Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2019

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of derivative instruments embedded in FIA and IUL

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

($ in thousands)	September 30, 2019		December 31, 2018
Assets
Derivatives included in Short-term and other investments	$	10,685	$	2,647
Liabilities
FIA - embedded derivatives, included in Other policyholder funds	$	89,098	$	78,700
IUL - embedded derivatives, included in Investment contract and policy reserves	1,145		248

Schedule of fair value of derivatives

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,
	2019			2018			2019			2018
Change in fair value of derivatives:(1)
Revenues
Net investment gains (losses)	$	(149	)	$	4,683		$	5,280		$	3,832
Change in fair value of embedded derivatives:
Revenues
Net investment gains (losses)	$	(3,691	)	$	(2,479	)	$	(8,952	)	$	1,090

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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.

Schedule of counterparty's long-term credit ratings

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, 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	$	145,100	$	5,026	$	144,500	$	870
Barclays Bank PLC	A	A2	101,700		2,271		28,500		247
Citigroup Inc.	BBB+	A3	—		—		—		—
Credit Suisse International	A+	A1	—		—		16,100		55
Societe Generale	A	A1	60,700		3,388		89,100		1,475
Total			$	307,500	$	10,685	$	278,200	$	2,647