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FAIR VALUE MEASUREMENTS - Level 3 for financial instruments measured at fair value (Details) - USD ($) $ in Thousands | 12 Months Ended
--- | ---
Dec. 31, 2019 | Dec. 31, 2018
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] |  |
Opening balance | $ 152,468 | $ 155,830
Transfers into Level 3 | 0 | 10,010
Transfers out of Level 3 | (25,307) | (4,279)
Included in net income | 22,683 | 5,033
Included in OCI | (3,840) | 5,752
Purchases | 22,500 | 47,577
Sales | (54,244) | (11,555)
Settlements/ distributions | (54,977) | (55,900)
Closing balance | 59,283 | 152,468
Change in unrealized investment gain/(loss) relating to assets held at the reporting date | 4,951 | 5,714
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] |  |
Opening balance | 10,299 | 11,510
Transfers into Level 3 | 0 | 0
Transfers out of Level 3 | 0 | 0
Included in earnings | (627) | (1,211)
Included in OCI | 0 | 0
Purchases | 0 | 0
Sales | 0 | 0
Settlements/ distributions | 0 | 0
Closing balance | 9,672 | 10,299
Change in unrealized investment gain/(loss) relating to liabilities held at the reporting date | (627) | (1,211)
Fixed maturities |  |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] |  |
Opening balance | 86,679 | 52,897
Transfers into Level 3 | 0 | 10,010
Transfers out of Level 3 | (25,307) | (4,279)
Included in net income | 4,790 | (591)
Included in OCI | (3,840) | 5,752
Purchases | 0 | 44,467
Sales | (6,068) | (7,446)
Settlements/ distributions | (48,233) | (14,131)
Closing balance | 8,021 | 86,679
Change in unrealized investment gain/(loss) relating to assets held at the reporting date | 0 | 0
Corporate debt |  |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] |  |
Opening balance | 49,012 | 52,897
Transfers into Level 3 | 0 | 2,935
Transfers out of Level 3 | 0 | (4,279)
Included in net income | 4,790 | (591)
Included in OCI | (4,168) | 6,343
Purchases | 0 | 10,267
Sales | (6,068) | (7,446)
Settlements/ distributions | (41,269) | (11,114)
Closing balance | 2,297 | 49,012
Change in unrealized investment gain/(loss) relating to assets held at the reporting date | 0 | 0
CMBS |  |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] |  |
Opening balance | 19,134 | 0
Transfers into Level 3 | 0 | 5,096
Transfers out of Level 3 | (7,077) | 0
Included in net income | 0 | 0
Included in OCI | 142 | (145)
Purchases | 0 | 17,200
Sales | 0 | 0
Settlements/ distributions | (6,964) | (3,017)
Closing balance | 5,235 | 19,134
Change in unrealized investment gain/(loss) relating to assets held at the reporting date | 0 | 0
ABS |  |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] |  |
Opening balance | 18,533 | 0
Transfers into Level 3 | 0 | 1,979
Transfers out of Level 3 | (18,230) | 0
Included in net income | 0 | 0
Included in OCI | 186 | (446)
Purchases | 0 | 17,000
Sales | 0 | 0
Settlements/ distributions | 0 | 0
Closing balance | 489 | 18,533
Change in unrealized investment gain/(loss) relating to assets held at the reporting date | 0 | 0
Other investments |  |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] |  |
Opening balance | 65,789 | 77,843
Transfers into Level 3 | 0 | 0
Transfers out of Level 3 | 0 | 0
Included in net income | 17,893 | 5,714
Included in OCI | 0 | 0
Purchases | 22,500 | 3,110
Sales | (48,176) | (4,109)
Settlements/ distributions | (6,744) | (16,769)
Closing balance | 51,262 | 65,789
Change in unrealized investment gain/(loss) relating to assets held at the reporting date | 4,951 | 5,714
Other privately held investments |  |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] |  |
Opening balance | 44,518 | 46,430
Transfers into Level 3 | 0 | 0
Transfers out of Level 3 | 0 | 0
Included in net income | 18,092 | (913)
Included in OCI | 0 | 0
Purchases | 22,500 | 3,110
Sales | (48,176) | (4,109)
Settlements/ distributions | 0 | 0
Closing balance | 36,934 | 44,518
Change in unrealized investment gain/(loss) relating to assets held at the reporting date | 5,150 | (913)
CLO-Equities |  |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] |  |
Opening balance | 21,271 | 31,413
Transfers into Level 3 | 0 | 0
Transfers out of Level 3 | 0 | 0
Included in net income | (199) | 6,627
Included in OCI | 0 | 0
Purchases | 0 | 0
Sales | 0 | 0
Settlements/ distributions | (6,744) | (16,769)
Closing balance | 14,328 | 21,271
Change in unrealized investment gain/(loss) relating to assets held at the reporting date | (199) | 6,627
Other assets |  |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] |  |
Opening balance | 0 | 25,090
Transfers into Level 3 | 0 | 0
Transfers out of Level 3 | 0 | 0
Included in net income | 0 | (90)
Included in OCI | 0 | 0
Purchases | 0 | 0
Sales | 0 | 0
Settlements/ distributions | 0 | (25,000)
Closing balance | 0 | 0
Change in unrealized investment gain/(loss) relating to assets held at the reporting date | 0 | 0
Insurance-linked securities |  |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] |  |
Opening balance | 0 | 25,090
Transfers into Level 3 | 0 | 0
Transfers out of Level 3 | 0 | 0
Included in net income | 0 | (90)
Included in OCI | 0 | 0
Purchases | 0 | 0
Sales | 0 | 0
Settlements/ distributions | 0 | (25,000)
Closing balance | 0 | 0
Change in unrealized investment gain/(loss) relating to assets held at the reporting date | 0 | 0
Derivative instruments |  |
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] |  |
Opening balance | 10,299 | 11,510
Transfers into Level 3 | 0 | 0
Transfers out of Level 3 | 0 | 0
Included in earnings | (627) | (1,211)
Included in OCI | 0 | 0
Purchases | 0 | 0
Sales | 0 | 0
Settlements/ distributions | 0 | 0
Closing balance | 9,672 | 10,299
Change in unrealized investment gain/(loss) relating to liabilities held at the reporting date | $ (627) | $ (1,211)

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