Accumulated Other Comprehensive Income (Loss)

3 Months Ended

Mar. 31, 2017

Comprehensive Income Loss Note [Abstract]

Accumulated Other Comprehensive Income (Loss)

Accumulated Other Comprehensive Income (Loss)

The changes in AOCI, net of tax, by component for the three months ended March 31, 2017 and 2016 are as follows:

Three months ended March 31, 2017 (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	$	730,429		$	(50,952	)	$	58,970		$	(24,887	)	$	1,986		$	715,546
OCI before reclassifications	149,959			—			39,204			(341		)	—			188,822
Amounts reclassified from AOCI	(52,554		)	1,455			—			—			(48		)	(51,147		)
Tax benefit (expense)	(10,952		)	(13		)	2,734			(16		)	—			(8,247		)
Net current period OCI - net of tax	86,453			1,442			41,938			(357		)	(48		)	129,428
Balance, end of period, net of tax	$	816,882		$	(49,510	)	$	100,908		$	(25,244	)	$	1,938		$	844,974
Three months ended March 31, 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	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

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(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. At December 31, 2016, the cumulative impact of the Shadow Adjustments was $212.1 million. During the three months ended March 31, 2017, net movements of $(5.1) million were recorded, resulting in a total cumulative net impact of Shadow Adjustments on future policy benefit reserves of $207.0 million at March 31, 2017.

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, 2017 and 2016 are as follows:

Gross Amount Reclassified From AOCI
Details About AOCI Components - Affected Line Items in the Statement of Income (U.S. dollars in thousands)	Three months ended March 31, 2017			Three months ended March 31, 2016
Unrealized gains and losses on investments:
Net realized gains (losses) on investments sold	$	(47,020	)	$	(116,988	)
OTTI on investments	6,874			21,928
Net realized and unrealized gains (losses) on life retrocession embedded derivative and derivative instruments - Life Funds Withheld Assets	(12,408		)	(22,054		)
Total before tax	$	(52,554	)	$	(117,114	)
Provision (benefit) for income tax	(474		)	1,577
Net of tax	$	(53,028	)	$	(115,537	)
OTTI losses recognized in OCI:
Net realized gains (losses) on investments sold	$	1,455		$	2,313
OTTI on investments transferred to (from) OCI	—			(2		)
Total before tax	$	1,455		$	2,311
Provision (benefit) for income tax	(13		)	(44		)
Net of tax	$	1,442		$	2,267
Gains and losses on cash flow hedges:
Interest Expense	$	(48	)	$	(39	)
Provision (benefit) for income tax	—			—
Net of tax	$	(48	)	$	(39	)
Total reclassifications for the period, gross of tax	$	(51,147	)	$	(114,842	)
Tax benefit (expense)	(487		)	1,533
Total reclassifications for the period, net of tax	$	(51,634	)	$	(113,309	)