financial and operating results...

Conseco, Inc.

selected slides from our

Second Quarter 2008

Financial and Operating Results

Presentation(as filed in our Current Report

on Form 8-K dated August 12, 2008)

Key Debt Covenants CNOQ2 2008*

($ millions)Q4 2007Q4 2006

25.0%

16.2%

2.00X

2.06X

$1,270

$1,747

245%

358%

Q4 2005

30.0%

17.4%

2.00X

2.06X

$1,270

$1,734

250%

357%

30.0%

21.0%

2.00X

3.34X

$1,270

$1,497

250%

296%

30.0%

22.8%

2.00X

3.44X

$1,270

$1,466

250%

271%

Debt/Capital Ratio

Covenant Maximum

Actual

Interest Coverage**

Covenant Minimum

Actual

Statutory Capital

Covenant Minimum

Actual

RBC Ratio

Covenant Minimum

Actual

*Preliminary calculations.**Q405 and Q406 reflect fixed charge coverage, as required under prior bank agreement.

45

• In compliance with all financial covenants

Financial Indicators*

13

CNO

*See appendix for detail on these indicators, including notes describing non-GAAP measures.**Pro forma indicators are calculated as if the proposed transaction to transfer CSHI to an Independent Trust

was completed at June 30, 2008.***Excludes investments from consolidated variable interest entity.

• Book value per diluted share (excluding accumulated other comprehensive loss)– $21.76 at 6/30/08 vs $24.41 at 12/31/07– Pro forma $18.22 at 6/30/08**

• Debt to total capital ratio (excluding accumulated other comprehensive loss)– 23% at 6/30/08 vs 21% at 12/31/07– Pro forma 28% at 6/30/08**

• Consolidated RBC ratio– 271% at 6/30/08 vs 296% at 12/31/07– Pro forma RBC is expected to increase by approximately 10 percentage points**

• Investments– Key indicators consistent with expectations– $356.1 million of investment income in Q2 2008 – Earned yield of 5.82% in Q2 2008 – 94% of bonds investment grade at 6/30/08***– Gross unrealized losses of $1,214.3 million at 6/30/08 reflects widened credit spreads in

numerous markets***

Liquidity: Holding Company Sources and Uses of Funds

15

CNO($ millions)

Sources:Interest on Surplus DebenturesNet Fees for Services Provided Under Intercompany Agreements

Uses:Interest Expense on Corporate DebtOperating Expenses

Net Impact

2007

$69.992.9

(72.3)(42.9)$47.6

YTD 2008

$28.743.1

(30.3)(33.8)

$7.7

• Corporate liquidity– Available holding company liquidity in excess of $104 million at 6/30/08, plus $80

million revolver

• Sources of and uses of funds, excluding insurance subsidiary dividends

Conseco, Inc.

Selected Slide

from KBW 2008 Insurance Conference

(as filed in our Current Report

on Form 8-K dated September 3, 2008)

• Structured securities represent 24% of total actively managed fixed maturity securities

– Over 89% AAA rated

– Over 40% agency CMOs

– 11% Alt-A Assets (99% AAA rated)

– No exposure to Agency preferred or common

• Below investment grade only 6% of portfolio

• $102MM sub-prime home equity ABS

– 90% pre-2006 vintage

– Only $22MM in A category or lower

• $923MM CMBS exposure

– Only $273MM in A category or lower

Composition of Investments as of 6/30/08

CMBS3.9%

Investment Grade Corporates59.1%

Other9.8%

Commercial Mortgages9.4%

ABS1.7%

CMOs16.2%

0.06%

(0.15%)(0.19%) (0.20%)

(0.27%)

(0.35%)(0.38%)

(0.41%)

(0.71%)

(0.11%)

(0.8%)

(0.7%)

(0.6%)

(0.5%)

(0.4%)

(0.3%)

(0.2%)

(0.1%)

(0.0%)

0.1%

CNO PFG LNC GNW MET ALL HIG PRU AIG

2Q’08 Net Investments G/L as a % of Assets

UNUM

18

Limited Exposure to Troubled Asset Classes

Conseco, Inc.Investment PortfolioAs of June 30, 2008

1

Summary

Our goal is stable and predictable investment performance

Diversified and liquid investment portfolio

Portfolio migration and MTM trends consistent with credit cycle and overall credit market

Risk controls include credit policy, asset liability management, hedging, and compliance

Experienced investment professionals (including 14 CFA Charterholders, 2 CPAs, 9 MBAs, and 2 JDs) - diverse fixed income disciplines

2

Govts and Agencies1.5%

Municipals2.1%

High Yield Corporates*

3.7%

Commercial Mortgages

9.4%

Investment Grade Corporates

59.1%

Non-Traditional2.0%

Equity an Derivatives0.5%

CMOs16.2%

CMBS3.9%

ABS1.7%

Asset Allocation

*Excludes variable interest entity

As of 6/30/2008(Allocations based on book values)

Our diversified investment portfolio allocation emphasizes traditional insurance sectors

3

Asset AllocationAs of 6/30/2008$Millions

IGCorporates

CMOsComm.Mort.

CMBSHY

Corporates*Municipals

Non-Traditional

ABSGovts/Agen

Equity andDerivatives

Market ValueBook Value

$13,972

$3,827

$2,227

$924$869

$504$480 $404

$352$113

$13,266

$3,639

$2,222

$842 $795$486

$432$336 $365

$45

Qualitative and MTM trends are consistent with expectations and credit cycle

*Excludes variable interest entity4

Asset AllocationAs of 6/30/2008

CMOs4.8%

IG Corporates

4.5%

HY Corporates

(0.2%)

Municipals0.7%

Non-Traditional 0.9%

Govts/Agen. (2.1%) CMBS

(2.4%)

Comm. Mort.(0.5%)

ABS (5.6%)

Peer Avg.

PercentagePointsHigh

PercentagePointsLow

Peer averages comprised of Genworth, Lincoln, Principal, Phoenix, Protective Life, and Reinsurance Group of America

Relative portfolio allocations vs. peer averages

5

Other7.1%Retail 1.3%

Utilities13.4%

Energy/Pipelines11.9%

Banks8.8%

Food/Beverage8.1%

Insurance7.9%

Healthcare/Pharma7.4%

Real Estate/REITs5.2%

Cable/Media4.5%

Brokerage4.4%

Telecom3.7%

Cap Goods3.6%

Transportation 3.4%

Building Mat'ls 2.5%

Aerospace/Defense 3.1%

Technology 2.2%

Consumer Products 1.5%

Investment Grade CorporatesAs of 6/30/2008

IG Corporates

59.1%

Our IG Corporate allocation is diversified and emphasizes traditionally less cyclical sectors

6

Other, 8.0%

Healthcare/Pharma, 7.1%

Food/Beverage, 8.2%

Building Mat'ls, 9.4%

Cable/Media, 13.3%

Cap Goods, 1.3%

Real Estate/REITs, 6.8%Entertainment/Gaming, 6.3%

Technology, 5.4%

Energy/Pipelines, 5.3%

Telecom, 4.5%

Paper, 3.8%

Aerospace/Defense, 3.6%

Chemicals, 3.4%

Autos, 3.3%

Utilities, 3.2%

Consumer Products, 2.1%

Hotels, 2.0%

Retail, 1.7%Metals & Minning, 1.3%

High Yield CorporatesAs of 6/30/2008

High Yield Corporates

3.7%

Our HY Corporate allocation is diversified and is weighted away from cyclicals

7

AAAAA

ABBB

BB

Market Value

Book Value

$581

$69 $106 $144

$23

$563

$62 $90 $107$20

CMBSAs of 6/30/2008$Millions

CMBS3.9%

Our CMBS exposure emphasizes AAA and AA categories (more than 70%)

8

Pre-200435.3%

200423.4%

200525.1%

200610.7%

20075.5%

CMBSAs of 6/30/2008

Our CMBS exposure is heavily weighted toward older vintageswith stronger qualitative characteristics and seasoning

9

Retail32.3%

Multi-Family15.1%

Hotel5.9%

Other14.9%

Industrial4.2%

Office27.6%

Our CMBS are backed by a diverse pool of underlying collateral –$90 billion, from more than 7,700 commercial mortgage loans

CMBSAs of 4/30/2008

10

CMBS

South Atlantic

19.2%

New England

4.0%

East South Central

2.0%

West South Central

7.6%

Pacific18.1%

Middle Atlantic

19.4%Mountain

7.0%

As of 6/30/2008

West North Central

2.6% East North Central

8.4%

Underlying collateral is geographically diverse

Multiple Regions11.7%

11

CMBS

Collateral

DSCR

LTV

Occupancy

Cap rate

Rent rolls

Geographic distribution

Industry distribution

Collateral rating/credit grade distribution

IO loans

NOI trends

TI/LC reserves

Sponsor Structure Surveillance

Property/company and management overview

Origination practices

Underwriting

Monitoring and collection process

Quality control

Trust structure

Cash flow allocation

Mechanics of credit/ enhancement/protection

Servicer

Stress tests

Rating

Term/Yield/Duration vs. portfolio

Prepayment projections

Monitor rating versus performance

Identify underperforming assets/transactions which could lead to rating change

Projections on defaults delinquencies, and recoveries

Projected cash flows and credit support levels

Stress tests

We track our CMBS using a robust underwriting and surveillance process

12

Private LabelFHLMC

FNMAGNMA

Market Value

Book Value

$1,742

$1,376

$625

$84

$1,581

$1,356

$618

$83

CMOsAs of 6/30/2008$Millions

CMOs16.2%

Our CMO portfolio is approximately 50% GSE guaranteedand is more than 99% AAA rated

13

CMOsAs of 6/30/2008$Millions Our private label CMOs are diversified by type

and vintage and are more than 98% AAA rated

2004 - Alt-AMV/BV: 93%

2007 - Prime JumboMV/BV: 89%

2005 - Alt-AMV/BV: 85%


2007 - Alt-AMV/BV: 85%




2006 - Alt-AMV/BV: 85%

16.6%

26.0%

9.8% 10.6%

24.4%

6.6%

3.7%

1.7%

0.6%

Private Label

CMOs7.4%

14

As of 6/30/2008

CMOs

Sequential 46.5%

Eff. Duration: 7.18Convexity: (0.83)

Pass Through 3.9%


NAS 21.8%

Eff. Duration: 8.82Convexity: 0.16

TAC/Accretion Directed5.7%


PAC19.8%

Eff. Duration: 8.81Convexity: 0.10

Z-Tranche 2.3%


Our CMO portfolio has moderate cash flow volatility

15

ABS1.7%

Equipment3.2%

Credit Cards21.7%Subprime HELs

25.2%

Financial Settlements14.6%

Home Equity35.2%

As of 6/30/2008

Asset Backed Securities

16

Asset Backed SecuritiesAs of 6/30/2008$Millions Subprime HEL and HELOC valuations reflect challenging MTM

environment for mortgage securities

Home EquitySubprime HELs

Credit CardsFinancial Settlements

Equipment

Market Value

Book Value

$141

$103

$89

$59

$13

$103

$85$85

$53

$11Avg. Rating: Aa2

Avg. Rating: Aa2

Avg. Rating: Aa2

Avg. Rating: A1 Avg. Rating: Aa3 17

ABS/CMO

Collateral

Debt-to-Income

Loan-to-Value

Occupancy type

Geographic distribution

Credit score

IO loans

Documentation

Loan tapes

Loan Performance Platform

Sponsor Structure Surveillance

Origination practices

Underwriting practices

Servicer quality

Monitoring and collection process

Quality control

Trust structure

Cash flow allocation

Mechanics of credit/ enhancement/protection

Stepdowns

Rating

Term/Yield/Duration vs. portfolio

Intex Platform

Collateral performance review: variance attribution

Stochastics on defaults, delinquencies, recoveries, prepayments, and cash flows

Trends in credit support relative to delinquencies and losses

Projected cash coverages

Principal payment windows

Projected collateral writedowns

Yield Book Platform

We have a robust analytical process for residential mortgage securities

18

Industrial/Warehouse8.4%

Office37.5%

Retail48.5

Multi-Family4.7%Other

1.1%


9.4%

Commercial MortgagesAs of 6/30/2008

Our commercial mortgage loan allocation includes credit tenant loans

19


South Atlantic

21.7%

New England

9.1%

East South Central

5.4%

West South Central

5.9%

Pacific6.8%

Middle Atlantic

8.1%Mountain

10.2%

As of 6/30/2008

West North Central13.5% East North

Central19.3%

20

90.1%

6.6%1.9% 0.4% 1.0%

$0 - $10 $11 - $20 $21 - $30 $31 - $40 $40+

54.9%

21.3%

10.3%3.1%

10.4%

$0 - $10 $11 - $20 $21 - $30 $31 - $40 $40+

Commercial MortgagesAs of 6/30/2008$Millions

Loan Balance

Number of Loans

Our portfolio tends toward a large number of loanswith few large exposures

21

Our asset portfolio has lengthened to bettermatch our insurance liabilities

6.2 6.46.9 6.9

7.38.2

7.1 7.1 7.0 7.2 7.5 7.97.5

6.4

0

2

4

6

8

10

2002 2003 2004 2005 2006 2007 2Q 2008

Dur

atio

n (y

ears

)

0.0

0.2

0.4

0.6

0.8

1.0

Abs

olut

e V

aria

nce

(yea

rs)

Actual Target Variance

Asset Liability Management

22

(4,000)

(3,000)

(2,000)

(1,000)

0

1,000

2,000

3,000

4,000

5,000

2008 2012 2016 2020 2024 2028 2032 2036

Asset Liability ManagementWe use projections of Asset and Liability cash flows to

articulate opportunities and risks

Simulation analysis, including cash flow testing

Portfolio gap analysis, including maturity analysis and interest rate sensitivity analysis

Optimization analysis

Investment and mitigation strategies

$Millions

23

Metrics Uses / Results

DurationConvexityYieldProjected cash flowInvestment incomeSurplus

Product managementPlanning

– Income – Capital

Surplus managementCash flow testing


StatutoryPortfolios

Life

Annuity

Spec. Disease

LTC

Asset segmentation focuses on product segment needs

24

-1.00%

-0.50%

0.00%

0.50%

1.00%

1Q '06 2Q '06 3Q '06 4Q '06 1Q '07 2Q '07 3Q '07 4Q '07 1Q '08 2Q '08

99.50%

99.75%

100.00%

100.25%

100.50%

Gain/Loss as % Inforce R Squared


% Inforce

Our EIA hedging process demonstrates effective results

R Squared

25

Risk Management

Systemic risks we closely monitor

Widening of general credit spreads

Volatility of interest rates

Directional movements in prices and volatilities of equity indices

Changes in the level of the yield curve

Changes in asset valuations

26

Risk Management

0

5

10

15

20

25

30

35

Jun-06 Sep-06 Dec-06 Mar-07 Jun-07 Sep-07 Dec-07 Mar-08 Jun-08

Equity Volatility(VIX)

Vix

Source: Bloomberg

27

0

50

100

150

200

250

300

350

Jan-0

6Fe

b-06

Mar-06

Apr-06

May-06

Jun-0

6Ju

l-06

Aug-0

6Sep

-06

Oct-06

Nov-0

6Dec

-06

Jan-0

7Fe

b-07

Mar-07

Apr-07

May-07

Jun-0

7Ju

l-07

Aug-0

7Sep

-07

Oct-07

Nov-0

7Dec

-07

Jan-0

8Fe

b-08

Mar-08

Apr-08

May-08

Jun-0

8

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

A Corporate - Spread High Yield Default Rates

Risk Management

Corporate Spreads and Default Rates

Source: Lehman and Moody’s

SpreadDefault

Rate

28

Risk Management

10 Year vs. 30 Year Treasuries

Source: Lehman

-20

0

20

40

60

80

100

120

Jan-06

Feb-0

6M

ar-06

Apr-06

May

-06Ju

n-06Ju

l-06

Aug-06

Sep-06

Oct-06

Nov-06

Dec-06

Jan-07

Feb-0

7M

ar-07

Apr-07

May

-07Ju

n-07Ju

l-07

Aug-07

Sep-07

Oct-07

Nov-07

Dec-07

Jan-08

Feb-0

8M

ar-08

Apr-08

May

-08Ju

n-08

Spread

29

Risk Management

11.5%

7.5%

3.2%

0.2%

-1.7%

-3.4%-4.6%

-8.9%

-15.8%

March 06 June 06 Sept 06 Dec 06 March 07 June 07 Sept 07 Dec 07 May 08

Home Prices(Year-Over-Year Change)

Source: S&P/Case-Shiller

30

Proactive approach to controlling key risks

Documented guidelines for risk policies and risk capacity

Monitoring and enforcing adherence to our risk policies

Measuring quantifiable risks using proven methodologies and market-consistent values

Fundamental credit surveillance

Senior oversight of capital commitments involving less liquid assets

Extensive use of third parties to value invested assets

Independent data integrity function

Risk Management

31

• Subprime allocation reflects severe market discount and high delinquencies in 2006 and 2007 vintages

• HEL allocation reflects market stresses

As of 6/30/2008

Risk Management

• Overall mark-to-market and credit migration consistent with credit cycle

• Pressure on financials

• Highly rated, highly liquid

• Satisfactory performance, with some pressure on ALT-A’s

• Low, but rising delinquency trends

• Seasoned portfolio

• Pricing pressure on BBB exposure bears careful surveillance

• Increases in delinquencies could result from slowing economy

• Active surveillance and portfolio management

Managing through the credit cycle by emphasizing long-term assessments of value and quality

CMBS 3.9%

Commercial Mortgage

9.4%

CMOs16.2%Investment Grade

Corporates59.1%

ABS 1.7

Other9.7%

32

4.8

5.0

5.2

5.4

5.6

5.8

6.0

3Q 034Q 031Q 042Q 043Q 044Q 041Q 052Q 053Q 054Q 051Q 062Q 063Q 064Q 061Q 072Q 073Q 074Q 071Q 082Q08

Performance

Yield*Our investment yield has trended favorably in recent periods

* Gross yields before investment expenses

33

Conseco, Inc.Investment PortfolioAs of June 30, 2008

34

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