Wanted to ask a question on real world pricing of a bond, specifically an Illiquid bond (e.g. a Bond that due to sanctions lets say has very limited, if any trading during the course of the month). When it comes to Month End, we price the bond following an in-house pricing hierarchy (Bloomberg BGN, MarkIT, Reuters etc...)
However, at month end, given the month is deemed illiquid, given there are no transactions and that BGN, MarkIT, Reuters etc, do have prices BUT are stale from the previous month, I want to take a different approach to pricing this illiquid bond. We also assume the Bond is defaulted, so traditional discounted cash flow analysis holds no weight here. Broker quotes are only indicative so lets assume they hold little weight also. Lets call this Bond 9.25% Kaznia 2028s
How may one, try and price this bond? Could we use comparables (say another Kaznia bond which has traded in the month), a proxy, or any sort of model to derive a price for my Kaznia 28s? If so, could you provide a simple numerical example of how this would work?
Many Thanks and much appreciated