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This Index tracks HYG ETF, so What happens to that will help, if someone can explain. Thanks

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    $\begingroup$ In my experience, as the bond approaches maturity, it is either removed from the index without replacement, or it is replaced by another similar bond. Usually, the index definition states a minimum maturity of a bond to be allowed in the index, so bonds would be removed even before maturing (i.e. within 6 or 3 months of maturity). $\endgroup$ Dec 16, 2020 at 13:38
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    $\begingroup$ Yes, typically in a monthly bond index, at the end of January all the bonds in the index have at least 1 month life (sometimes more), any bonds that mature in February have already been removed from the index. So bonds are dropped before maturity, when they don't meet the minimum life remaining criterion $\endgroup$
    – nbbo2
    Dec 16, 2020 at 14:31

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According to the selection criteria in Section 2.3 of the iBoxx USD High Yield Developed Markets Index Guide

All bonds must have at the rebalancing day an expected remaining life of at least one year, and all new insertions must have an expected remaining life of at least one year and 6 months.

Since rebalancing happens once a month at month end, bonds are excluded from the Index at least eleven months before they mature. By the way, it's the ETF that tracks the Index, not the other way around. Hope this clarifies your question.

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