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Fair Value Measurements
 6 Months Ended
Jun. 30, 2014
Fair Value Disclosures [Abstract]  
Fair Value Measurements
Fair Value Measurements

The classification of fair value measurements within the established three-level hierarchy is based upon the lowest level of input that is significant to the measurement. There were no transfers between levels for the three and six months ended June 30, 2014. At June 30, 2014, the Company had an interest rate swap and foreign exchange forward contracts recorded at fair value. The fair value of the interest rate swap is calculated using standard industry models based on observable forward yield curves. The fair value of the foreign exchange forward contracts is calculated using standard industry models based on observable forward points and discount curves. The fair values of all derivative instruments are adjusted for credit risk and restrictions and other terms specific to the contracts.

The Company estimates fair value of its financial instruments utilizing an established three-level hierarchy. The hierarchy is based upon the transparency of inputs to the valuation of an asset or liability as of the measurement date as follows:

•
Level 1 - Valuation is based upon unadjusted quoted prices for identical assets or liabilities in active markets.
•
Level 2 - Valuation is based upon quoted prices for similar assets and liabilities in active markets, or other inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the financial instruments.
•
Level 3 - Valuation is based upon other unobservable inputs that are significant to the fair value measurements.

The following table provides a summary by level of the fair value of financial instruments that are measured on a recurring basis:
(in millions)
 
 
Fair Value Measurements at
June 30, 2014 Using:
 
June 30, 2014
 
Quoted Prices in
 Active Markets
for Identical
 Assets (Level 1)
 
Significant
Other
Observable
Inputs (Level 2)
 
Significant
 Unobservable
Inputs (Level 3)
Liabilities:
 
 
 
 
 
 
 
Interest rate swap
$
1.9

 
$
—

 
$
1.9

 
$
—

Foreign exchange forward contracts
1.3

 
—

 
1.3

 
—

 
$
3.2

 
$
—

 
$
3.2

 
$
—


(in millions)
 
 
Fair Value Measurements at
December 31, 2013 Using:
 
December 31, 2013
 
Quoted Prices in
 Active Markets
 for Identical
 Assets (Level 1)
 
Significant
Other
Observable
 Inputs (Level 2)
 
Significant
Unobservable
 Inputs (Level 3)
Liabilities:
 
 
 
 
 
 
 
Interest rate swap
$
2.3

 
$
—

 
$
2.3

 
$
—

 
$
2.3

 
$
—

 
$
2.3

 
$
—



The carrying value of cash and cash equivalents, accounts receivable and accounts payable approximate fair value because of the short-term maturity of those instruments. Borrowings under the 2012 Credit Agreement are at variable interest rates and accordingly their carrying amounts approximate fair value. The fair value of the Senior Notes was approximately $412.0 million at June 30, 2014. The fair value of the Sealy 8.0% Notes was approximately $102.1 million at June 30, 2014. The fair value of the Senior Notes and the 8.0% Sealy Notes were based on Level 2 inputs such as quoted market prices or estimated using discounted cash flows and market-based expectations for interest rates, credit risk, and the contractual terms of the debt instruments.