Credit and Fixed Income Research

Amba Research’s Credit and Fixed Income Research services include the preparation of detailed credit reports and industry and sector research pieces. Such reports supplement the coverage of rating agencies or the review of unrated names. Cash flows and balance sheets are normalized as required. Shadow ratings that can be compared with existing in-house ratings or external ratings could be provided. Reports are produced in a format or style in keeping with the clients’ requirements for timeliness and depth of content. Reports range from “quick-and-dirty” reports for ongoing monitoring (overnight notes and relative value calls, credit risk reviews, and grading systems) to more in-depth analyses (rating agency style, new issue/ coverage initiation, and theme piece/ sector reviews). Our analysts prepare detailed financial models including off-balance-sheet adjustments and help clients with scenario analysis.

Using bond prices and CDS spreads from data providers or directly from the client, Amba Research analysts are able to tie credit analysis to market movements. We provide support for relative value trading in both investment grade and high yield sectors and hedge fund strategies using duration management, sector allocation, yield curve positioning, and security selection.

Other services include corporate governance reviews and the creation and maintenance of systematic screens for entities and bonds using customized measures.

Clients requiring higher-level support in quantitative research can tap into Amba Research’s trained Quantitative Services team. The team is equipped to provide support in the areas of credit risk management and derivative pricing, forecasting default probability, creating proprietary models for valuing structured products, forecasting interest rates, and modeling credit spreads.

Amba Research’s Credit and Fixed Income Research services include:

• Advanced financial modeling and cash flow modeling for corporate credits and structured finance instruments
• Preparing detailed and independent credit reports and assigning shadow ratings – this includes the analysis of business and financial risk and sector and economic research
• Analysis and periodical updates of credit investment cases, including financial analysis, recent corporate developments, and investment recommendations
• Valuation and recovery estimation of distressed and defaulted debt
• Detailed accounting reviews to understand the impact of various accounting practices such as pension accounting, revenue recognition, over- or under-provisioning, and the use of off-balance-sheet financing (VIEs, securitization, leasing) on credit quality
• Bond covenant analysis
• Providing support for relative value trading in both investment grade and high yield sectors using duration management, sector allocation, yield curve positioning, and security selection
• Supporting risk measurement and returns objectives of hedge funds
• Supporting structured finance product rating surveillance

In macroeconomic research, we offer empirical research on interest rates, exchange rates, and other economic variables across time and/or geographies including the sourcing and management of macroeconomic databases.

Amba Research draws on its Quantitative Services team to provide higher-level support to clients in the following areas:

• Credit risk management and derivative pricing
• Forecasting default probability
• Creating proprietary models for valuing structured products such as options and swaps
• Forecasting interest rates and modeling credit spreads
• Yield curve positioning
• Analysis of derivative-based products (interest rate swaps, forward rate agreements, swaptions)