[REPORT] ETHplus Collateral Basket & Liquidity Review - October 2026
This report reviews ETHplus collateral composition, liquidity, diversification, concentration and yield performance against its methodology. It informs the Reserve community, key stakeholders and institutional capital allocators, supporting governance decisions on whether changes to the basket are required. Published quarterly, the series provides a reference for how these metrics and the basket’s suitability evolve over time.
Summary
- The current basket fulfils the ETHplus methodology’s liquidity and diversification requirements. No changes to the underlying basket are required this quarter.
- Removing ETHx and rETH has eliminated the basket’s previous exposure to its weakest liquidity markets. At 5,000 ETH (>100% of total supply), calculated minting and redemption slippage are 0.08% and 0.0725% respectively.
- The basket’s diversification ratio is 63%, above the 60% minimum. Its largest share of an underlying collateral’s TVL is sfrxETH at 2.67%, comfortably below the 10% limit.
- Calculated holder yield is 2.12%, compared with 2.25% for stETH. The yield shortfall remains a monitoring point, while liquidity and safety continue to take priority in basket construction.
- Secondary market liquidity remains suitable for smaller trades, with protocol minting and redemption providing substantially better execution at larger sizes.
Liquidity Test Range
The report retains the 5,000 ETH test range introduced in July, reduced from 50,000 ETH following the contraction in ETHplus supply. With supply now approximately 4,100 ETH, this range provides a more granular view of liquidity while covering over 100% of current supply.
Individual Asset Analysis
July 2026
October 2026
Minting remains efficient across all tested collateral assets.
Redemption liquidity remains uneven. ETHx continues to show the weakest execution, with a 500 ETH exit quoting 77.9% slippage, compared with approximately 40% in July. rETH also remains shallow, with slippage increasing from 0.36% at 1,000 ETH to 2.9% at 1,500 ETH and 21.5% at 2,000 ETH.
Frax redemption slippage rises more gradually, reaching 0.52% at 2,000 ETH and 1.69% at 3,000 ETH before increasing sharply at larger sizes. By comparison, wstETH, weETH and OETH record slippage rounded to 0% across the individual redemption tests.
ETHplus Basket Composition
The current basket comprises 50% stETH, 25% weETH and 25% Frax staking exposure. ETHx and rETH have been removed, concentrating the basket in three assets while retaining compliance with its diversification requirements.
Minting and Redemption Liquidity
July 2026
October 2026
The analysis retains the 500 to 5,000 ETH test range introduced in July. Across these test points, both minting and redemption slippage remain comfortably below 0.5%, reaching just 0.08% and 0.0725% respectively at 5,000 ETH.
This represents a clear improvement in redemption liquidity. July’s report identified ETHx as the constraint pushing basket redemption slippage above 0.5% at 5,000 ETH. Its removal eliminates that bottleneck from the current basket.
At the largest test size, the basket requires 2,500 ETH of stETH and 1,250 ETH each of weETH and Frax exposure. The Frax leg contributes 0.0525 percentage points of the total 0.0725% redemption slippage, with weETH contributing the remaining 0.02 percentage points. Frax is therefore the largest contributor to measured redemption costs, but those costs remain low at its current allocation.
The methodology requires minting and redemption slippage of no more than 0.5% for sizes up to 20% of total ETHplus supply. The supplied 1 October app snapshot values ETHplus supply at approximately 4,111 ETH, putting the required 20% test size at approximately 822 ETH. The 1,000 ETH test already exceeds that requirement and quotes minting slippage of 0.0625% and redemption slippage of 0.0375%. The full 5,000 ETH test range covers approximately 122% of current ETH-denominated supply, supporting low-slippage exits across the entire existing supply.
Diversification and Concentration
The 50/25/25 allocation produces a diversification ratio of 63%, exceeding the methodology’s 60% minimum. The largest allocation, stETH at 50%, also remains within the single-asset limit.
At an ETHplus TVL of $10.77m, the basket holds approximately $5.39m of stETH and $2.69m each of weETH and Frax exposure. These positions represent approximately 0.02%, 0.04% and 2.67% of their respective underlying asset TVLs.
Frax remains the largest concentration exposure, but it sits well below the methodology’s 10% ceiling. All three diversification and concentration requirements are therefore satisfied.
Yield Analysis
The current basket generates a blended collateral yield of approximately 2.36%. Under the current revenue split, 90% passes to ETHplus holders, 3% goes to stRSR and 7% is allocated to the protocol fee. This produces a calculated holder yield of 2.12%, compared with 2.25% for stETH. Holder yield consequently trails the benchmark by approximately 0.13 percentage points, or 5.7% on a relative basis.
The basket therefore meets its liquidity and diversification requirements while remaining below its yield benchmark. This shortfall warrants continued monitoring, but does not justify compromising safety or liquidity to increase yield. No yield-driven basket change is proposed this quarter.
ETHplus Secondary Market Liquidity
Direct DEX entry remains competitive at smaller sizes, but protocol minting becomes cheaper by 1,500 ETH. Protocol redemption offers lower slippage at every tested size, with the gap widening sharply for larger exits: at 3,000 ETH, DEX slippage reaches 17.59% compared with 0.055% through basket redemption. Protocol routes therefore remain the most efficient option for larger trades.
Data Collection
Liquidity quotes were collected using Matcha Meta, following the approach used in previous reports. Basket slippage is calculated from the constituent trade sizes and their quoted execution costs. Yield inputs use the spreadsheet’s stated 30-day figures. Concentration calculations retain the spreadsheet’s 4,111 ETH supply, $10.77m TVL snapshot.
These results are point-in-time estimates. Quotes collected at different times can vary, and separately quoted collateral legs do not guarantee identical execution when combined. Figures displayed as 0% reflect the precision of the recorded data and should not be interpreted as guaranteed cost-free execution.
Conclusion
The current ETHplus basket fulfils the methodology’s liquidity and diversification requirements. Removing ETHx and rETH has addressed the basket’s weakest liquidity exposures, while the remaining allocations keep execution costs and collateral concentration within the prescribed limits.
No further changes to the underlying basket are required this quarter. Governance attention should remain on monitoring Frax liquidity, maintaining diversification headroom and tracking the holder yield gap against stETH.