| Schedule of Accumulated Other Comprehensive Income (Loss) |
The changes in AOCI, net of tax, by component for the three months ended March 31, 2016 and 2015 are as follows: | | | | | | | | | | | | | | | | | | | | | | | | | Three months ended March 31, 2016 (U.S. dollars in thousands) | Unrealized Gains (Losses) on Investments (1) | | OTTI Losses Recognized in AOCI | | Foreign Currency Translation Adjustments | | Underfunded Pension Liability | | Cash Flow Hedge | | Total | Balance, beginning of period, net of tax | $ | 803,094 |
| | $ | (57,502 | ) | | $ | (36,503 | ) | | $ | (24,641 | ) | | $ | 2,168 |
| | $ | 686,616 |
| OCI before reclassifications | 575,022 |
| | — |
| | (15,416 | ) | | (1,049 | ) | | — |
| | 558,557 |
| Amounts reclassified from AOCI | (117,114 | ) | | 2,311 |
| | — |
| | — |
| | (39 | ) | | (114,842 | ) | Tax benefit (expense) | (34,707 | ) | | (44 | ) | | (1,023 | ) | | — |
| | — |
| | (35,774 | ) | Net current period OCI - net of tax | 423,201 |
| | 2,267 |
| | (16,439 | ) | | (1,049 | ) | | (39 | ) | | 407,941 |
| Balance, end of period, net of tax | $ | 1,226,295 |
| | $ | (55,235 | ) | | $ | (52,942 | ) | | $ | (25,690 | ) | | $ | 2,129 |
| | $ | 1,094,557 |
| | | | | | | | | | | | | Three months ended March 31, 2015 (U.S. dollars in thousands) | | | | | | | | | | | | Balance, beginning of period, net of tax | $ | 1,590,114 |
| | $ | (76,047 | ) | | $ | (11,188 | ) | | $ | (20,789 | ) | | $ | 2,368 |
| | $ | 1,484,458 |
| OCI before reclassifications | 254,267 |
| | — |
| | 32,404 |
| | 975 |
| | — |
| | 287,646 |
| Amounts reclassified from AOCI | (74,781 | ) | | 9,936 |
| | — |
| | — |
| | 95 |
| | (64,750 | ) | Tax benefit (expense) | (5,805 | ) | | (78 | ) | | 3,699 |
| | — |
| | — |
| | (2,184 | ) | Net current period OCI - net of tax | 173,681 |
| | 9,858 |
| | 36,103 |
| | 975 |
| | 95 |
| | 220,712 |
| Balance, end of period, net of tax | $ | 1,763,795 |
| | $ | (66,189 | ) | | $ | 24,915 |
| | $ | (19,814 | ) | | $ | 2,463 |
| | $ | 1,705,170 |
|
____________ | | (1) | For certain annuity contracts that are subject to the GreyCastle Life Retro Arrangements, policy benefit reserves were historically increased for the impact of changes in unrealized gains on investments supporting such contracts as if the gains had been realized, with a corresponding entry to other comprehensive income ("Shadow Adjustments"). As of December 31, 2015, the cumulative impact of the Shadow Adjustments was $274.4 million. During the three months ended March 31, 2016, net movements of $(17.0) million were recorded, resulting in a total cumulative net impact of Shadow Adjustments on future policy benefit reserves of $257.4 million as of March 31, 2016. |
|
| Reclassification out of Accumulated Other Comprehensive Income |
The reclassifications out of AOCI along with the associated income statement line items affected by component, and the total related tax (expense) benefit for the three months ended March 31, 2016 and 2015 are as follows: | | | | | | | | | | | Gross Amount Reclassified From AOCI | Details About AOCI Components (U.S. dollars in thousands) | Three months ended March 31, 2016 | | Three months ended March 31, 2015 | | Affected Line Item in the Statement of Income | Unrealized gains and losses on investments: | | | | | | | $ | (116,988 | ) | | $ | (78,551 | ) | | Net realized gains (losses) on investments sold and net unrealized gains (losses) on investments Trading | | 21,928 |
| | 15,724 |
| | OTTI on investments | | $ | (22,054 | ) | | $ | (11,954 | ) | | Net realized and unrealized gains (losses) on life retrocession embedded derivative and derivative instruments - Life Funds Withheld Assets | | $ | (117,114 | ) | | $ | (74,781 | ) | | Total before tax | | 1,577 |
| | 87 |
| | Provision (benefit) for income tax | | $ | (115,537 | ) | | $ | (74,694 | ) | | Net of tax | OTTI losses recognized in OCI: | | | | | | | $ | 2,313 |
| | $ | 9,875 |
| | Net realized gains (losses) on investments sold | | (2 | ) | | 61 |
| | OTTI on investments transferred to (from) OCI | | $ | 2,311 |
| | $ | 9,936 |
| | Total before tax | | (44 | ) | | (3 | ) | | Provision (benefit) for income tax | | $ | 2,267 |
| | $ | 9,933 |
| | Net of tax | Gains and losses on cash flow hedges: | | | | | | Interest rate contracts | $ | (39 | ) | | $ | 95 |
| | Interest Expense | | — |
| | — |
| | Provision (benefit) for income tax | | $ | (39 | ) | | $ | 95 |
| | Net of tax | | | | | | | Total reclassifications for the period, gross of tax | $ | (114,842 | ) | | $ | (64,750 | ) | | | Tax benefit (expense) | 1,533 |
| | 84 |
| | | Total reclassifications for the period, net of tax | $ | (113,309 | ) | | $ | (64,666 | ) | | |
|