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Derivative Instruments (Tables)
 6 Months Ended
Jun. 30, 2015
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 fixed indexed annuity contracts, presented in the Consolidated Balance Sheets were as follows:
 
 
 
June 30,
 
December 31,
 
 
 
2015
 
2014
 
Assets
 
 
 
 
 
 
 
Derivative instruments, included in Short-term
 and Other Investments
 
$
1,946
 
$
2,458
 
 
 
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
 
Fixed indexed annuities - embedded derivatives,
 included in Other Policyholder Funds
 
 
26,719
 
 
20,049
 
Derivative Instruments, Gain (Loss)
The changes in fair value of derivatives included in the Consolidated Statements of Operations were as follows:
 
 
 
Three Months Ended
 
Six Months Ended
 
 
 
June 30,
 
June 30,
 
 
 
2015
 
2014
 
2015
 
2014
 
Change in fair value of derivatives (1):
 
 
 
 
 
 
 
 
 
 
 
 
 
Revenues
 
 
 
 
 
 
 
 
 
 
 
 
 
Net realized investment gains (losses)
 
$
(402)
 
$
77
 
$
(607)
 
$
91
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Change in fair value of embedded derivatives:
 
 
 
 
 
 
 
 
 
 
 
 
 
Revenues
 
 
 
 
 
 
 
 
 
 
 
 
 
Net realized investment gains (losses)
 
 
28
 
 
(57)
 
 
467
 
 
(69)
 
 
(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:
 
 
 
June 30, 2015
 
December 31, 2014
 
 
 
Credit Rating (1)
 
Notional
 
Fair
 
Notional
 
Fair
 
Counterparty
 
S&P
 
Moody’s
 
Amount
 
Value
 
Amount
 
Value
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Bank of America, N.A.
 
A
 
A1
 
$
17,000
 
$
269
 
$
8,700
 
$
439
 
Barclays Bank PLC
 
A-
 
A2
 
 
5,000
 
 
72
 
 
5,000
 
 
70
 
Citigroup Inc.
 
A-
 
Baa1
 
 
4,200
 
 
48
 
 
-
 
 
-
 
Credit Suisse International
 
A
 
A1
 
 
21,300
 
 
646
 
 
27,500
 
 
1,193
 
Societe Generale
 
A
 
A2
 
 
50,100
 
 
911
 
 
25,400
 
 
756
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total
 
 
 
 
 
$
97,600
 
$
1,946
 
$
66,600
 
$
2,458
 
 
(1)
As assigned by Standard & Poor’s Corporation (“S&P”) and Moody’s Investors Service, Inc. (“Moody’s”).