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Derivative Instruments (Tables)
 9 Months Ended
Sep. 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:
 
 
 
September 30,
 
December 31,
 
 
2016
 
2015
Assets
 
 
 
 
 
 
 
 
 
 
Derivative instruments, included in Short-term
 
 
 
 
 
 
 
 
 
 
and Other Investments
 
 
$
4,534
 
 
 
$
2,501
 
 
 
 
 
 
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
 
 
 
 
Fixed indexed annuities - embedded derivatives,
 
 
 
 
 
 
 
 
 
 
included in Other Policyholder Funds
 
 
 
55,179
 
 
 
 
39,021
 
Indexed universal life - embedded derivatives,
 
 
 
 
 
 
 
 
 
 
included in Investment Contract and Life Policy Reserves
 
 
 
80
 
 
 
 
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
Nine Months Ended
September 30,
September 30,
2016
2015
2016
2015
Change in fair value of derivatives (1):
Revenues
Net realized investment gains (losses)
$
562
$
(1,564
)
$
422
$
(2,171
)
Change in fair value of embedded derivatives:
Revenues
Net realized investment gains (losses)
(76
)
1,328
(2,077
)
1,795
 
(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:
 
September 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
$
1,598
$
17,000
$
5
Barclays Bank PLC
A-
A2
41,400
720
7,600
137
Citigroup Inc.
BBB+
Baa1
5,800
2
17,300
845
Credit Suisse International
A
A2
64,300
1,442
12,000
167
Societe Generale
A
A2
23,200
772
80,800
1,347
Total
$
173,200
$
4,534
$
134,700
$
2,501
 
(1)
As assigned by Standard & Poor’s Corporation (“S&P”) and Moody’s Investors Service, Inc. (“Moody’s”).