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Derivatives (Tables) | 6 Months Ended
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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 |

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- Definition Tabular disclosure of the location and amount of derivative instruments and nonderivative instruments designated as hedging instruments reported before netting adjustments, and the amount of gain (loss) on derivative instruments and nonderivative instruments designated and qualified as hedging instruments. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4E -URI http://asc.fasb.org/extlink&oid=121590274&loc=SL5624181-113959 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4A -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=121590274&loc=SL5618551-113959 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -URI http://asc.fasb.org/extlink&oid=121590274&loc=SL5624171-113959 + Details
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- Definition Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4B -URI http://asc.fasb.org/extlink&oid=121590274&loc=SL5624163-113959 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1B -URI http://asc.fasb.org/extlink&oid=121590274&loc=SL5580258-113959 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=121590274&loc=d3e41620-113959 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1A -URI http://asc.fasb.org/extlink&oid=121590274&loc=SL5579245-113959 Reference 5: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4 -URI http://asc.fasb.org/extlink&oid=121590274&loc=d3e41638-113959 Reference 6: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 8 -URI http://asc.fasb.org/extlink&oid=121590274&loc=d3e41678-113959 Reference 7: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 5 -URI http://asc.fasb.org/extlink&oid=121590274&loc=d3e41641-113959 Reference 8: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -URI http://asc.fasb.org/extlink&oid=121590274&loc=SL5624171-113959 Reference 9: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=121590274&loc=SL5579240-113959 + Details
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