Derivative Instruments (Tables)

12 Months Ended

Dec. 31, 2019

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of derivative instruments in statement of financial position, fair value

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

($ in thousands)	December 31,
	2019		2018
Assets
Derivatives, included in Short-term and other investments	$	13,239	$	2,647
Liabilities
Fixed indexed annuities - embedded derivatives, included in Other policyholder funds	93,733		78,700
Indexed universal life - embedded derivatives, included in Investment contract and policy reserves	1,314		248

Derivative instruments, gain (loss)

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

($ in thousands)	Years Ended December 31,
	2019			2018			2017
Change in fair value of derivatives: (1)
Revenues
Net investment gains (losses)	$	9,493		$	(4,112	)	$	14,867
Change in fair value of embedded derivatives:
Revenues
Net investment gains (losses)	(13,576		)	7,931			(13,410		)

⁽¹⁾ 

Includes 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)	December 31, 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	$	174,900	$	8,523	$	144,500	$	870
Barclays Bank PLC	A	A2	115,300		3,348		28,500		247
Citigroup Inc.	BBB+	A3	—		—		—		—
Credit Suisse International	A+	A1	—		—		16,100		55
Societe Generale	A	A1	27,800		1,369		89,100		1,475
Total			$	318,000	$	13,240	$	278,200	$	2,647