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Derivatives (Tables) | 12 Months Ended
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Dec. 31, 2019
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Schedule of listing currency, fair value and notional amounts of derivative instruments | The following table identifies the fair value and notional amounts of embedded derivative instruments in reinsurance contracts included in the consolidated balance sheets as of December 31, 2019 and 2018:
| 2019 |  | 2018
Derivative Liabilities by Primary Underlying Risk | Fair Value |  | Notional Amounts (1) |  | Fair Value |  | Notional Amounts (1)
Embedded derivative liabilities in reinsurance contracts (2) | $ | 31 |  |  | $ | 20,000 |  |  | $ | 22 |  |  | $ | 20,000 |
Total Derivative Liabilities (embedded) | $ | 31 |  |  | $ | 20,000 |  |  | $ | 22 |  |  | $ | 20,000 |
(1) | The absolute notional exposure represents the Company’s derivative activity as of December 31, 2019 and 2018, which is representative of the volume of derivatives held during the period.
(2) | The fair value of embedded derivatives in reinsurance contracts is included in reinsurance balances payable in the consolidated balance sheets.
Schedule of realized and unrealized gains (losses) relating to trading activities | The following table sets forth, by major risk type, the Company’s realized and unrealized gains (losses) relating to derivatives for the years ended December 31, 2019, 2018 and 2017. Realized and unrealized gains (losses) for the year ended December 31, 2018 includes activity in the separate accounts up to the date of change in the investment account structure. Realized and unrealized gains (losses) related to free standing derivatives were included in net investment income (loss) in the consolidated statements of income (loss). Realized and unrealized gains (losses) related to embedded derivatives are included in other expenses in the consolidated statements of income (loss).
| 2019 |  | 2018 |  | 2017
Free standing Derivatives - Primary Underlying Risk | Realized Gain (Loss) |  | Unrealized Gain (Loss)* |  | Realized Gain (Loss) |  | Unrealized Gain (Loss)* |  | Realized Gain (Loss) |  | Unrealized Gain (Loss)*
Credit |  |  |  |  |  |  |  |  |  |  |
Credit Default Swaps - Protection Purchased | $ | — |  |  | $ | — |  |  | $ | (3,557 | ) |  | $ | 921 |  |  | $ | (3,462 | ) |  | $ | (978 | )
Credit Default Swaps - Protection Sold | — |  |  | — |  |  | (333 | ) |  | 744 |  |  | 605 |  |  | (720 | )
Total Return Swaps - Long Contracts | — |  |  | — |  |  | 3,486 |  |  | (2,000 | ) |  | 72 |  |  | 2,000 |
Equity Price |  |  |  |  |  |  |  |  |  |  |
Contracts for Differences - Long Contracts | — |  |  | — |  |  | 32,460 |  |  | (15,098 | ) |  | 58,047 |  |  | 13,334 |
Contracts for Differences - Short Contracts | — |  |  | — |  |  | 4,568 |  |  | (3,608 | ) |  | 2,608 |  |  | 4,715 |
Total Return Swaps - Long Contracts | — |  |  | — |  |  | 16,792 |  |  | (15,864 | ) |  | 16,863 |  |  | 16,923 |
Total Return Swaps - Short Contracts | — |  |  | — |  |  | (17,329 | ) |  | 1,883 |  |  | (15,892 | ) |  | (765 | )
Interest Rates |  |  |  |  |  |  |  |  |  |  |
Interest Rate Swaps | — |  |  | — |  |  | — |  |  | — |  |  | (3,104 | ) |  | (1,740 | )
Interest Rate Swaptions | — |  |  | — |  |  | (1,819 | ) |  | 1,228 |  |  | (354 | ) |  | (2,056 | )
Sovereign Future Options - Long Contracts | — |  |  | — |  |  | 403 |  |  | — |  |  | — |  |  | — |
Sovereign Future Options - Short Contracts | — |  |  | — |  |  | 50 |  |  | — |  |  | — |  |  | — |
Sovereign Futures - Long Contracts | — |  |  | — |  |  | 639 |  |  | — |  |  | — |  |  | — |
Sovereign Futures - Short Contracts | — |  |  | — |  |  | (1,166 | ) |  | — |  |  | (7,798 | ) |  | 647 |
Total Return Swaps - Long Contracts | — |  |  | — |  |  | (7,569 | ) |  | — |  |  | — |  |  | — |
Foreign Currency Exchange Rates |  |  |  |  |  |  |  |  |  |  |
Foreign Currency Forward Contracts | — |  |  | — |  |  | (2,849 | ) |  | 4,403 |  |  | (10,470 | ) |  | (3,048 | )
Foreign Currency Future Options - Purchased | — |  |  | — |  |  | (108 | ) |  | — |  |  | — |  |  | — |
Foreign Currency Options - Purchased | — |  |  | — |  |  | 5,138 |  |  | — |  |  | (6,716 | ) |  | 1,164 |
Foreign Currency Options - Sold | — |  |  | — |  |  | (771 | ) |  | — |  |  | 2,183 |  |  | (80 | )
| $ | — |  |  | $ | — |  |  | $ | 28,035 |  |  | $ | (27,391 | ) |  | $ | 32,582 |  |  | $ | 29,396 |
Embedded Derivatives |  |  |  |  |  |  |  |  |  |  |
Embedded derivatives in reinsurance contracts | $ | — |  |  | $ | (9 | ) |  | $ | — |  |  | $ | 149 |  |  | $ | — |  |  | $ | (79 | )
Total Derivative Liabilities (embedded) | $ | — |  |  | $ | (9 | ) |  | $ | — |  |  | $ | 149 |  |  | $ | — |  |  | $ | (79 | )
*Unrealized gain (loss) relates to derivatives still held at reporting date.

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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=109980867&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=109980867&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=109980867&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=109980867&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=109980867&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=109980867&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=109980867&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=109980867&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=109980867&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=109980867&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=109980867&loc=SL5624171-113959 Reference 9: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 235 -SubTopic 10 -Section S99 -Paragraph 1 -Subparagraph (SX 210.4-08.(n)(2)) -URI http://asc.fasb.org/extlink&oid=26873400&loc=d3e23780-122690 Reference 10: 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=109980867&loc=SL5579240-113959 + Details
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