Our sample pre-crisis goes from 13 November 2003 to 14 June 2006 for the CDX and from 21 June 2004 to 23 May 2006 for DJ-iTraxx. From Table 5.1, on next page, we note that, except for the DJ-iTraxx pool with a linear interpolation, in all other cases we find a solution where the theoretical spread exceeds the bid-ask spread by less than one-fifth (0.4/2) of the bid-ask range. In the case of the DJ-iTraxx pool with a linear interpolation, we find only one date where all instruments cannot be priced within the bid-ask range: in this case the theoretical spread is outside the bid-ask spread by less than one-third (0.6/2) of the bid-ask range.

Table 5.1 Percentage of sample repriced outside the bid-ask range. Sample data for CDX range from 13 November 2003 to 14 June 2006, while for DJ-iTraxx from 21 June 2004 to 23 May 2006.