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Fair Value Measurements
 9 Months Ended
Sep. 30, 2015
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 nine months ended September 30, 2015 or 2014, or year ended December 31, 2014. At September 30, 2015 and December 31, 2014, the Company had an interest rate swap agreement and foreign exchange forward contracts recorded at fair value. The fair value of the interest rate swap agreement is calculated using standard industry models based on observable forward yield curves and takes into consideration current interest rates and the current creditworthiness of the counterparties of the Company, as applicable. 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 fair value of the interest rate swap agreement was based on Level 2 inputs and was not material to the Company at September 30, 2015 or December 31, 2014.

The following table provides a summary by level of the fair value of foreign exchange forward contracts, which are measured on a recurring basis:

 
 
 
Fair Value Measurements at
September 30, 2015 Using:
(in millions)
September 30, 2015
 
Quoted Prices in
 Active Markets
for Identical
 Assets (Level 1)
 
Significant
Other
Observable
Inputs (Level 2)
 
Significant
 Unobservable
Inputs (Level 3)
Assets:
 
 
 
 
 
 
 
Foreign exchange forward contracts
$
9.7

 
 
 
$
9.7

 
—

 
$
9.7

 
$
—

 
$
9.7

 
$
—

Liabilities:
 
 
 
 
 
 
 
Foreign exchange forward contracts
$
0.6

 
$
—

 
$
0.6

 
$
—

 
$
0.6

 
$
—

 
$
0.6

 
$
—


 
 
 
Fair Value Measurements at
December 31, 2014 Using:
(in millions)
December 31, 2014
 
Quoted Prices in
 Active Markets
 for Identical
 Assets (Level 1)
 
Significant
Other
Observable
 Inputs (Level 2)
 
Significant
Unobservable
 Inputs (Level 3)
Assets:
 
 
 
 
 
 
 
Foreign exchange forward contracts
$
1.8

 
$
—

 
$
1.8

 
$
—

 
$
1.8

 
$
—

 
$
1.8

 
$
—

Liabilities:
 
 
 
 
 
 
 
Foreign exchange forward contracts
$
0.1

 
$
—

 
$
0.1

 
$
—

 
$
0.1

 
$
—

 
$
0.1

 
$
—



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 $450.0 million aggregate principal amount of 2023 Senior Notes was approximately $450.6 million at September 30, 2015. The fair value of the $375.0 million aggregate principal amount of 6.875% senior notes due 2020 (the "2020 Senior Notes") was approximately $397.5 million and $398.4 million at September 30, 2015 and December 31, 2014, respectively. The fair value of Sealy's 8.0% Senior Secured Third Lien Convertible Notes due 2016 ("Sealy 8.0% Notes") was approximately $114.1 million and $110.7 million at September 30, 2015 and December 31, 2014, respectively. The fair value of the 2023 Senior Notes, 2020 Senior Notes and the 8.0% Sealy Notes were based on Level 2 inputs estimated using discounted cash flows and market-based expectations for interest rates, credit risk, and the contractual terms of the debt instruments.