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Derivative Instruments (Tables)
 6 Months Ended
Jun. 30, 2016
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, presented in the Consolidated Balance Sheets were as follows:
 
 
 
June 30,
 
 
December 31,
 
 
 
2016
 
 
2015
 
Assets
 
 
 
 
 
 
 
 
 
 
Derivative instruments, included in Short-term and Other Investments
 
$
4,325
 
 
 
$
2,501
 
 
 
 
 
 
 
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
 
 
 
 
Fixed indexed annuities - embedded derivatives, included in Other Policyholder Funds
 
 
47,706
 
 
 
 
39,021
 
 
Indexed universal life - embedded derivatives, included in Investment Contract and Life Policy Reserves
 
 
50
 
 
 
 
14
 
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,
 
 
 
2016
 
 
2015
 
 
2016
 
 
2015
 
Change in fair value of derivatives (1):
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Revenues
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net realized investment gains (losses)
 
$
78
 
 
$
(402
)
 
$
(140
)
 
$
(607
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Change in fair value of embedded derivatives:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Revenues
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net realized investment gains (losses)
 
 
(1,325
)
 
 
28
 
 
 
(2,001
)
 
 
467
 
 
(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, 2016
 
 
December 31, 2015
 
 
 
Credit Rating (1)
 
Notional
 
Fair
 
 
Notional
 
Fair
 
Counterparty
 
S&P
 
Moody’s
 
Amount
 
Value
 
Amount
 
Value
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Bank of America, N.A.
 
A
 
A1
 
$
38,500
 
 
 
$
1,341
 
 
 
$
17,000
 
 
 
$
5
 
 
Barclays Bank PLC
 
A-
 
A2
 
 
18,100
 
 
 
 
369
 
 
 
 
7,600
 
 
 
 
137
 
 
Citigroup Inc.
 
BBB+
 
Baa1
 
 
13,100
 
 
 
 
699
 
 
 
 
17,300
 
 
 
 
845
 
 
Credit Suisse International
 
A
 
A2
 
 
31,600
 
 
 
 
617
 
 
 
 
12,000
 
 
 
 
167
 
 
Societe Generale
 
A
 
A2
 
 
56,100
 
 
 
 
1,299
 
 
 
 
80,800
 
 
 
 
1,347
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total
 
 
 
 
 
$
157,400
 
 
 
$
4,325
 
 
 
$
134,700
 
 
 
$
2,501
 
 
 
 
(1)
As assigned by Standard & Poor’s Corporation (“S&P”) and Moody’s Investors Service, Inc. (“Moody’s”).