Accumulated Other Comprehensive Income (Loss)

6 Months Ended

Jun. 30, 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 and six months ended June 30, 2017 and 2016 are as follows:

Three Months Ended June 30, 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	$	816,882		$	(49,510	)	$	100,908		$	(25,244	)	$	1,938		$	844,974
OCI before reclassifications	179,229			—			7,028			(539		)	—			185,718
Amounts reclassified from AOCI	(94,591		)	1,511			—			—			(48		)	(93,128		)
Tax benefit (expense)	(8,228		)	(14		)	(8,120		)	(37		)	—			(16,399		)
Net current period OCI - net of tax	76,410			1,497			(1,092		)	(576		)	(48		)	76,191
Balance, end of period, net of tax	$	893,292		$	(48,013	)	$	99,816		$	(25,820	)	$	1,890		$	921,165
Three Months Ended June 30, 2016(U.S. dollars in thousands)
Balance, beginning of period, net of tax	$	1,226,295		$	(55,235	)	$	(52,942	)	$	(25,690	)	$	2,129		$	1,094,557
OCI before reclassifications	392,620			—			71,918			100			—			464,638
Amounts reclassified from AOCI	(112,377		)	1,810			—			—			(48		)	(110,615		)
Tax benefit (expense)	(31,460		)	42			(8,575		)	—			—			(39,993		)
Net current period OCI - net of tax	248,783			1,852			63,343			100			(48		)	314,030
Balance, end of period, net of tax	$	1,475,078		$	(53,383	)	$	10,401		$	(25,590	)	$	2,081		$	1,408,587
Six Months Ended June 30, 2017(U.S. dollars in thousands)
Balance, beginning of period, net of tax	$	730,429		$	(50,952	)	$	58,970		$	(24,887	)	$	1,986		$	715,546
OCI before reclassifications	329,189			—			46,232			(880		)	—			374,541
Amounts reclassified from AOCI	(147,146		)	2,966			—			—			(96		)	(144,276		)
Tax benefit (expense)	(19,180		)	(27		)	(5,386		)	(53		)	—			(24,646		)
Net current period OCI - net of tax	162,863			2,939			40,846			(933		)	(96		)	205,619
Balance, end of period, net of tax	$	893,292		$	(48,013	)	$	99,816		$	(25,820	)	$	1,890		$	921,165
Six Months Ended June 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	967,642			—			56,502			(949		)	—			1,023,195
Amounts reclassified from AOCI	(229,491		)	4,121			—			—			(87		)	(225,457		)
Tax benefit (expense)	(66,167		)	(2		)	(9,598		)	—			—			(75,767		)
Net current period OCI - net of tax	671,984			4,119			46,904			(949		)	(87		)	721,971
Balance, end of period, net of tax	$	1,475,078		$	(53,383	)	$	10,401		$	(25,590	)	$	2,081		$	1,408,587

____________

(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 six months ended June 30, 2017, net movements of $(8.6) million were recorded, resulting in a total cumulative net impact of Shadow Adjustments on future policy benefit reserves of $203.5 million at June 30, 2017.

The reclassifications out of AOCI along with the associated Unaudited Consolidated Statements of Income line items affected by component, and the total related tax (expense) benefit for the three and six months ended June 30, 2017 and 2016 are as follows:

Gross Amount Reclassified From AOCI
Details About AOCI Components - Affected Line Items in the Unaudited Consolidated Statements of Income (U.S. dollars in thousands)	Three months ended June 30, 2017			Three months ended June 30, 2016			Six months ended June 30, 2017			Six months ended June 30, 2016
Unrealized gains and losses on investments:
Net realized gains (losses) on investments sold	$	(81,618	)	$	(139,457	)	$	(128,638	)	$	(256,446	)
OTTI on investments	1,160			33,030			8,034			54,958
Net realized and unrealized gains (losses) on life retrocession embedded derivative and derivative instruments - Life Funds Withheld Assets	(14,133		)	(5,950		)	(26,542		)	(28,003		)
Income (loss) from investment fund affiliates	—			—			—			—
Total before tax	$	(94,591	)	$	(112,377	)	$	(147,146	)	$	(229,491	)
Provision (benefit) for income tax	643			1,633			169			3,210
Net of tax	$	(93,948	)	$	(110,744	)	$	(146,977	)	$	(226,281	)
OTTI losses recognized in OCI:
Net realized gains (losses) on investments sold	$	1,461		$	2,066		$	2,916		$	4,379
OTTI on investments transferred to (from) OCI	50			(256		)	50			(258		)
Total before tax	$	1,511		$	1,810		$	2,966		$	4,121
Provision (benefit) for income tax	(14		)	42			(27		)	(2		)
Net of tax	$	1,497		$	1,852		$	2,939		$	4,119
Gains and losses on cash flow hedges:
Interest Expense	$	(48	)	$	(48	)	$	(96	)	$	(87	)
Provision (benefit) for income tax	—			—			—			—
Net of tax	$	(48	)	$	(48	)	$	(96	)	$	(87	)
Total reclassifications for the period, gross of tax	$	(93,128	)	$	(110,615	)	$	(144,276	)	$	(225,457	)
Tax benefit (expense)	629			1,675			142			3,208
Total reclassifications for the period, net of tax	$	(92,499	)	$	(108,940	)	$	(144,134	)	$	(222,249	)