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INVESTMENTS - Fixed Maturities Available for Sale (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Jun. 30, 2022 | Dec. 31, 2021 | Sep. 30, 2021 | Jun. 30, 2021 | Dec. 31, 2020
--- | --- | --- | --- | --- | --- | ---
Available for sale |  |  |  |  |  |
Amortized cost | $ 11,865,935 |  | $ 12,241,782 |  |  |
Allowance for expected credit losses | (10,504) | $ (7,294) | (313) | $ (399) | $ (84) | $ (323)
Gross unrealized gains | 2,506 |  | 165,977 |  |  |
Gross unrealized losses | (1,073,584) |  | (94,246) |  |  |
Fair value | 10,784,353 |  | 12,313,200 |  |  |
U.S. government and agency |  |  |  |  |  |
Available for sale |  |  |  |  |  |
Amortized cost | 2,524,837 |  | 2,693,319 |  |  |
Allowance for expected credit losses | 0 |  | 0 |  |  |
Gross unrealized gains | 26 |  | 9,776 |  |  |
Gross unrealized losses | (138,355) |  | (20,647) |  |  |
Fair value | 2,386,508 |  | 2,682,448 |  |  |
Non-U.S. government |  |  |  |  |  |
Available for sale |  |  |  |  |  |
Amortized cost | 595,713 |  | 794,705 |  |  |
Allowance for expected credit losses | 0 |  | 0 |  |  |
Gross unrealized gains | 254 |  | 10,158 |  |  |
Gross unrealized losses | (80,272) |  | (9,685) |  |  |
Fair value | 515,695 |  | 795,178 |  |  |
Corporate debt |  |  |  |  |  |
Available for sale |  |  |  |  |  |
Amortized cost | 4,688,443 |  | 4,446,585 |  |  |
Allowance for expected credit losses | (10,380) |  | (236) |  |  |
Gross unrealized gains | 1,167 |  | 87,075 |  |  |
Gross unrealized losses | (539,118) |  | (38,112) |  |  |
Fair value | 4,140,112 |  | 4,495,312 |  |  |
Agency RMBS |  |  |  |  |  |
Available for sale |  |  |  |  |  |
Amortized cost | 1,128,676 |  | 1,065,973 |  |  |
Allowance for expected credit losses | 0 |  | 0 |  |  |
Gross unrealized gains | 405 |  | 17,397 |  |  |
Gross unrealized losses | (113,073) |  | (8,781) |  |  |
Fair value | 1,016,008 |  | 1,074,589 |  |  |
CMBS |  |  |  |  |  |
Available for sale |  |  |  |  |  |
Amortized cost | 1,088,174 |  | 1,223,051 |  |  |
Allowance for expected credit losses | 0 |  | 0 |  |  |
Gross unrealized gains | 21 |  | 29,827 |  |  |
Gross unrealized losses | (83,187) |  | (4,687) |  |  |
Fair value | 1,005,008 |  | 1,248,191 |  |  |
Non-agency RMBS |  |  |  |  |  |
Available for sale |  |  |  |  |  |
Amortized cost | 160,143 |  | 185,854 |  |  |
Allowance for expected credit losses | (91) |  | (77) |  |  |
Gross unrealized gains | 403 |  | 2,410 |  |  |
Gross unrealized losses | (19,099) |  | (2,023) |  |  |
Fair value | 141,356 |  | 186,164 |  |  |
ABS |  |  |  |  |  |
Available for sale |  |  |  |  |  |
Amortized cost | 1,520,653 |  | 1,628,739 |  |  |
Allowance for expected credit losses | (33) |  | 0 |  |  |
Gross unrealized gains | 230 |  | 3,406 |  |  |
Gross unrealized losses | (84,138) |  | (9,665) |  |  |
Fair value | 1,436,712 |  | 1,622,480 |  |  |
Municipals |  |  |  |  |  |
Available for sale |  |  |  |  |  |
Amortized cost | 159,296 |  | 203,556 |  |  |
Allowance for expected credit losses | 0 |  | 0 |  |  |
Gross unrealized gains | 0 |  | 5,928 |  |  |
Gross unrealized losses | (16,342) |  | (646) |  |  |
Fair value | $ 142,954 |  | $ 208,838 |  |  |

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