原標題：《Sizing the Market for the Ethereum ETF》
關鍵要點
關鍵要點期間，淨流入資金達到了151 億美元。
有九個發行商正在爭取在美國推出 10 個以太坊現貨 ETF。
在 5 月 23 日批准了所有 19b-4 申請後，預計 SEC 將允許這些工具在 2024 年 7 月開始交易。
與比特幣 ETF 一樣，我們認為主要的新可訪問市場是獨立投資顧問，或那些與銀行或經紀/交易商相關聯的顧問。
我們預計 ETH ETF 的淨流入量將在前五個月內達到 BTC ETF 淨流入量的 20-50%，目標為 30%，這意味著每月 10 億美元的淨流入。
幾個月來，觀察家和分析師們一直低估了證券交易委員會 (SEC) 會批准基於現貨的以太坊交易所交易產品 (ETP) 的可能性。悲觀情緒源於 SEC 對明確表示以太坊是一種商品的猶豫，未與潛在發行商接觸的報道，以及 SEC 對以太坊生態系統的調查和待決執法行動的消息。 Bloomberg 分析師 Eric Balchunas 和 James Seyffart 在 5 月（當時一些潛在發行商的首個最終批准/拒絕截止日期即將到來）將批准的可能性定為 25%。然而，在 5 月 20 日星期一，Bloomberg 分析師在報告 SEC 已聯繫證券交易所後，突然將批准的幾率提高到 75%。事實上，所有現貨以太 ETP 的申請在當週晚些時候都被 SEC 批准。雖然我們仍在等待這些工具在S-1 申請生效後實際啟動——我們預計這將在2024 年夏季的某個時候發生——本報告從比特幣現貨ETP 的表現中汲取經驗，以預測以太坊ETP 啟動後的需求。我們估計，現貨以太坊 ETP 在交易的前五個月內將看到約 50 億美元的淨流入（約為比特幣 ETP 淨流入的 30%）。
背景
目前有九個發行商爭相推出持有現貨 ETH 的交易所交易產品 (ETP)。在過去的幾周里，一些發行商已經退出。 ARK 選擇不與 21Shares 合作推出以太坊 ETP，而 Valkyrie、Hashdex 和 WisdomTree 則完全撤回了他們的申請。下表顯示了按19b-4 申請日期排序的當前申請狀態：
🎜🎜🎜🎜🎜Grayscale 正在尋求將Grayscale Ethereum Trust (ETHE) 轉換為ETP，就像該公司對Grayscale Bitcoin Investment Trust (GBTC) 所做的那樣，但也申請了該產品的“迷你”版本。 🎜🎜SEC 在 5 月 23 日批准了所有 19b-4 申請——這些規則變更允許證券交易所最終上市現貨 ETH ETP——但現在每個單獨的發行商需要與監管機構就其註冊聲明進行反覆溝通。在 SEC 允許這些 S-1（或在 ETHE 的情況下為 S-3）生效之前，這些產品本身不能真正開始交易。根據我們的研究以及 Bloomberg Intelligence 的報導，我們認為以太坊現貨 ETP 最快可能在 2024 年 7 月 11 日那一周開始交易。
比特幣 ETF 已經上線了不到 6 個月，可以作為研究以太坊現貨 ETF 可能接受度的有用基礎。
來源：Bloomberg
以下是比特幣現貨 ETP 交易前幾個月的一些觀察：
截至 6 月 15 日，美國現貨比特幣 ETF 自啟動以來累計淨流入超過 151 億美元，平均每天淨流入 1.36 億美元。這些 ETF 持有的比特幣總量約為 87 萬 BTC，佔目前 BTC 供應量的 4.4%。在 BTC 交易價格約為 6.6 萬美元的情況下，所有美國現貨 ETF 的管理資產總額約為 580 億美元（注意：在 ETF 啟動之前，GBTC 持有約 61.9 萬 BTC）。
的流入部分推動了 BTC 的價格上漲。 透過回歸 BTC 價格和 ETF 淨流入的一週變化，我們計算出 r-sq 為 0.55，顯示這兩個變數高度相關。有趣的是，我們也發現價格變化比流入更能作為流入的領先指標。
ETF流入造成了影響。 自從將信託轉換為 ETF 以來，GBTC 在前幾個月經歷了顯著的流出。 GBTC 的每日流出在 3 月中旬達到峰值，3 月 18 日的流出額為 6.42 億美元。自那以後，流出有所緩和，GBTC 自 5 月起甚至出現了幾天的淨流入（在 5 月 3 日首次出現淨流入之前有 78 天的流出）。截至 6 月 15 日，自 ETF 啟動以來，GBTC 持有的 BTC 餘額從 61.9 萬 BTC 減少到 27.8 萬 BTC（減少了 55%）。
使用比特幣 ETP 作為參考，我們可以估計類似以太坊產品的潛在需求。
為了估計 ETH ETF 的潛在流入量，我們根據 BTC 和 ETH 在多個市場上的相對資產規模，應用 BTC/ETH 倍數來估算比特幣美國現貨 ETF 的流入量。截至 5 月 31 日：
BTC 的市值是 ETH 的 2.9 倍。
在所有交易所中，基於未平倉合約水準和交易量，BTC 的期貨市場約為 ETH 的 2 倍。具體到 CME，BTC 的未平倉合約水準是 ETH 的 8.4 倍，而每日交易量是 ETH 的 4.2 倍。
各種現有基金的管理資產總額（按Grayscale 信託和產品（如期貨、現貨）以及選定的全球市場劃分）顯示BTC 基金的規模約為ETH 基金的2.6 倍至5.3 倍。
基於上述數據，我們認為以太坊現貨ETF的流入量將比美國現貨比特幣ETF 的流入量少約3 倍（與市值倍數一致），範圍在2 倍5 倍之間。換句話說，我們認為以太坊現貨 ETF 的流入量可能是美國現貨比特幣 ETF 流入量的 33%，範圍為 20% 至 50%。
將此倍數應用於截至6 月15 日的151 億美元比特幣現貨ETF 流入量，意味著在以太坊ETF 批准和啟動後的前五個月內，以太坊ETF 的月流以太坊ETF的月流入量約為10 億美元（估計範圍：每月6 億至15 億美元）。
我們看到的幾個估計值低於我們的預測，這是由於以下幾個因素。也就是說，我們在先前的報告中預測的第一年比特幣 ETF 流入量為 140 億美元，是基於財富管理平台的進入，但比特幣 ETF 在這些平台到來之前就已經看到了顯著的流入。因此，我們建議在預測以太坊 ETF 的需求不足時要謹慎。
BTC 和 ETH 之間的一些結構性/市場差異將影響 ETF 流入量：
由於缺乏質押獎勵非質押的ETH 放棄了以下機會成本：(i) 支付給驗證者的通膨獎勵（也有負面的稀釋影響），
(ii) 支付給驗證者的優先費用，以及透過中繼者支付給驗證者的MEV 收入。使用合併後資料（>2022 年9 月15 日）到2024 年6 月15 日，我們估計放棄質押獎勵的年度機會成本為5.6 個百分點，對於現貨ETH 持有者來說（或使用年初至今資料為4.4 個百分點），這是一個不小的差異。這將使現貨以太坊 ETF 對潛在買家不那麼有吸引力。請注意，美國以外（例如加拿大）提供的 ETP 透過質押為持有者提供額外收益。
Grayscale’s ETHE could be a drag on Ethereum ETF inflows. Just as the GBTC Grayscale Trust experienced significant outflows when it converted to an ETF, the ETHE Grayscale Trust's conversion to an ETF will similarly result in outflows. Assuming that the outflow rate of ETHE matches the outflow rate of GBTC in the previous 150 days (i.e. 54.2% of the trust supply was withdrawn), we estimate that the monthly outflow of ETHE is about 319,000 ETH, which is about $3400 at the current price, which is That would be $1.1 billion or an average daily outflow of $36 million. Note that the supply held by these trusts represents 3.2% of BTC supply and 2.4% of ETH supply, suggesting that ETHE ETF conversions will have a relatively smaller drag on ETH prices than GBTC conversions. Additionally, unlike GBTC, ETHE does not face forced sellers due to bankruptcies (such as 3AC or Genesis), which would further support the idea that selling pressure on ETH-related Grayscale trusts has been relatively light.
Basis trading may be driving hedge fund demand for Bitcoin ETF. Hedge funds hope to arbitrage the difference between Bitcoin spot and futures prices, and basis trading is likely to drive the adoption of ETFs by hedge funds. As mentioned earlier, 13F filings show that as of 3/31/24, more than 900 U.S. investment firms hold Bitcoin ETFs, including some well-known hedge funds such as Millennium and Schonfeld. Throughout 2024, the funding rate of ETH on various exchanges is higher than that of BTC on average, indicating that: (i) the demand for long ETH is relatively greater; (ii) spot Ethereum ETFs are likely to attract greater demand from hedge funds, These hedge funds want to get into basis trades.
Since our estimated Ethereum ETF inflows are roughly equivalent to the market cap of BTC inflows, all else being equal, we expect Ethereum The impact on price is roughly the same. However, there are some key differences in supply and demand between the two assets that could cause Ethereum to be more price sensitive to ETF flow:
Supply on exchanges : Currently, exchanges hold The proportion of BTC supply is higher than that of ETH supply (11.7% vs. 10.3%), which indicates that ETH supply may be tighter. Assuming that inflows are proportional to market capitalization, the price of ETH will be more sensitive (Note: This indicator is very The extent depends on the exchange address attribution, and the data of different data providers vary greatly).
Inflation & Burn: Following the latest halving on 4/20/24, Bitcoin’s annual inflation rate is approximately 0.8%. After the merger (>9/15/22), Ethereum's net issuance is negative (-0.19% of annual issuance) due to the base fee (-0.83) burned for new issuance (+0.63%) paid to depositors %) more than offsets. In the latest month, relatively low ETH base fees (-0.34% annualized) failed to offset new issuance (+0.76% annualized), resulting in an annualized net positive inflation rate of +0.42%.
ETFSupply held in ETF
:However, the actual market liquidity available for ETF purchases is far less than the reported current supply. We believe that to better reflect the available market supply of each asset in an ETF, adjustments must be made for various factors such as staked supply, dormant/lost supply, and holdings in bridges and smart contracts. Available supply:
StakingSupply (Discount: 30%): Staked ETH reduces liquidity on the market. Currently, there is no staking option for BTC. The pledged ETH is used to ensure network security, but the pledger can unpledge part of the ETH for other uses. Currently, staked ETH represents approximately 27% of the total supply, and we apply a 30% discount to estimate the supply available on the market, resulting in a supply discount of 8.2%.
Hibernating/Lost Supply (Discount: 50%): Some BTC and ETH are considered irrecoverable (e.g. lost keys), which reduces the supply on the market; we have not used it for 10+ years BTC and ETH, which were last active for more than 7 years, account for 16.6% and 6.7% of the current supply respectively. We apply a 50% discount to these supplies because the supply in these supposedly dormant addresses may come back online at any time.
Supply in Bridge and Smart Contract (Discount: 25%): These supplies are locked in the bridge and smart contract for productive purposes. For Bitcoin, the wrapped BTC (wBTC) hosted by BitGo is approximately 153k BTC, and we estimate that approximately the same amount of BTC is locked in other bridges, totaling approximately 1.6% of the supply. ETH locked in smart contracts represents approximately 11.4% of the current supply. We apply a 25% discount to these supplies because we consider these supplies to be more liquid than the pledged supply (i.e., less likely to be subject to the same locking requirements and withdrawal queues).
After applying the discounted weights of these factors to calculate adjusted BTC and ETH supply, we estimate that the available supply of BTC and ETH is 8.7% and 14.4% less than the reported current supply, respectively.
Overall, ETH’s price sensitivity relative to BTC should be higher due to: (i) lower available market supply based on adjusted supply factors, (ii) higher proportion of supply on exchanges Low, (iii) lower net issuance. Each of these factors should have a multiplier (rather than additive) effect on price sensitivity, as prices tend to be more responsive to changes in market supply and liquidity.
Looking ahead, we have a few questions around adoption and secondary effects:
How should product managers and allocators think about BTC and ETH? Will existing holders move from Bitcoin ETFs to ETH? For allocators, some rebalancing is expected. Will Spot Ethereum ETF attract new marginal buyers who are not yet buying BTC? What proportion of potential buyers would be holding BTC only, ETH only, or a mix of the two?
When (if ever) can staking be added? Will the absence of staking rewards impact adoption of spot Ethereum ETFs? Will demand for access to investment in DeFi, tokenization, NFTs and other crypto-related applications drive greater adoption of Ethereum ETFs compared to Bitcoin, given the lack of alternative investment products?
What is the potential impact on other alternatives? After Ethereum, are we more likely to see other alternative ETFs approved?
Overall, we believe the potential launch of a spot Ethereum ETF should have a positive impact on market adoption of Ethereum and the broader crypto market for two main reasons: (i) Availability in the wealth segment Accessibility expansion, (ii) greater acceptance through formal recognition by regulators and trusted financial services brands. ETFs can provide greater retail and institutional coverage, provide broader distribution through more investment channels, and can support the use of ether in a portfolio for more investment strategies. Additionally, greater understanding of Ethereum among financial professionals will ideally lead to accelerated investment and adoption of the technology.
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