# ETF Liquidity Stress Report

**Risk level:** SEVERE

| Metric | Value |
|---|---:|
| Redemption shock | $300.0M |
| Stressed underlying liquidity | $856.9M |
| AP daily capacity | $160.0M |
| Liquidity gap | $140.0M |
| Estimated discount | 369.8 bps |
| Liquidation days | 1.88 |
| Weighted spread | 31.9 bps |
| Thin-basket weight | 44.0% |

## Key warnings

- AP capacity overwhelmed
- Large weight in thinly traded constituents

## Methodology

- ADV is haircut by liquidity tier (liquid 35%, moderate 20%, thin 6%) and scaled by market-depth stress.
- Daily stress capacity is the lesser of authorized-participant capacity and stressed underlying basket liquidity.
- Estimated discount combines weighted spread, tracking buffer, liquidity gap ratio, thin-basket penalty, and liquidation-days penalty.