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Fair Value Measurements
 12 Months Ended
Dec. 31, 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 year ended December 31, 2015 and 2014. At December 31, 2015 and 2014, the Company had foreign exchange forward contracts recorded at fair value. Additionally, as of December 31, 2014, the Company had an interest rate swap agreement 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. The Company also utilizes foreign currency forward contracts to manage the risk associated with exposures to foreign currency risk related to intercompany debt and associated interest payments. The fair value of the foreign exchange 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 was not material for the years ended December 31, 2015 or 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
December 31, 2015 Using:
(in millions)
December 31, 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
$
12.5

 
 
 
$
12.5

 
—

 
$
12.5

 
$
—

 
$
12.5

 
$
—

Liabilities:
 
 
 
 
 
 
 
Foreign exchange forward contracts
$
1.2

 
$
—

 
$
1.2

 
$
—

 
$
1.2

 
$
—

 
$
1.2

 
$
—


 
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 2023 Senior Notes was approximately $453.4 million at December 31, 2015. The fair value of the 2020 Senior Notes was approximately $393.8 million and $398.4 million at December 31, 2015 and 2014, respectively. The fair value of the 8.0% Sealy Notes was approximately $112.7 million and $110.7 million at December 31, 2015 and 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 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.