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Derivatives | 12 Months Ended
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Dec. 31, 2019
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivatives | 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.
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 The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -URI http://asc.fasb.org/topic&trid=2229140 + Details
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