Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2017

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, presented in the Consolidated Balance Sheets were as follows:

($ in thousands)	September 30, 2017		December 31, 2016
Assets
Derivative instruments, included in Short-term and other investments	$	10,431	$	8,694
Liabilities
FIA - embedded derivatives, included in Other policyholder funds	$	72,986	$	59,393
IUL - embedded derivatives, included in Investment contract and life policy reserves	390		158

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 September 30,						Nine Months Ended September 30,
	2017			2016			2017			2016
Change in fair value of derivatives (1):
Revenues
Net realized investment gains	$	2,943		$	562		$	7,109		$	422
Change in fair value of embedded derivatives:
Revenues
Net realized investment losses	$	(2,702	)	$	(76	)	$	(6,363	)	$	(2,077	)

(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)	September 30, 2017					December 31, 2016
	Credit Rating	Notional		Fair		Notional		Fair
Counterparty	S&P	Amount		Value		Amount		Value
Bank of America, N.A.	A+	$	74,400	$	2,466	$	38,500	$	1,934
Barclays Bank PLC	A	68,900		3,017		66,800		1,543
Citigroup Inc.	BBB+	—		—		—		—
Credit Suisse International	A	29,100		2,041		65,200		4,281
Societe Generale	A	68,900		2,907		15,600		936
Total		$	241,300	$	10,431	$	186,100	$	8,694