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Accumulated Other Comprehensive Income (Loss) (Tables)
 9 Months Ended
Sep. 30, 2016
Comprehensive Income Loss Note [Abstract]  
Schedule of Accumulated Other Comprehensive Income (Loss)
The changes in AOCI, net of tax, by component for the three and nine months ended September 30, 2016 and 2015 are as follows:
Three months ended September 30, 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
$
1,475,078

 
$
(53,383
)
 
$
10,401

 
$
(25,590
)
 
$
2,081

 
$
1,408,587

OCI before reclassifications
203,451

 
—

 
45,185

 
4,037

 
—

 
252,673

Amounts reclassified from AOCI
(150,482
)
 
1,497

 
—

 
—

 
(47
)
 
(149,032
)
Tax benefit (expense)
8,600

 
(36
)
 
(987
)
 
—

 
—

 
7,577

Net current period OCI - net of tax
61,569

 
1,461

 
44,198

 
4,037

 
(47
)
 
111,218

Balance, end of period, net of tax
$
1,536,647

 
$
(51,922
)
 
$
54,599

 
$
(21,553
)
 
$
2,034

 
$
1,519,805

 
 
 
 
 
 
 
 
 
 
 
 
Three months ended September 30, 2015
(U.S. dollars in thousands)
 
 
 
 
 
 
 
 
 
 
 
Balance, beginning of period, net of tax
$
1,168,964

 
$
(64,614
)
 
$
(9,508
)
 
$
(21,143
)
 
$
2,475

 
$
1,076,174

OCI before reclassifications
(4,334
)
 
—

 
(24,267
)
 
93

 
—

 
(28,508
)
Amounts reclassified from AOCI
(94,393
)
 
2,318

 
—

 
—

 
12

 
(92,063
)
Tax benefit (expense)
(2,213
)
 
(181
)
 
1,873

 
—

 
—

 
(521
)
Net current period OCI - net of tax
(100,940
)
 
2,137

 
(22,394
)
 
93

 
12

 
(121,092
)
Balance, end of period, net of tax
$
1,068,024

 
$
(62,477
)
 
$
(31,902
)
 
$
(21,050
)
 
$
2,487

 
$
955,082

 
 
 
 
 
 
 
 
 
 
 
 
Nine months ended September 30, 2016
(U.S. dollars in thousands)
 
 
 
 
 
 
 
 
 
 
 
Balance, beginning of period, net of tax
$
803,094

 
$
(57,502
)
 
$
(36,503
)
 
$
(24,641
)
 
$
2,168

 
$
686,616

OCI before reclassifications
1,171,094

 
—

 
101,687

 
3,088

 
—

 
1,275,869

Amounts reclassified from AOCI
(379,974
)
 
5,618

 
—

 
—

 
(134
)
 
(374,490
)
Tax benefit (expense)
(57,567
)
 
(38
)
 
(10,585
)
 
—

 
—

 
(68,190
)
Net current period OCI - net of tax
733,553

 
5,580

 
91,102

 
3,088

 
(134
)
 
833,189

Balance, end of period, net of tax
$
1,536,647

 
$
(51,922
)
 
$
54,599

 
$
(21,553
)
 
$
2,034

 
$
1,519,805

 
 
 
 
 
 
 
 
 
 
 
 
Nine months ended September 30, 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
(294,341
)
 
—

 
(28,225
)
 
(261
)
 
—

 
(322,827
)
Amounts reclassified from AOCI
(256,731
)
 
13,916

 
—

 
—

 
119

 
(242,696
)
Tax benefit (expense)
28,982

 
(346
)
 
7,511

 
—

 
—

 
36,147

Net current period OCI - net of tax
(522,090
)
 
13,570

 
(20,714
)
 
(261
)
 
119

 
(529,376
)
Balance, end of period, net of tax
$
1,068,024

 
$
(62,477
)
 
$
(31,902
)
 
$
(21,050
)
 
$
2,487

 
$
955,082


____________
(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"). Upon completion of the GreyCastle Life Retro Arrangements, no further Shadow Adjustments were recorded. As of December 31, 2015, the cumulative impact of the Shadow Adjustments was $274.4 million. During the nine months ended September 30, 2016, net movements of $(27.8) million were recorded, resulting in a total cumulative net impact of Shadow Adjustments on future policy benefit reserves of $246.6 million as of September 30, 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 and nine months ended September 30, 2016 and 2015 are as follows:
Gross Amount Reclassified From AOCI
Details About AOCI Components
(U.S. dollars in thousands)
Three months ended September 30, 2016
 
Three months ended September 30, 2015
 
Nine months ended September 30, 2016
 
Nine months ended September 30, 2015
 
Affected Line Item in the Statement of Income
Unrealized gains and losses on investments:
 
 
 
 
 
 
 
 
 
 
$
(150,661
)
 
$
(97,761
)
 
$
(407,106
)
 
$
(247,339
)
 
Net realized gains (losses) on investments sold and net unrealized gains (losses) on investments, Trading - Life Funds Withheld Assets
 
10,019

 
44,036

 
64,977

 
79,158

 
OTTI on investments
 
(5,309
)
 
(40,668
)
 
(33,314
)
 
(88,550
)
 
Net realized and unrealized gains (losses) on life retrocession embedded derivative and derivative instruments - Life Funds Withheld Assets
 
(4,531
)
 
—

 
(4,531
)
 
—

 
Income (loss) from investment fund affiliates
 
$
(150,482
)
 
$
(94,393
)
 
$
(379,974
)
 
$
(256,731
)
 
Total before tax
 
5,291

 
1,253

 
8,501

 
5,034

 
Provision (benefit) for income tax
 
$
(145,191
)
 
$
(93,140
)
 
$
(371,473
)
 
$
(251,697
)
 
Net of tax
OTTI losses recognized in OCI:
 
 
 
 
 
 
 
 
 
 
$
1,497

 
$
1,617

 
$
5,876

 
$
13,086

 
Net realized gains (losses) on investments sold
 
—

 
701

 
(258
)
 
830

 
OTTI on investments transferred to (from) OCI
 
$
1,497

 
$
2,318

 
$
5,618

 
$
13,916

 
Total before tax
 
(36
)
 
(10
)
 
(38
)
 
(25
)
 
Provision (benefit) for income tax
 
$
1,461

 
$
2,308

 
$
5,580

 
$
13,891

 
Net of tax
Gains and losses on cash flow hedges:
 
 
 
 
 
 
 
 
 
Interest rate contracts
$
(47
)
 
$
12

 
$
(134
)
 
$
119

 
Interest Expense
 
—

 
—

 
—

 
—

 
Provision (benefit) for income tax
 
$
(47
)
 
$
12

 
$
(134
)
 
$
119

 
Net of tax
 
 
 
 
 
 
 
 
 
 
Total reclassifications for the period, gross of tax
$
(149,032
)
 
$
(92,063
)
 
$
(374,490
)
 
$
(242,696
)
 
 
Tax benefit (expense)
5,255

 
1,243

 
8,463

 
5,009

 
 
Total reclassifications for the period, net of tax
$
(143,777
)
 
$
(90,820
)
 
$
(366,027
)
 
$
(237,687
)