HY Case Study?

In my experience you're likely going to be given a publicly traded company vs a sponsor backed co that's a HY issuer although that may change depending on the firm. In either case, I would expect to be given all the financials/materials. Would echo that focus is on business and industry fundamentals. You want to be able to articulate how the business works on a high level with the ability to go into detail if asked. Also if this is an industry/ sub-sector facing headwinds or if there's tailwinds. Within that bucket, is this particular business strong amongst its peers or is it lacking in certain areas (and what are those). Mainly being able to tie the qualitative aspects with the quantitative - if this company exhibits slower than broader industry growth you should have an understanding of why that is.

On 3-statement model, I don't think that's fully necessary. I would say to expect building out an operating model and an income statement down to net income and then a build to FCF from EBITDA (so you'll have to build out change in NWC using balance sheet metrics but I wouldn't anticipate building out a fully balancing b/s). From there just to a change in cash number that flows through to your cash balance every quarter/year and then using that cash number, a dynamic credit ratios section overlaying the capital structure debt balances and your changing cash balance to show how leverage profile changes over time. If this is a stressed credit and you end up projecting a liquidity shortfall you would then want to flag that or potentially build in an incremental debt issuance if there's capacity under the docs, though given it's long only HY and only a case study I'd imagine you'll focus more on performing cap structures.

On the other poster's point, I'd recommend including a rel val analysis if possible. So for example, say your case study asked you to look at Davita bonds (picking this as it's a publicly traded healthcare co). IIRC those are 2030 maturity unsecured notes yielding ~7-8%. You might want to use BBG to look for similar maturity healthcare sector bonds and talk about how whatever spread they're trading at makes them more or less attractive based on the leverage and FCF profile. Given timing you might not have time to go in depth here but if you do have extra time it'll help you stand out imo. Doesn't have to be super detailed either as your focus will be on the business you've been given a case study for, but putting together a simple one page sheet with overall credit stats and even just Street estimates for FCF, EBITDA, and leverage for the other comps' bonds combined with where they currently trade would be good to see.