Derivatives (Tables)

6 Months Ended

Jun. 30, 2020

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)	June 30, 2020		December 31, 2019
Assets
Derivatives, included in Short-term and other investments	$	7,276	$	13,239
Liabilities
FIA - embedded derivatives, included in Other policyholder funds	93,619		93,733
IUL - embedded derivatives, included in Investment contract and policy reserves	1,113		1,314

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 June 30,						Six Months Ended June 30,
	2020			2019			2020			2019
Change in fair value of derivatives: (1)
Net investment gains (losses)	$	3,210		$	1,375		$	(7,790	)	$	5,429
Change in fair value of embedded derivatives:
Net investment gains (losses)	(6,477		)	(516		)	(320		)	(5,261		)

⁽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.

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)	June 30, 2020						December 31, 2019
	Credit Rating		Notional		Fair		Notional		Fair
Counterparty	S&P	Moody's	Amount		Value		Amount		Value
Bank of America, N.A.	A+	Aa2	$	185,100	$	5,090	$	174,900	$	8,523
Barclays Bank PLC	A	A1	108,500		1,747		115,300		3,347
Citigroup Inc.	BBB+	A3	—		—		—		—
Credit Suisse International	A+	A1	—		—		—		—
Societe Generale	A	A1	18,400		439		27,800		1,369
Total			$	312,000	$	7,276	$	318,000	$	13,239