Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2018

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)	March 31, 2018		December 31, 2017
Assets
Derivative instruments, included in Short-term and other investments	$	12,630	$	15,550
Liabilities
FIA - embedded derivatives, included in Other policyholder funds	$	78,486	$	80,733
IUL - embedded derivatives, included in Investment contract and life policy reserves	518		594

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 March 31,
	2018			2017
Change in fair value of derivatives (1):
Revenues
Net investment gains (losses)	$	(849	)	$	2,437
Change in fair value of embedded derivatives:
Revenues
Net investment gains (losses)	$	2,288		$	(2,366	)

________________

(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)	March 31, 2018						December 31, 2017
	Credit Rating		Notional		Fair		Notional		Fair
Counterparty	S&P	Moody's	Amount		Value		Amount		Value
Bank of America, N.A.	A+	Aa3	$	93,800	$	6,017	$	85,100	$	6,320
Barclays Bank PLC	A	A2	48,600		902		48,900		1,828
Citigroup Inc.	BBB+		—		—		—		—
Credit Suisse International	A	A1	21,100		1,469		21,100		1,444
Societe Generale	A		92,400		4,242		91,700		5,958
Total			$	255,900	$	12,630	$	246,800	$	15,550