like Ours
Additional Platform
Consolidation/Optimization
Consistency
“I know what to expect and my expectations are met”
Leveraging Customer Data
Accuracy
“Things get done right the first time”
Process Efficiency
Simplicity
“Interacting is easy and efficient”
Advancing a Service
Empathy Culture

“They get what it’s like to be in my shoes”
Service Quality
Measurement


CNO: Value Proposition

Uniquely Reinvesting in
Positioned Business
Business Growth
Model

Opportunities
O t iti
 Capital Management
Generating
Stabilized Significant
 Run-Off Engineering
Earnings & Excess
 Operational Efficiencies
Capital  Rapidly GGrowing Target Capital
C it l
Market
Distribution Expansion

Management team focused on
advancing returns
g


Next Steps – Continue to Drive Shareholder Value

2015 Milestones
Capitalize on Opportunities

 Invest $80-$85mm in strategic business initiatives
 Accelerate run-on and run-off
run on run off
 Enhance customer experience and operational
efficiency
 ROE run-rate of 9%
 Drive to investment grade
 Target dividend payout ratio of 20%


Q&A


Segment Growth Strategy
Scott Perry - CBO


Scott Perry – Chief Business Officer
Scott Perry (50) is chief business officer of CNO Financial Group, Inc. and continues
to hold the title of president for Bankers Life and Casualty Company.

Perry joined Bankers as a field vice president and has held the titles of senior vice
p
president of distribution and chief operating officer.
p g

During his tenure, Perry has helped to transform Bankers into a performance-driven,
values-based organization with high accountability at all levels. He developed a
distinctive business model focused on serving America’s middle market pre-and
post-retirees through a unique career distribution system. Under Perry’s leadership,
Bankers has developed best in class practices in lead generation, performance
best-in-class generation
management, agent recruitment, training, and field leadership development. Perry
spearheaded a seven-year strategy that involved aggressive expansion into new
locations, doubling the size of the agent force and producing consistent sales and
earnings growth.

As president of Bankers, Perry has delivered improved bottom-line financial results
while establishing consistent top line growth. Through pricing discipline, expense
rigor and operational efficiencies, the company has achieved financial improvements
in both in force blocks of business and in the margins of new business. These
achievements have resulted in a strengthened balanced sheet and steady
improvements in return on allocated capital
capital.

Before joining Bankers, Perry spent 17 years in sales, marketing and management
roles at Presideo, Premera Blue Cross, Anthem Blue Cross Blue Shield and Golden
Rule. He is on the Board of Trustees of the American College and is a Board
Member of the Greater Illinois Chapter of the Alzheimer’s Association, the Illinois Life
Insurance Council and LL Global, Inc., the parent organization of LIMRA and LOMA
I C il d Gl b l I th t i ti f d LOMA.
He holds a bachelor of arts degree in political science from Ripon College.


CNO: Distribution Strategy to Reach Middle Market


Bankers Life Growth Levers
Career Agents

Agent Retention/
g
Productivity

Agent
Recruiting

Manager Trainee
Program

Satellite Expansion

Medicare
Cross-Sales Supplement
Prospecting Life Insurance

Brand Building Medium-Term
Care
Affinity Medicare
Marketing Partnerships


Washington National Growth Levers
PMA and WN Independent Partners

Workplace
Solutions
Worksite Agencies
WNezBillSM
Expand Sales Management
& St t E
State Expansion
i WNezApp2.0SM
Increase Active Care
Recruiting Capacity

Enhance
Claims Processing

Award-winning Website

Washington National Institute
for Health and Wellness


Colonial Penn Growth Levers
Direct to Consumer

Lead Mix
(higher % non-TV)

Sales Productivity
Additional Sales / Cross-Sell
(CRM & Others)

Hispanic Market New Term Life
Product
Younger New Whole
Life Product
Web
Expansion


LTC Strategy
Keys for Success
 Conservative and affordable product design
 Ability to underwrite
 Pricing, re-pricing and ALM discipline
 Active risk management and stable reinsurance partnerships

 Business model affords ability to strike this balance with exclusive distribution
and focus on middle-income retirees

 Short term care coverage serves an important need; our market can afford it,
and the benefit structure has a lower risk profile

 Target IRR of 14% with annual review of pricing models and assumptions

 New product re-pricing and updates in 2013; underwriting modifications to
existing p
g products


Healthcare Reform - CNO Well Positioned

Healthcare Reform CNO Impact

Does not apply to Med Supp, LTC, Specified
“Excepted Benefits” Disease, Critical Illness are
not directly impacted

Attempts to reduce fraud May see favorable Medigap
and waste and promote claims experience in time
wellness in Medicare

Reduces funding and
raises minimum loss ratios Active seller of Med Supp
for Medicare Advantage and Medicare Advantage

Gaps, complexity and
Opportunity for supplemental uncertainty require
products to fill gaps face-to-face advice


Target Market & Distribution
Scott P
S tt Perry – CBO President, B k
CBO, P id t Bankers Lif Life
Mike Buckley – SVP Sales, Bankers Life
Steve Stecher – President Washington National
President,


Three distinct franchises with unique
value propositions and di ib i models
l ii d distribution d l

• Focuses on middle-income • Focuses on middle-income • Focuses on lower to middle-
Boomers and retirees working Americans income urban/metro retirees

• Offers Medicare Supplement, life, • Offers supplemental health and • Offers simple, low-cost life
annuity, LTC, Medicare Part D and protection products insurance products
Medicare Advantage products
• Distributes through independent • Employs direct response model
• E l
Employs “kit h t bl ” sales
“kitchen-table” l agents and owned di t ib ti
t d d distribution with DRTV and mail-based l d
ith d il b d lead
model generation
• Over 2,000 PMA and independent
• Over 5,600 career agents and agents • ~300 telesales (Philadelphia / at-
sales managers Home / mid-west vendor) reps.
• Serves over 25,000 worksite supporting sales efforts
pp g
• Over 275 locations nationwide groups including small business,
education, government, and
healthcare

Common f
C focus on middle market through controlled di t ib ti
iddl k t th h t ll d distribution


Mike Buckley – SVP Sales, Bankers Life and Casualty

Michael Buckley (61) joined Bankers Life in 2004 as territory vice
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president, responsible for the company's northeast sales territory.
Since 2009, he has served as senior vice president of sales, leading
the company's entire sales organization, comprised of 5 200 career
organization 5,200
sales agents in more than 275 branch and satellite offices nationwide,
and overseeing the Bankers Learning Network, the primary training
resource for field agents and managers.

Buckley's
B kl ' career spans 36 years, 20 of which h
f hi h have b been spent i
t in
senior executive leadership roles. Prior to joining Bankers, Buckley
was executive director of special markets at Kroll Inc. Risk Consulting,
executive vice president and chief marketing officer at AIG/American
General, and senior vice president of northeastern operations for
Prudential Insurance, where h b
P d ti l I h he began hi career as a sales agent i
his l t in
1973.

Buckley holds a B.S. degree in marketing from LaSalle University and
has earned the Chartered Life Underwriter, Chartered Financial
Consultant and Life Underwriting Training C
C f Council Fellow
designations.


Bankers Life – Target Market and Alignment

Target Customer Product
Market Needs Offering
g

Middle Market Personalized Advice at Life, Health and Annuities
Home
• Near and In-Retirement • Retirement Planning • Life Insurance
• Middle Income • Medicare Planning • Fixed Annuities
($25k - $75k)
• Fi l E
Final Expenses • L
Long-Term Care
T C
• Modest Investible Assets
• Legacy Giving • Medicare Supplement/
Advantage


Bankers Life – Distribution Model

• Management Employees
• Career Agents
Managers
• Customer Access Processes Branch and
Manager
Satellite
Development
• Face-to-Face Advice and Counsel Expansion

• Service and Relationship Skills

Bankers Life
Locations Agents
Customer
Source of New Sales

Direct Marketing
Cross Sales
Referrals Successful
New Agents
Prospecting Sales

Other


Bankers Life Key Value Drivers
Selling Locations Agents
300 CAGR: +4% 275 CAGR: +3%

250 223 6,000 5,200
5,000
4,482
200
4,000
150
3,000
3 000
100
2,000
50 1,000
0 -
2007 2008 2009 2010 2011 YTD2012 2007 2008 2009 2010 2011 YTD2012

52 additional locations over five years Higher successful new agent conversion rates

Agent Recruits New Sales from Cross-Sales
CAGR: -1% 40% +15 points
10,000
9,000 31%
8,000
7,579 7,385 30%
7,000
6,000
5,000 20% 16%
4 000
4,000
3,000
10%
2,000
1,000
- 0%
2007 2008 2009 2010 2011 YTD2012 2007 2008 2009 2010 2011 YTD2012

Return to pre-recession recruiting levels Increased volume and share of applications from
cross-sales


Steve Stecher – President, Washington National
Steven M. Stecher (52) joined CNO as executive vice president of operations and
information technology for the Conseco Insurance Group in September 2004. He
became chief operating officer for the company's Carmel-based insurance
companies in February 2005, executive vice president of operations for CNO in
December 2006, and president of Conseco Insurance Group (now Washington
National) in August 2008.

Before joining CNO, he served for two years as senior vice president and chief
information officer for ORIX Financial Services.

From 1997 to 2002 Stecher served in various management positions including
2002, positions,
Chief Information Officer, with ING Americas, the U.S./Canada/Latin America unit of
international financial services/insurance company ING Group. His ING career
culminated with his service as head of shared services, which included responsibility
for human resources, information technology infrastructure, corporate systems,
enterprise p g
p program management, real estate management and p
g , g procurement.

Before ING, Stecher worked with Equitable/AXA, where he held management
positions in marketing, agency operations and brokerage sales management. He
also served as an associate in the insurance group at Perot Systems, program
director of insurance services at IDC, and director of strategic planning and research
in the insurance and healthcare units at EDS.

Stecher earned a B.A. degree in economics and finance from the University of
Texas (Dallas), and a master's degree in management from National University (San
Diego). He completed the Finance for Senior Executives Program at the Harvard
Business School.
School


Washington National – Target Market and Distribution

*Source: Eastbridge Consulting


Washington National Key Value Drivers

• Expanded product availability % = Growth over same quarter prior year

• Collected premium from 560 new
worksite groups YTD 2012 18%
14% 9%
20%
• Added PMA sales leaders to
support sales expansion in nine 14%*
underserved states

• Increased agent recruiting capacity

* Percentage increase over Oct-Nov 2011

Distribution Growth
• New producing WN Independent Partners increased 29% over prior year through October
• PMA producing agent count increased 6% over prior year through October

Back Office Efficiency—Electronic App (WNezApp 2.0) Utilization
• Worksite electronic apps increased from 61% in 3Q 2011 to 88% in 3Q 2012
• Rolling out electronic application to PMA individual business in 2013, targeting
an overall adoption rate of 75+%



Gerardo Monroy (45) was named president of CNO’s Colonial Penn business
segment in August 2012, after serving as the vice president of long-term care
for CNO’s Bankers Life business segment since 2008.

Monroy began his career with CNO in 2001 as a vice president in the
corporate marketing group and, in 2002, joined Bankers Life as vice president,
distribution strategy and field support. In 2004, he was named vice president,
career distribution and operations strategy and chief of staff to the company’s
company s
chief operating officer. He became vice president of field administration and
analysis with Bankers in 2006 and was then named vice president of Bankers’
long-term care business in 2008.

Before joining CNO, Monroy worked for international corporations in Mexico
and Italy, including Procter & Gamble, and Carrier Corporation (part of United
Technologies).

He holds an MBA from Harvard University and a bachelor's degree in public
accounting from the Universidad Iberoamericana in Mexico City.

Monroy served as board chairman of the Latino Education Alliance (LEA), a
Chicago-based nonprofit organization from 2008-10.


Colonial Penn – Target Market and Alignment
Target Customer Product
Market Needs Offering

Middle – Low-Mid Market Over the phone personalized Life Insurance
advice
• Seniors • Final Expenses / Funeral Planning p
• Final Expense Insurance
• Average 65 years old • Easy to understand products • Term Life
• Urban / Metro • Basic money management • Whole Life
• Female • Premium collection timing tied to SS • Life Products Pipeline
checks deposits
• Single
• Quick Claims Processing
• Diverse


Colonial Penn
Integrated Marketing and Sales Process

Buyers Additional Sales

Reactivate
R ti t

Reactivate
Campaigns Leads Prospects CPL Sales
Customer

Non-Buyers
Non Buyers Referrals Service
(shared with BLC Agents)

• DRTV / Direct Mail / Web leads New Sales
e Sa es

• CPL Telesales connect with most Prospect Identif. 60%
prospects Prospect Reactiv. 15%

• During call, telesales rep explains
g p p Customer Reactiv. 12%
product features and assesses Service Sales 8%
product fit and affordability
Agent & Test Sales 5%

Prospect Identification: Sales from new leads (mainly TV)
Prospect Reactivation: TV lead non-buyers targeted via direct mail programs
Customer Reactivation: Additional sales to existing customers with less than max coverage
Service Sales: After completing service calls -> Additional sales / referrals
BLC Agent & Test Sales: TV lead non-buyers made available to BLC agents + tests


Colonial Penn Key Value Drivers
Acquisition Cost/NAP Ratios
Leads by Source
1,000,000 961,000
909,356 1.19
1.20 1.10
1.07
0.97
732,981
750,000

0.80
538,561
500,000

0.40
250,000

‐ ‐
2009 2010 2011 2012 F 2009 2010 2011 2012 F
TV Leads DM Leads Web Leads

Phone Contact Rate
Phone Contact Rate
100%  Increasing i
I i investment i l d generation
in lead i

75% 78% 78% 77% 78%
 Higher phone contact rates = Higher
conversion rates
50%

 Acquisition cost / NAP ratios are higher
25% when investing in growth; new markets
and/or new products
0%
2009 2010 2011 2012 F
2012 F
 Achieving increased sales and improved
direct marketing efficiencies


Executing on Strategies Projected to Lead to 8-10%
Growth in Sales ($ in millions)
Sales - 7% CAGR* Across All Segments since 2010

$245.4 $245.9 $245.7

$199.8
$184.7 $186.7
*

$83.6
$70.5 $75.4
$60.5
$46.3 $51.4

2010 2011 LTM 3Q2012 2010 2011 LTM 3Q2012 2010 2011 LTM 3Q2012

4% CAGR* 9% CAGR** 14% CAGR

* Excluding Annuities
CNO Financial Group | Investor Day | December 13, 2012 ** Core Products (Supplemental Health and Life) 37

Q&A


Investments
Eric Johnson – CIO & President, 40|86


Eric Johnson – Chief Investment Officer & President, 40|86

Eric R. Johnson
President, 40|86 Advisors, Inc.
Chief Investment Officer, CNO Financial Group, INC
p

Eric Johnson (52) has been the President of 40|86 Advisors
(CNO’s registered investment adviser subsidiary) for 9 years.
He has more than 20 years of financial markets and
investment experience, beginning with a predecessor bank of
experience
J.P. Morgan and Co.

He holds a B.A. in American history from Harvard University,
where he graduated cum laude. He is a board member of
WFYI, INC. and The Julian Center.


Key Takeaways

 Disciplined approach to investing and asset-liability management

 Emphasis on stable and predictable investment performance meeting
corporate objectives

 Current tactical priority: sustaining book yield and investment income

 Active risk management

 Investments are a key CNO core competency contributing to the stability
of CNO’s operating results


Culture Leads to Quality and Competency

Experience and
track record

Strong CNO
Breadth of investment portfolio
capabilities quality

Active
Strong alignment with Management
business strategies
C lt
Culture

Disciplined approach to Core CNO
investing and asset- competency
liability
li bilit management t

Tested risk controls


Cycle of Low Yields
The Fed is likely to continue
to provide substantial liquidity

The choices in the bond market The ECB and other
are more about relative value instrumentalities have
rather than absolute returns committed to ‘do what it takes’
to support an orderly Euro

Virtuous circle of low yields
incentivizing increased risk taking
which promotes economic growth
Probably a credit compression
trade, or intermediate term
maturities offer the best Returns on cash are likely to
risk/return trade-offs stay near zero
(with tail risk to higher levels)

The main risk to bonds is a It’s a low growth, high
g g
substantial rise in inflation liquidity world


Strategic Insights

 Modestly increase risk – “Compression Trade”

 Emphasize U.S. domestic sectors

 Transition from macro (correlated) to micro market

 Call on housing market bottom

 Energy as a beneficiary of global demand


Our Outlook
6%
10 Y U S T
Yr. U.S. Treasury

 Risky credit has outperformed as Fed policy 4%
has diminished returns on risk-free assets and
pushed investors out on the risk curve
2%
 An environment of modest growth with
household and business deleveraging is not 0%
inhospitable to the credit markets 2007 2008 2009 2010 2011 2012

 Increasing depth of empirical evidence that the (bps)
Corporate A Credit Spread
housing market has bottomed and is 800

recovering 600

 Corporate credit quality is increasingly affected 400
by slow revenue growth, shareholder pressure
for di t ib ti
f distributions, uncertain U S fi
t i U.S. fiscal policy
l li 200

 Liquidity likely to remain abundant amidst 0
2007 2008 2009 2010 2011 2012
global central bank stimulus – defaults to Source: Barclays

remain constrained 8%
Composite Insurance Index
Life Industry Average Yields
 While there is a non-trivial level of tail risk, our 7%

base case is low for longer 6%

 Most structured credit markets face ongoing 5%

supply/demand imbalance
y 4%

3%
2002 2004 2006 2008 2010 2012
Source: SNL


Our Asset Allocation
($ millions)
( )
$24 8bn of Invested Assets*
$24.8bn
CLO
 Highly diversified Govt/Agency
1.4%
CMO Cash &
3.7% Ot e
Other
 90% investment grade 4.8%
ABS
3.4%
 < 0.72% equity
Municipals
 Integrated with Asset-Liability
Asset Liability 7.3%
7 3%
Management discipline (i.e. CMBS
duration, convexity, key rate 5.8% IG
Corporates
duration) HY 54.4%
Corporates
p
4.6%
Recent Allocation Changes Mortgage
Loans
$1,800 6.4%

Non-Agency
$ ,
$1,240
RMBS
8.2%

$440
$328
$134 * Book value as of 9/30/12
$11

CLO BIG RMBS Munis
2008 2012


Investment Ratings Profile
CCC and
Lower
Allocation to ‘High Risk’ Assets* 3%

B
2% AAA
15.98% BB 10%
13.29%
5%
12.61% 12.20% 11.77% AA
9%

2008 2009 2010 2011 YTD-3Q12
A
BIG** Equity Real Estate BIG Ratio 23%
BBB
48%
 90% investment grade
 Yields successfully defended while
overall quality sustained

* ‘High Risk’ assets defined as high yield assets, real estate, equity and alternatives
** BIG based on Moody’s


Corporate Securities $
$14.6bn of Invested Assets*
14.8%
Energy/Pipelines
10.5%
 Overweights: Utilities 11.8%
7.9%

 Energy/Pipelines Insurance
5.7%
9.2%
9 2%

9.0%
 Utilities Telecom & Media 10.3%

7.4%
Food/Beverage
 Insurance Healthcare &
5.2%
7.1%
7 1%
Pharmaceuticals 7.3%
 Food/Beverage Banks & Brokerage
6.9%
24.5%

 REITS Other 5.6%
11.1%

5.6%
REITS
 Underweights: 2.1%

4.8%
Chemicals & Metals/Mining 4.8%
 Banks & Brokerage 4.2%
Transportation/Autos 3.7%

 E
Europe Capital Goods 4.1%
3.9%
4.1%
Consumer Products & Paper
1.8%

Textiles & Building Mat'ls 2.8% CNO Allocation
0.3%
2.6% Barclays Corporate Index
Aerospace/Defense Allocation
1.1%

Sources: Barclays Corporate Index, Other includes: Technology, Entertainment and Gaming, Retail, other Industrial, Tobacco, Services and other Finance

CNO Financial Group | Investor Day | December 13, 2012 * Book value as of 9/30/12 48

Structured Securities $5.4bn of Invested Assets*

3.0%
 76% investment grade Agency
CMO
9.3%

 91% NAIC 1 rated
Non- 8.2%
 Strong analytical disciplines around Agency
RMBS 4.1%
collateral and cash flow

5.8%
Structured Securities Invested Assets ($mm) CMBS
5.9%
$5 232
$5,232
$4,762
$4,260
3.4%
$3,460 ABS
3.1%

CNO
Allocation
1.4% Peer
CLO Allocation
0.7%

1Q08 3Q08 1Q09 3Q09 1Q10 3Q10 1Q11 3Q11 1Q12 3Q12
IG BIG Sources: Goldman Sachs Portfolio Management, Peer Allocation based on
Largest 25 Life Insurance Companies

CNO Financial Group | Investor Day | December 13, 2012 * Book value as of 9/30/12 49

RMBS $2bn of Invested Assets*

 8.2% of invested assets
 98% NAIC 1 rated
 61% BIG NRSRO ratings; purchased at significant
discount to opportunistically capture yield Alt A
Alt-A
 Stable collateral performance trends 22%
 Strong analytical process to stress test collateral, Prime
Jumbo
using market consistent assumptions 49%

∆ BIG RMBS Allocation
All ti Subprime
$1,240
29%
$954

$443 $517

$11

2008 2009 2010 2011 2012 * Book value as of 9/30/12

2004 & 2008 &
2005 2006 2007 Total
($ millions) Prior Later
AAA/AA $88 $67 $- $- $60 $215

A 56 69 - - 292 417

BBB 84 69 - 5 - 158

BIG 199 478 334 228 - 1,239

Total $427 $683 $334 $233 $352 $2,029


CMBS $1.4bn of Invested Assets*
 Stable, highly rated portfolio Agency
2%
 100% investment grade: 87% AAA/AA
AJ
0%
 98% NAIC 1 Mezz
14%
 Long-term buy and hold strategy based on property
fundamentals Senior
49%

 Very strong collateral performance AM
35%

 Average delinquency rate of 7% compared to market
average of 10%

 Stress tested using market consistent values for cap
rates, collateral performance, etc. * Book value as of 9/30/12

2004 & 2008 &
2005 2006 2007 Total
($ millions) Prior Later
AAA $142 $249 $152 $211 $119 $873

AA 31 27 118 149 60 385

A/BBB 32 7 2 26 115 182

Total $205 $283 $272 $386 $294 $1,440


CLOs Are a Significant Commitment & Opportunity
$0.4bn of Owned Assets* 3 CLOs with $0.8bn AUM

• 40|86 acts as asset manager
AAA on th
three sponsored CLO’s
d CLO’
9%

AA
• Leverages CLO competency
61%
NR
16% • Drives corporate fee income

• CNO investment $79mm
CCC
3% A
B 6%
1%
BB  Mill Creek - $273mm
BBB
1%
3%
* Book value as of 9/30/12  Sugar Creek - $280mm
 Stable and highly-rated
 79% Investment grade; 70% AAA/AA  Eagle Creek - $276mm
 81% NAIC 1
 Strong credit support


Commercial Mortgage Loans $1.6bn of Invested Assets*
 Focus on ‘A’ quality properties which are diversified by Other Multi-Family
4% 6%
geography and sector
Mixed Use
3%
q y
 No’s: mezzanine or real estate equity investments, construction
or condo loans, pro-forma underwriting
Industrial
Retail
17%
37%
 Limited near-term maturities ($135mm in 2013)

 63.4% Loan-to-Value
Office
 1.49 Average DSCR 33%

 0.01% delinquency rate DSCR
* Book value as of 9/30/12
($ millions)
LTV >1.25 1.00x-1.25x <1.00 Total

65%
<65% $602 $40 $- $642

65% - 75% 253 15 - 268

75% - 80% 100 8 - 108

80%
>80% - 170 40 210

Total $955 $233 $40 $1,228 **
** Table excludes $371 million of Credit Tenant Loans


Peripheral Europe*
($ millions)

Total
Book Fair
Value Value
Financials $- $59.8
$59 8 $27.9
$27 9 $87.7
$87 7 $94.9
$94 9

Utilities - 30.1 - 30.1 29.6

Industrials - 61.1 - 61.1 66.0

Telephone 26.1 - 64.6 90.7 82.3

Total $26.1 $151.0 $92.5 $269.6 $272.8

* As of 9/30/12


Declining Impairment Losses*
($ in millions)

$195.4

$162.3

$79.2

$23.1
$8.5

2008 2009 2010 2011 YTD - 3Q12

Corporates Structured Securities Commercial Real Estate Other

*Excludes net investment income losses and impairments related to IGA legacy investments


Dealing with Low Interest Rates
 Credit at short end of curve (includes CLOs, Non-Agency RMBS, Esoteric ABS, selected
High Yield)

 Quality at long end of curve – take advantage of significant LTC duration (includes US
Corporates, Core EM IG Corporates)

 Slowing portfolio turnover – each reduction of 1% in asset turnover is worth approximately
$2 5mm in investment income
$2.5mm

Demonstrated tactical capability to sustain new money rate around 4.75%

 Maintain our ALM disciplines New Money Rate Trend
(including duration/convexity and key 5.96%
rate duration guidelines) 5.60%
5.24%
5.55%
5.29% 5.32% 5.25%
4.71%

 M d
Modest iincrease i i
in investment
leverage supporting stable structured
credit

 M i t i emphasis on credit risk
Maintain h i dit i k
fundamentals 4Q10 1Q11 2Q11 3Q11 4Q11 1Q12 2Q12 3Q12


Our HoldCo Investment Strategy

HoldCo

3 CLO structures in
place totaling $829mm
p ace tota g $8 9 Returns on alternative Returns on corporate
AUM investments liquidity

$47mm invested in Cash equivalents,
Investment advisory CLO equity, liquid core and core plus
and success fees equity, private
q y, p strategies, with
equity limited leverage
li it d l


Q&A


Financial Overview
Fred Crawford – CFO


Fred Crawford – Chief Financial Officer
Frederick J. Crawford
EVP and Chief Financial Officer

Fred Crawford (49) was named executive vice p
( ) president and chief
financial officer for CNO Financial Group, Inc., effective January 23,
2012.

Crawford formerly served as executive vice president and head of
Corporate Development and Investments for Lincoln Financial Group.
p p p
He joined Lincoln Financial Group in 2001 as vice president and
corporate treasurer and went on to serve as senior vice president and
chief financial officer in 2005 and executive vice president and chief
financial officer in 2008.

Prior to joining Lincoln Financial, Crawford was with Bank One
Corporation where his roles included President, Bank One Cincinnati
and Northern Kentucky.

Crawford earned a Bachelor of Arts degree in marketing from Indiana
State University and an MBA from the University of Iowa.


CNO’s Financial Strategy

Grow Earnings & ROE
p p
• Investments in distribution and product expansion
• Diverse margins drive stable growth
• Active in-force management

Optimize Cash Flows
• Balanced mix of protection business with disciplined return hurdles
• Maximize value of significant tax assets

B l
Balanced C it l M
d Capital Management
t
• Balancing cost of capital with ratings improvement
• Excess capital guided by our view of risk

Effectively Deploy Excess Capital
• Capital deployment a significant driver of future EPS and ROE build
• Bias towards opportunistic repurchase with steady dividend build
pp p y


Segment Earnings Trend - Stable & Growing
($ millions)
)
Segment EBIT Excluding Significant Items*
$344.3

$309.4 $322.7 Tailwinds
$106.6
$248.8
$100.4 $92.5
• Favorable health benefit ratios
$73.3
• Annuity persistency & spreads
• Corporate investment results
$250.2 • Free cash flow & capital deployment
$221.0 $212.6
$184.0

Headwinds

$17.8 $28.3 $28.3 $30.0
$4.2
$(34.0)
$(4.7) $(6.5) $(11.8) • Low new money investment rates
$(36.1) $(30.3) $(0.6)
• Natural run-off blocks of business
2010 2011 YTD 3Q2011 YTD 3Q2012
Q Q
CP OCB BLC WN Corporate • Normalizing LTC benefit ratios
Diluted Share Count (mm) • Pace of growth investment
Average 301.9 304.1 306.1 293.0
EOP 306.7 296.6 299.0 250.8
* A non-GAAP measure. See the Appendix for a reconciliation to the corresponding GAAP measure.


2012 CNO Investor Day

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