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Derivatives
 12 Months Ended
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.