Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2019

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value

The fair values of derivative instruments, including derivative instruments embedded in FIA and IUL contracts, are presented in the Consolidated Balance Sheets as follows:

($ in thousands)	June 30, 2019		December 31, 2018
Assets
Derivative instruments, included in Short-term and other investments	$	8,753	$	2,647
Liabilities
FIA - embedded derivatives, included in Other policyholder funds	$	85,961	$	78,700
IUL - embedded derivatives, included in Investment contract and life policy reserves	940		248

Derivative Instruments, Gain (Loss)

The changes in fair value of derivatives included in the Consolidated Statements of Operations were as follows:

($ in thousands)	Three Months Ended June 30,						Six Months Ended June 30,
	2019			2018			2019			2018
Change in fair value of derivatives:(1)
Revenues
Net investment gains (losses)	$	1,375		$	(2	)	$	5,429		$	(851	)
Change in fair value of embedded derivatives:
Revenues
Net investment gains (losses)	$	(516	)	$	1,281		$	(5,261	)	$	3,569

________________

⁽¹⁾ 

Includes the gains or losses recognized at the expiration of the option term or early termination and the changes in fair value for open options.

Financing Receivable Credit Quality Indicators

The notional amount and fair value of call options by counterparty and each counterparty’s long-term credit ratings were as follows:

($ in thousands)	June 30, 2019						December 31, 2018
	Credit Rating		Notional		Fair		Notional		Fair
Counterparty	S&P	Moody's	Amount		Value		Amount		Value
Bank of America, N.A.	A+	Aa2	$	156,800	$	3,560	$	144,500	$	870
Barclays Bank PLC	A	A2	72,500		1,696		28,500		247
Citigroup Inc.	BBB+	A3	—		—		—		—
Credit Suisse International	A+	A1	16,100		295		16,100		55
Societe Generale	A		55,000		3,202		89,100		1,475
Total			$	300,400	$	8,753	$	278,200	$	2,647