Derivatives (Tables)

9 Months Ended

Sep. 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)	September 30, 2020		December 31, 2019
Assets
Derivatives, included in Short-term and other investments	$	10,793	$	13,239
Liabilities
FIA - embedded derivatives, included in Other policyholder funds	98,070		93,733
IUL - embedded derivatives, included in Investment contract and policy reserves	1,703		1,314

Schedule of fair value of derivatives

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

($ in thousands)	Three Months Ended September 30,				Nine Months Ended September 30,
	2020		2019		2020		2019
Change in fair value of derivatives: (1)
Net investment gains (losses)	$	2,666	$	(149)	$	(5,124)	$	5,280
Change in fair value of embedded derivatives:
Net investment gains (losses)	(5,118)		(3,691)		(5,438)		(8,952)

(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)	September 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	$	198,100	$	9,135	$	174,900	$	8,523
Barclays Bank PLC	A	A1	98,900		1,658		115,300		3,347
Citigroup Inc.	BBB+	A3	—		—		—		—
Credit Suisse International	A+	A1	—		—		—		—
Societe Generale	A	A1	—		—		27,800		1,369
Total			$	297,000	$	10,793	$	318,000	$	13,239