Behind Wall Street's subprime fear index

The next series of the ABX is slated for January. But since subprime securitization has practically dried up since the summer, there is some uncertainty over whether a series will be issued next year.

"As it stands now, there aren't 20 bonds that would qualify to be in the next index - and it doesn't look like there are that many more that are going to be issued," Dan Castro, managing director at GSC Group, said.

Even if the ABX starts to track fewer - or smaller - deals, some market participants say the index is already becoming irrelevant now that the surge in subprime lending has ended.