[REPORT] ETHplus Liquidity Analysis - July 2026

[ham]

This report aims to be a comprehensive analysis of ETHplus liquidity and the liquidity of its constituent collaterals. The purpose of this report is to inform and educate the wider Reserve community, key stakeholders and institutional capital allocators on key liquidity metrics and support governance activities over the next quarter. As per the ETHplus Methodology document these analyses are completed every quarter the series becoming a reference library for key liquidity metrics and how they have changed over time.

Summary

• ETHplus supply has continued to contract, prompting a reduction in the report’s tested liquidity range from 50,000 ETH to 5,000 ETH while providing a more granular view of current liquidity conditions.

• Protocol minting remains highly efficient across the tested range, while redemption liquidity remains broadly unchanged following the first stage of the Q2 rebalance.

• The first step of the Q2 rebalance and noticeable improvements in the redemption curves of frxETH and weETH, partially offsetting continued weakness in ETHx and rETH.

• Concentration risk has fallen significantly as ETHplus TVL has contracted, reducing the protocol’s share of underlying collateral TVLs and supporting greater portfolio flexibility.

• ETHplus continues to underperform its stETH benchmark, but the yield gap has narrowed from 7% to 3%, representing a meaningful improvement in methodology compliance.

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Changes to the Liquidity Reports Tested Range

Historically the ETHplus Liquidity Report has tested minting and redemption curves for both ETHplus and its constituent collaterals up to and including 50,000 ETH. This range was sensible given over the past year ETHplus supply has ranged from 30,000 to 95,000 ETH. Unfortunately, this is no longer the case with ETHplus supply dropping to 4,600 ETH.

Subsequently, the decision has been made to reduce the reports tested minting and redemption range to 5,000 ETH. The reduction allows for a more granular view of the minting and redemption curves up to the total ETH supply to ETHplus and minimises noise with data of minting and redemption curves of TVLs many orders of magnitude larger than that which ETHplus enjoys today.

Collateral Asset Liquidity

April 2026

July 2026

Minting remains robust across all collateral assets with no difference between April 2026 and July 2026 data sets. Minting slippage remains well below 1% throughout the tested range.

With regards to the individual collaterals redemption curves, ETHx remains the bottleneck with a 500 ETH redemption incurring 40% slippage. Interestingly, while rETH liquidity continues to fluctuate in subsequent reports, seeing liquidity exhaustion at 1,500 ETH, a 50% reduction from 3,000 ETH in April 2026, the redemption curves for frxETH and weETH have greatly improved, with liquidity exhaustion starting to occur for frxETH at 3,000 ETH (up from 2,000) and weETH not seeing exhaustion in the tested range.

stETH continues to lead on redemption slippage and is tied with OETH for the lowest minting slippage.

ETHplus Basket Composition

April 2026

July 2026

Mint and Redemption Curve Analysis

While there is some difficulty in appreciating the changes in the minting and redemption curves for ETHplus given the smaller tested range of mint and redemption size, it can be appreciated that despite the completion of the first step of the Q2 rebalance proposal the curves remain relatively unchanged. The minting curve remains robust, not crossing the 0.5% threshold within the tested range and ETHx remains the redemption bottleneck, causing ETHplus redemption slippage to exceed the 0.5% threshold at sizes of 5,000 ETH.

Concentration Risk Analysis

With the continued contraction in ETH supply to ETHplus we have seen TVL drop from $22m to $8m and subsequently seen the percentage of the total TVL of collateral assets held within ETHplus contract as well. During the Q2 Rebalance discussion, a core reason against increasing frxETH’s share was the concentration risk, with ETHplus supply contracting ETHplus now holds 1.84% of frxETH’s total TVL and will hold 2.46% after we rebalance into the final basket, mitigating this concern.

Yield Analysis

ETHplus continues to underperform its stETH benchmark, with a holder yield of 2.22% compared with 2.31% for stETH. While this remains non-compliant with the ETHplus methodology, performance has improved significantly. ETHplus now trails its benchmark by 3%, down from 7% in the previous report, when holder yield was 2.29% versus 2.46% for stETH.

ETHplus - Secondary Market Liquidity

As ETHplus can be entered or exited either through protocol level minting and redemption or by swapping via on chain DEX liquidity, this section focuses on the latter, less discussed pathway: accessing ETHplus through its own secondary market liquidity.

While DEX liquidity has improved relative to Protocol mints and redemptions, protocol minting and redemption remain the most efficient route for entering and exiting ETHplus at scale.

At smaller sizes, DEX routes can remain competitive, but this advantage fades quickly as size increases. The crossover point where protocol routes become more efficient occurs well below 3,000 ETH.

Overall, secondary liquidity is only viable for smaller trades. Beyond this, it becomes the binding constraint, reinforcing protocol minting and redemption as the primary pathway for efficient execution.

Data Collection

All liquidity and slippage data in this report was sourced using Matcha Meta, which aggregates liquidity across multiple solvers and simulates execution outcomes at the time of query. This avoids reliance on static pool snapshots and helps ensure slippage estimates reflect realistic, executable prices across trade sizes.

It should be noted that these results are accurate only at the time of publication. Onchain liquidity remains in a constant state of flux, and execution outcomes may vary materially as market conditions, incentives, and available liquidity evolve.

Conclusion

ETHplus continues to demonstrate strong protocol-level liquidity, with minting remaining comfortably within methodology thresholds and redemption characteristics largely unchanged despite recent portfolio adjustments. Although ETHx remains the primary constraint on redemption liquidity and holder yield remains marginally below the methodology benchmark, both concentration risk and yield performance have improved over the quarter. Overall, the first stage of the Q2 rebalance has preserved the protocol’s liquidity profile while making measurable progress towards improving the portfolio’s performance characteristics, which the completion of the second step aims to improve further.

[zeb]

Thanks for taking the time to create this report, as always.

I remember from 1 or 2 reports ago that you experimented with adding potential follow up questions regarding what directions could be taken as we steward. This one lacks it, so not a succesfull experiment from your pov, or just forgot about?

From your perspective, did we close the gap due to the rebalance? Or would it have been closed regardless due to the strong contraction?

Since I joined, the team was mentioned as the people to coordinate growth with, but they never replied or showed interest. So for the last 7 months its mainly been damage control while we go lower and lower. How do we see ETH+ gaining TVL again?

[ham]

Thanks for reading through and commenting Zeb.

No not forgotten about, I didn’t notice a increase in participation since directly asking questions to governors and given it added to a report bloat have opted to stop included them, in favour or a more efficient report.

Which gap are you referring to? If your referring to yield, yes I think the rebalance has directly impacted the yield profile and once we complete step-two of the rebalance we’ll pretty much be at arity with the stETH benchmark. The contraction in supply has caused a huge increase in ETHplus yield, currently sitting at 10%, due to the higher supply feeding the furnace but exiting before rewards have been distributed resulting in those rewards being distributed to a smaller pool of ETHplus. While significant, this yield is transient so chose not to mention it in this report.

I agree with you on growth. Unfortunately, the Yield Protocol’s technical capabilities and ability to generate fees are inferior to the Index Protocol. Combined with the fact that a large proportion of its TVL was externally incentivised at significant cost, we’ve ended up in the situation we see today. I don’t expect TVL to return to the Yield Protocol. Instead, I think we’ll continue to see TVL decline until the protocol is eventually sunset, with USD and ETH denominated Index DTFs replacing the role that current Yield Protocol products were originally intended to serve. I don’t necessarily think that’s a bad outcome. Fee generation will benefit RSR holders and it allows the Reserve team to focus development and resources on a single protocol.