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FAIR VALUE MEASUREMENTS - Changes in Level 3 for Financial Instruments (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended
--- | --- | ---
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] |  |  |  |
Opening balance | $ 181,245 | $ 78,537 | $ 153,325 | $ 91,093
Transfers into Level 3 | 0 | 19,382 | 0 | 25,566
Transfers out of Level 3 | 0 | (7,004) | 0 | (16,207)
Included in net income | (4,307) | 1,413 | (1,816) | 20,462
Included in OCI | (3,828) | 26 | (6,623) | (29)
Purchases | 23,374 | 16,300 | 54,171 | 16,573
Sales | 0 | 0 | 0 | (26,980)
Settlements/ distributions | (2,876) | (1,580) | (5,449) | (3,404)
Closing balance | 193,608 | 107,074 | 193,608 | 107,074
Change in unrealized investment gains/(losses) | (4,307) | 1,413 | (1,816) | 3,081
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] |  |  |  |
Opening balance | 5,074 | 8,462 | 5,630 | 9,122
Transfers into Level 3 | 0 | 0 | 0 | 0
Transfers out of Level 3 | 0 | 0 | 0 | 0
Included in net income | (366) | (345) | (922) | (1,005)
Included in OCI | 0 | 0 | 0 | 0
Purchases | 0 | 0 | 0 | 0
Sales | 0 | 0 | 0 | 0
Settlements/ distributions | 0 | 0 | 0 | 0
Closing balance | 4,708 | 8,117 | 4,708 | 8,117
Change in unrealized investment gains/(losses) | (366) | (345) | (922) | (1,005)
Other liabilities | Derivative instruments |  |  |  |
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] |  |  |  |
Opening balance | 5,074 | 8,462 | 5,630 | 9,122
Transfers into Level 3 | 0 | 0 | 0 | 0
Transfers out of Level 3 | 0 | 0 | 0 | 0
Included in net income | (366) | (345) | (922) | (1,005)
Included in OCI | 0 | 0 | 0 | 0
Purchases | 0 | 0 | 0 | 0
Sales | 0 | 0 | 0 | 0
Settlements/ distributions | 0 | 0 | 0 | 0
Closing balance | 4,708 | 8,117 | 4,708 | 8,117
Change in unrealized investment gains/(losses) | (366) | (345) | (922) | (1,005)
Fixed maturities, available for sale |  |  |  |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] |  |  |  |
Opening balance | 60,890 | 10,485 | 42,894 | 14,909
Transfers into Level 3 | 0 | 19,382 | 0 | 25,566
Transfers out of Level 3 | 0 | (7,004) | 0 | (16,207)
Included in net income | 0 | 0 | 0 | 0
Included in OCI | (3,828) | 26 | (6,623) | (29)
Purchases | 15,768 | 13,300 | 37,231 | 13,300
Sales | 0 |  | 0 | 0
Settlements/ distributions | 0 | (903) | (672) | (2,253)
Closing balance | 72,830 | 35,286 | 72,830 | 35,286
Change in unrealized investment gains/(losses) | 0 | 0 | 0 | 0
Fixed maturities, available for sale | Corporate debt |  |  |  |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] |  |  |  |
Opening balance | 60,890 | 2,405 | 42,894 | 2,504
Transfers into Level 3 | 0 | 7,000 | 0 | 7,000
Transfers out of Level 3 | 0 | 0 | 0 | 0
Included in net income | 0 | 0 | 0 | 0
Included in OCI | (3,828) | 21 | (6,623) | (78)
Purchases | 15,768 | 13,300 | 37,231 | 13,300
Sales | 0 | 0 | 0 | 0
Settlements/ distributions | 0 | 0 | (672) | 0
Closing balance | 72,830 | 22,726 | 72,830 | 22,726
Change in unrealized investment gains/(losses) | 0 | 0 | 0 | 0
Fixed maturities, available for sale | CMBS |  |  |  |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] |  |  |  |
Opening balance | 0 | 905 | 0 | 1,740
Transfers into Level 3 | 0 | 0 | 0 | 0
Transfers out of Level 3 | 0 | 0 | 0 | 0
Included in net income | 0 | 0 | 0 | 0
Included in OCI | 0 | (2) | 0 | 13
Purchases | 0 | 0 | 0 | 0
Sales | 0 | 0 | 0 | 0
Settlements/ distributions | 0 | (903) | 0 | (1,753)
Closing balance | 0 | 0 | 0 | 0
Change in unrealized investment gains/(losses) | 0 | 0 | 0 | 0
Fixed maturities, available for sale | ABS |  |  |  |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] |  |  |  |
Opening balance | 0 | 7,175 | 0 | 10,665
Transfers into Level 3 | 0 | 12,382 | 0 | 18,566
Transfers out of Level 3 | 0 | (7,004) | 0 | (16,207)
Included in net income | 0 | 0 | 0 | 0
Included in OCI | 0 | 7 | 0 | 36
Purchases | 0 | 0 | 0 | 0
Sales | 0 | 0 | 0 | 0
Settlements/ distributions | 0 | 0 | 0 | (500)
Closing balance | 0 | 12,560 | 0 | 12,560
Change in unrealized investment gains/(losses) | 0 | 0 | 0 | 0
Other investments |  |  |  |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] |  |  |  |
Opening balance | 120,355 | 68,052 | 110,431 | 76,184
Transfers into Level 3 | 0 | 0 | 0 | 0
Transfers out of Level 3 | 0 | 0 | 0 | 0
Included in net income | (4,307) | 1,413 | (1,816) | 20,462
Included in OCI | 0 | 0 | 0 | 0
Purchases | 7,606 | 3,000 | 16,940 | 3,273
Sales | 0 | 0 | 0 | (26,980)
Settlements/ distributions | (2,876) | (677) | (4,777) | (1,151)
Closing balance | 120,778 | 71,788 | 120,778 | 71,788
Change in unrealized investment gains/(losses) | (4,307) | 1,413 | (1,816) | 3,081
Other investments | CLO-Equities |  |  |  |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] |  |  |  |
Opening balance | 4,881 | 6,269 | 5,910 | 6,173
Transfers into Level 3 | 0 | 0 | 0 | 0
Transfers out of Level 3 | 0 | 0 | 0 | 0
Included in net income | 803 | 1,410 | 1,675 | 1,980
Included in OCI | 0 | 0 | 0 | 0
Purchases | 0 | 0 | 0 | 0
Sales | 0 | 0 | 0 | 0
Settlements/ distributions | (876) | (677) | (2,777) | (1,151)
Closing balance | 4,808 | 7,002 | 4,808 | 7,002
Change in unrealized investment gains/(losses) | 803 | 1,410 | 1,675 | 1,980
Other investments | Other privately held investments |  |  |  |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] |  |  |  |
Opening balance | 115,474 | 61,783 | 104,521 | 70,011
Transfers into Level 3 | 0 | 0 | 0 | 0
Transfers out of Level 3 | 0 | 0 | 0 | 0
Included in net income | (5,110) | 3 | (3,491) | 18,482
Included in OCI | 0 | 0 | 0 | 0
Purchases | 7,606 | 3,000 | 16,940 | 3,273
Sales | 0 | 0 | 0 | (26,980)
Settlements/ distributions | (2,000) | 0 | (2,000) | 0
Closing balance | 115,970 | 64,786 | 115,970 | 64,786
Change in unrealized investment gains/(losses) | $ (5,110) | $ 3 | $ (3,491) | $ 1,101

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