Emerging trends in sustainable investing and cryptoasset markets - 2022 June - Statistics and analyses
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Statistics and analyses Emerging trends in sustainable investing and cryptoasset markets June 2022
Principali tendenze
in tema di investimenti sostenibili e
criptoattività
Il presente Rapporto è stato curato da:
Nadia Linciano (coordinatrice), Valeria Caivano, Daniela Costa, Simona Di Rocco, Monica Gentile.
Si ringrazia Gaetano Finiguerra per il contributo alla definizione dei contenuti e all’organizzazione del
Rapporto.
Le opinioni espresse nel Report sono personali degli autori e non impegnano in alcun modo la CONSOB. Nel
citare i contenuti del rapporto, non è pertanto corretto attribuirli alla CONSOB o ai suoi Vertici. La copia, la
distribuzione e la riproduzione del presente Rapporto, in tutto o in parte, è soggetta a preventiva
autorizzazione scritta da parte della CONSOB.
Segreteria di redazione e progettazione grafica: Eugenia Della Libera e Lucia Pierantoni.
Per informazioni e chiarimenti scrivere a: studi_analisi@consob.it
This Report was prepared by:
Nadia Linciano (coordinator), Valeria Caivano, Daniela Costa, Simona Di Rocco, Monica Gentile.
Thanks to Gaetano Finiguerra for his contribution to the definition of contents and the organisation of the
Report.
The opinions expressed in this Report are the authors’ personal views and are in no way binding on CONSOB.
Full or partial copying, distribution and reproduction of the Report is subject to prior written authorisation
by CONSOB.
Editorial secretary and graphic design: Eugenia Della Libera and Lucia Pierantoni.
For information and clarifications write to: studi_analisi@consob.it
Tipografia Eurosia Roma, giugno 2022.
Il Rapporto analizza le principali
dinamiche in atto nell’ambito degli
investimenti sostenibili e dei mercati
delle criptoattività, anche con riguardo
a profili che possono rilevare per il
raggiungimento degli obiettivi istituzionali
della CONSOB
The Report analyses the emerging trends
in sustainable investing and in the
markets for cryptoassets, also
with regard to the developments
that can affect the achievement
of CONSOB remit
3
Nell’ultimo biennio, gli investimenti sostenibili hanno conosciuto una crescita significativa, a
fronte di un andamento altalenante dei principali benchmark azionari. A livello globale e
nell’ambito dell’area euro, gli indici che includono le società ritenute più attente ai temi della
sostenibilità (anche indici ESG da ora in poi) hanno segnato un recupero rilevante rispetto al
calo registrato nei primi mesi del 2020 in occasione dell’emergenza sanitaria innescata
dal Covid-19, attestandosi a fine maggio 2022 su livelli superiori a quelli pre-
pandemia. Sia nell’area euro sia in Italia, i benchmark ESG mostrano performance
lievemente superiori rispetto a quelle dell’intero mercato e livelli di
volatilità simili o di poco inferiori, a fronte di una composizione che
Gli investimenti
replica per almeno il 70% quella del corrispondente indice generale
di riferimento. sostenibili
Negli ultimi anni è cresciuto sia il numero di società quotate nell’area euro
e in Italia assistite da uno score ESG sia il valore medio dello score (globale e
per singolo fattore; dati Refinitiv). In ambito domestico, gli emittenti che godono di
un punteggio più elevato si connotano per una maggiore capitalizzazione di mercato e
una volatilità dei corsi azionari inferiore a quella delle altre società; essi, inoltre, sono più
frequentemente attivi nei settori delle utilities e dell’energia.
Sul fronte dell’offerta di strumenti finanziari sostenibili, l’Europa vede confermato il suo ruolo
trainante: a giugno 2022, l’aggregato globale delle emissioni di obbligazioni ESG è infatti
riferibile ai paesi europei per il 50% circa mentre il patrimonio di fondi comuni di investimento
ESG europei pesa più dell’80% sul dato globale.
Nel primo semestre 2022, le obbligazioni green costituiscono il 60% del totale emesso, seguite
dalle obbligazioni sostenibili (ossia legate al finanziamento di progetti o attività con impatti
positivi sotto il profilo sia ambientale sia sociale e pari al 26% del totale) e dalle emissioni social
(ossia finalizzate a finanziare progetti a impatto sociale positivo, pari al 14% del totale). Tra i titoli
green, poco più della metà è in linea con gli standard della Climate Bond Initiative (CBI), mentre
nei restanti casi la connotazione green delle obbligazioni viene attestata solo dall’emittente (il
dato è passato dal 10% nel 2021 al 23% nella prima metà del 2022). Nei maggiori paesi dell’area
euro le emissioni di obbligazioni ESG sono riferibili in gran parte alle società finanziarie, seguite
da quelle operanti nei settori utilities e trasporti e, dal 2020, a emittenti pubblici. In Italia, l’avvio
nel 2021 di programmi pubblici ha dato impulso alla crescita delle emissioni di titoli green,
colmando parzialmente il divario rispetto ai maggiori paesi dell’area euro.
Con riguardo al comparto dei fondi ESG, a marzo 2022 si contano quasi 5 mila fondi europei, con
un patrimonio complessivo prossimo a 2.300 miliardi di dollari, in crescita del 40% rispetto al
primo trimestre dell’anno precedente. Analoga tendenza si osserva in Italia, dove alla fine del
primo trimestre del 2022 il numero di fondi ESG è superiore a 1.900 (1.266 a marzo 2021), mentre
il patrimonio promosso si è portato a 431 milioni di euro (295 a marzo 2021).
4
Over the past two years, sustainable investments experienced a significant growth, against a
fluctuating performance of the main equity benchmarks. At the global level and within the euro
area, indices that include the companies considered most attentive to sustainability issues (also
ESG indices from now on) have shown a significant recovery from the drop recorded in the
early 2020s during the health emergency triggered by Covid-19, settling at higher levels
than the pre-pandemic ones at the end of May 2022. Both in the euro area and in
Italy, ESG benchmarks show slightly higher performance than the market as a
whole and similar or slightly lower levels of volatility, against a composition
that replicates that of the corresponding reference index by at least
Sustainable
70%.
investing In recent years, both the number of listed companies in the euro area
and Italy with an ESG score and the median value of the score (overall and
by single factor; Refinitiv data) have increased. In Italy, issuers with higher
ratings are characterised by higher market capitalisation and lower share price
volatility; they are also more frequently active in the utilities and energy sectors.
In terms of the supply of sustainable financial instruments, Europe sees its leading role
confirmed: as of June 2022, around 50% of the global aggregate of ESG bond issues refer to
European countries, while the assets of European ESG mutual funds account for more than 80 per
cent of the global figure.
In the first half of 2022, green bonds accounted for 60% of the total issued amount, followed by
sustainable bonds (i.e. linked to financing projects or activities with positive environmental and
social impacts, accounting for 26% of the total) and social bonds (i.e. aimed at financing projects
with positive social impacts, accounting for 14% of the total). Among green bonds, slightly more
than half are in line with the standards of the Climate Bond Initiative (CBI), while in the remaining
cases the greenness of the bonds is only attested by the issuer (the figure rose from 10% in 2021
to 23% in the first half of 2022). In the largest euro area countries, ESG bond issuances mostly
refer to financial companies, followed by those operating in the utilities and transport sectors
and, from 2020, public issuers. In Italy, the launch of public programmes in 2021 has boosted the
growth of green bond issues, partially closing the gap with the other main euro area countries.
With regard to ESG funds, in March 2022 the European funds was almost 5,000, with total assets
close to 2,300 billion of USD, with an year-on-year increase of 40%. A similar trend can be
observed in Italy, where at the end of the first quarter of 2022, the number of ESG funds exceeded
1,900 (1,266 as at March 2021), while the assets rose to 431 millions of euro (295 as of March
2021).
5
A partire dal 2020 il numero di criptovalute ha registrato una espansione crescente, passando da poco più di 2.400 a oltre 10.300 ad aprile 2022. Anche la capitalizzazione ha registrato un aumento significativo, sebbene rimanga contenuta nel confronto con la capitalizzazione dei mercati azionari (2,5% del valore aggregato dello S&P500 e dello Stoxx Europe 600). A fine maggio 2022, oltre il 60% della capitalizzazione totale delle criptovalute è riferibile a Bitcoin ed Ether, mentre il dato si attesta al 13% con riguardo alle stablecoins. Sono cresciute di pari passo anche le applicazioni di finanza decentralizzata (Decentralised Finance o DeFi), che attraverso infrastrutture blockchain permettono la creazione e lo scambio di prodotti e servizi finanziari legati a criptoattività, disintermediando gli operatori tradizionali e le Le criptoattività infrastrutture centralizzate. In particolare, l’ammontare del capitale depositato a garanzia nelle applicazioni DeFi (cosiddetto value locked, utilizzato come una proxy dimensionale) è passato da 16,5 miliardi di dollari a fine 2020 a circa 56 miliardi a maggio 2022 (con un picco superiore a 95 miliardi a fine 2021). Le criptovalute continuano a connotarsi per prezzi estremamente volatili e in calo dall’inizio del 2022. Nel periodo maggio 2021 – maggio 2022, la volatilità e il rendimento del Bitcoin si sono attestati su livelli rispettivamente di gran lunga superiori e di gran lunga inferiori a quelli riferibili ad alcune categorie di asset non digitali. I prezzi delle criptovalute più diffuse risultano moderatamente correlati con gli andamenti dei principali indici azionari, sebbene questo legame si sia lievemente rafforzato negli ultimi mesi. La sicurezza cibernetica delle applicazioni sottostanti alle criptoattività rimane un profilo di criticità rilevante: alcune statistiche relative a 120 piattaforme digitali dedicate a criptoattività evidenziano che solo 16 possono ritenersi molto sicure. Secondo altre fonti, inoltre, da settembre 2020 a fine maggio 2022, l’ammontare complessivo di fondi sottratti alle applicazioni DeFi a seguito di attacchi informatici ha superato i 2 miliardi di dollari, con l’incremento più consistente nel 2022. Dal 2021 è cresciuto in maniera significativa l’interesse verso le criptoattività, come attesta l’andamento del numero di ricerche effettuate in rete di termini a esse associati. Con riguardo alla quota di popolazione che possiede criptoattività, a livello globale il dato raggiunge i massimi in Ucraina e Russia (rispettivamente 13% e 12%), mentre tra le maggiori economie europee oscilla tra il 5% nel Regno Unito e il 2% in Italia. A livello globale è aumentato anche il patrimonio dei fondi comuni dedicati all’investimento in criptoattività, che secondo le stime di alcuni analisti sarebbe passato da 36 miliardi di dollari a fine 2020 a quasi 70 miliardi a marzo 2022, con una diffusione più rilevante nel Nord America. 6
Since 2020, the number of cryptocurrencies has been growing, rising from just over 2,400 to over
10,300 in April 2022. Capitalisation has also increased significantly, although it remains small in
comparison to the capitalisation of the stock markets, standing for example at 2.5 per cent of the
cumulated value of the S&P500 and the Stoxx Europe 600. At the end of May 2022, more
than 60% of the total capitalisation of cryptocurrencies is attributable to Bitcoin and
Ether, while the figure stands at 13% for stablecoins.
Decentralised finance applications (Decentralised Finance or DeFi), which
through blockchain infrastructures enable the creation and exchange of
cryptocurrency-related financial products and services,
Cryptoassets disintermediating traditional operators and centralised infrastructures,
have also grown at the same pace. In particular, the value locked in DeFi
applications (used as a size proxy) increased from 16.5 billions of USD at the
end of 2020 to about 56 billions in May 2022 (peaking at over 95 billions at the
end of 2021). Cryptocurrencies keep being characterised by extremely volatile prices
that are declining since the beginning of 2022. In the May 2021 - May2022 period, for
example, Bitcoin's volatility and returns were at levels far above and far below those of some
non-digital asset classes, respectively. The prices of popular cryptocurrencies are only mildly
correlated with the performance of major stock indices, although this link has strengthened
slightly in recent months.
The cybersecurity of applications underlying cryptoassets remains a major critical profile: some
statistics on 120 digital platforms dedicated to cryptoassets show that only 16 can be considered
very secure. Moreover, according to other sources, from September 2020 to end of May 2022, the
total amount of funds stolen from DeFi applications as a result of cyber-attacks exceeded 2
billions of USD, with the most significant growth in 2022.
Since 2021, interest in cryptocurrencies has grown significantly, as evidenced by the uprise in the
number of searches made online for terms associated with them. The share of population owning
cryptoassets peaks in Ukraine and Russia (13% and 12% respectively), while among the major
European economies it ranges from 5% in the UK to 2% in Italy. Globally, mutual funds dedicated
to cryptoassets have also increased, especially in North America, with some estimates pointing to
a rise in their assets under management from 36 USD billion at the end of 2020 to almost 70 USD
billion in March 2022.
7
SOMMARIO
1. Investimenti sostenibili 10
2. Criptoattività 20
1. Sustainable investing 10
2. Cryptoassets 20
9
Investimenti sostenibili Sustainable investing
Andamento dei mercati Score e rating ESG Strumenti finanziari sostenibili Market trends ESG scores and ratings Sustainable financial instruments
CONSOB Emerging trends in sustainable investing and cryptoasset markets – June 2022
Andamento di mercato
1.1 Andamento di mercato degli indici azionari ESG a livello globale 14
1.2 Andamento di mercato delle principali società quotate ESG nell’area euro 14
1.3 Rendimento medio dell’indice ESG Stoxx 50 leaders rispetto all’indice ESG Stoxx 50 14
1.4 Andamento di mercato delle principali società quotate ESG in Italia 15
Score ESG
1.5 ESG scores delle principali società quotate nell’area euro e in Italia: andamento per
settore 15
1.6 ESG scores delle principali società quotate nell’area euro e in Italia: andamento per
pillar 15
1.7 Caratteristiche delle società quotate in Italia per ESG score 16
Strumenti finanziari sostenibili
1.8 Emissioni di obbligazioni ESG a livello globale per paese e tipo di emissione 16
1.9 Emissioni di obbligazioni ESG nei maggiori paesi dell’area euro 17
1.10 Lista dei ‘Green e Social Bond’ di Borsa Italiana 17
1.11 Patrimonio e raccolta dei fondi comuni ESG 18
1.12 Patrimonio degli ETF ESG a livello globale 18
1.13 Fondi comuni ESG in Italia 18
12SUSTAINABLE INVESTING
Markets trends
1.1 ESG global stock market trend 14
1.2 ESG stock market trend in the euro area 14
1.3 ESG Stoxx 50 leaders index average return compared to ESG Stoxx 50 14
1.4 ESG stock market trend in Italy 15
ESG scores
1.5 Listed firm ESG scores in the euro area and in Italy: trends by sector 15
1.6 Listed firm ESG scores in the euro area and in Italy: trends by pillar 15
1.7 Attributes of Italian listed firms by ESG score 16
Sustainable financial instruments
1.8 Global ESG bond issues by country of issue and type of issuance 16
1.9 ESG bond issuance in the main euro area countries 17
1.10 The ‘Green e Social Bond’ list of Borsa Italiana 17
1.11 Net assets and net sales of ESG funds 18
1.12 ESG ETF assets at the global level 18
1.13 ESG funds in Italy 18
13CONSOB Emerging trends in sustainable investing and cryptoasset markets – June 2022
MARKETS TRENDS
Fig. 1.1 – ESG global stock market trend
(daily data up to 31 May 2022; 1st January 2019=100)
environmental governance social
ESG Stoxx Global index ESG Stoxx Global index by pillar
160 160
130 130
100 100
70 70
2019 2020 2021 2022 2019 2020 2021 2022
Source: Refinitiv Datastream.
Fig. 1.2 – ESG stock market trend in the euro area
EuroStoxx 50 ESG leaders Euro Stoxx 50
euro area
(daily data up to 31 May 2022; 1st January 2019=100)
160 70%
130
28% 25%
100
70
2019 2020 2021 2022 overlapping degree volatility Jan-May 2022 volatility Jan-May 2022
May 2022 Euro Stoxx 50 Euro Stoxx 50 ESG leaders
Source: Refinitiv Datastream. The right figure reports the proportion of overlapping constituents of Euro Stoxx 50 and Euro Stoxx 50
ESG leaders; volatility is the annualized standard deviation expressed in percentage values.
Fig. 1.3 – ESG Stoxx 50 leaders index average return compared to ESG Stoxx 50
Euro Stoxx 50 ESG leaders Euro Stoxx 50
average daily return degree of coherence between MSCI and Stoxx ESG indexes
in the euro area
0.09% 0.09% 0.08% 0.07%
0.997
0.987
0.977
-0.02% -0.03%
-0.05%-0.06% 0.964
-0.11% -0.12%
0.937
2018 2019 2020 2021 Jan-May 2022
2018 2019 2020 2021 Jan-May-2022
Source: calculations on Refinitiv Datastream data. The right figure reports the pairwise correlation between Euro Stoxx 50 ESG leaders
and MSCI EMU ESG leaders.
14SUSTAINABLE INVESTING
Fig. 1.4 – ESG stock market trend in Italy
Ftse Mib Mib ESG
Italy
(daily data up to 31 May 2022; 18 October 2021=100)
110
75%
100
28% 28%
90
80 overlapping degree volatility Jan-May 2022 volatility Jan-May 2022
2021 2022
May 2022 Ftse Mib Mib ESG
Source: calculations on Refinitiv Datastream data. The right figure reports the proportion of overlapping constituents of Ftse Mib and
Mib ESG; volatility is the annualized standard deviation expressed in percentage values. Mib ESG index was launched on the 18 October
2021.
ESG SCORES
Fig. 1.5 – Listed firm ESG scores in the euro area and in Italy: trends by sector
June 2007 June 2020 June 2021 May 2022
euro area Italy
83 83 84 83 85 86 80 81
75 78 77 80
72 72
64 63 65 66 66 68
52 54
44
32
financials utility/energy other non financials financials utility/energy other non financials
Source: calculations on Refinitiv Datastream data. Refinitiv ESG scores range between 0 (minimum value) and 100 (maximum value)
and refer to EuroStoxx50 and Ftse Mib constituent lists. Out of EuroStoxx50 firms, issuers with an ESG score were 46 in 2007 and 50
in 2022. Out of Ftse Mib firms, issuers with an ESG score were 21 in 2007 and 39 in 2022. Sectors correspond to ICB industry
classification taxonomy.
Fig. 1.6 – Listed firm ESG scores in the euro area and in Italy: trends by pillar
June 2007 June 2020 June 2021 May 2022
euro area Italy
81 83 84 85 79
76 78 75 75 77
69 73 67 69
72 69
61 59 62
55
47 51
43
30
environmental social governance environmental social governance
Source: calculations on Refinitiv Datastream data. Refinitiv ESG scores range between 0 (minimum value) and 100 (maximum value)
and refer to EuroStoxx50 and Ftse Mib constituent lists. Out of EuroStoxx50 firms, issuers with an ESG score were 46 in 2007 and 50
in 2022. Out of Ftse Mib firms, issuers with an ESG score were 21 in 2007 and 39 in 2022.
15CONSOB Emerging trends in sustainable investing and cryptoasset markets – June 2022
Fig. 1.7 – Attributes of Italian listed firms by ESG score
(data as of end of May 2022)
> median ESG scoreSUSTAINABLE INVESTING
Fig. 1.9 – ESG bond issuance in the main euro area countries
(yearly data up to May 2022; amounts in billions of euro)
CBI green self-labeled green banks other financials industrials
social sustainability utilities and trasports public other
by type of issue by sector of issuer
120 100%
100 80%
80
60%
60
40%
40
20 20%
0 0%
2020
2021
2022
2020
2021
2022
2020
2021
2022
2020
2021
2022
2020
2021
2022
2020
2021
2022
2020
2021
2022
2020
2021
2022
Italy France Germany Spain Italy France Germany Spain
Source: Refinitiv Eikon. CBI green category includes green bonds certified by the Climate Bond Initiative (CBI) and green bonds aligned
to CBI requirements. Data retrieved on 18 May 2022.
Fig. 1.10 – The ‘Green e Social Bond’ list of Borsa Italiana
share of amount outstanding share
number of ESG bonds
ESG bond distribution by type (Apr-2022)
225 49%
209
44%
136 30%
27%
86 20%
72
54 12% 12%
7%
2017 2018 2019 2020 2021 Apr-22 green social sustainable other
share of amount outstanding share
ESG bond distribution by exchange (Mar-2022) ESG bond distribution by sector (Apr-2022)
53% 57%
48%
32%
19% 23%
10% 10% 13% 11%
8% 7% 7%
2% 1%
Mot Mot/ ExtraMot ExtraMot/ EuroTLX supranational corporate bank government insurance
EuroTLX EuroTLX
Source: Borsa Italiana. ‘Other’ includes infrastructure green, infrastructure social, infrastructure sustainable, SDG linked, transition,
climate action bonds.
17CONSOB Emerging trends in sustainable investing and cryptoasset markets – June 2022
Fig. 1.11 – Net assets and net sales of ESG funds
(amounts in billions of USD)
2021 Q1 2022 number of funds Q4 2021 Q1 2022
net assets net sales
4,958
555 939 113.1
2,231 2,276
78
357 343 14.2 15.1
156 158 11 8
Europe US others Europe US others
Source: Morningstar, Global Sustainable Fund Flows January 2022, and April 2022. The Morningstar global sustainable fund universe
includes open-end funds and ETFs that, by prospectus or other regulatory filings, claim to focus on sustainability, impact, or
environmental, social, and governance factors.
Fig. 1.12 – ESG ETF assets at the global level
(amounts in billions of USD)
391 378
203
78
39 41
23
2016 2017 2018 2019 2020 2021 Feb-22
Source: Statista.
Fig. 1.13 – ESG funds in Italy
net sales net assets number of funds
art. 8 SFDR art. 9 SFDR non-ESG
trend over time 1,902 distribution by net assets
500 1,766
1,497
400 1,381
1,266
24% 33%
300
Q1 2021 3%
200 517
396 63% 74%
266 299 328 4%
100 185 207 223
108 154164 170
39 38 38 37 43 44 49 50 51 55 58 62 68 75 75 89
0 Q1 2022
2014 2015 2016 2017 2018 2019 2020 2021 2022
Source: Assogestioni. Art 8 SFDR and art.9 SFDR categories include funds promoting 'environmental or social characteristics' and funds
targeting 'sustainable investments', within the meaning of, respectively, of article 8 and 9 of Regulation (EU) 2019/2088 on
sustainability-related disclosures in the financial services sector (SFDR).
1819
Criptoattività Cryptoassets
Dimensione dei mercati Principali dinamiche dei mercati Interconnessione con mercati tradizionali Profili di cybersecurity Interesse nelle criptoattività Size of the markets Main markets trends Linkages with equity markets Cybersecurity issues Interest in cryptoassets
CONSOB Emerging trends in sustainable investing and cryptoasset markets – June 2022 Dimensione dei mercati 2.1 Numero di criptovalute nel tempo 26 2.2 Evoluzione della capitalizzazione delle criptovalute e di altre attività 26 2.3 Capitalizzazione di mercato delle criptovalute e del mercato azionario 27 2.4 Principali criptovalute per capitalizzazione di mercato 27 2.5 Principali stablecoins per capitalizzazione di mercato 27 2.6 Riserve delle principali stablecoins 28 2.7 Principali piattaforme di scambio centralizzate di criptovalute 28 2.8 Finanza decentralizzata 28 2.9 Principali piattaforme di scambio decentralizzate 29 2.10 Funding delle imprese operanti nel settore delle blockchain 29 2.11 Consumo energetico totale del Bitcoin e potenza generata per paese 29 Principali dinamiche dei mercati 2.12 Andamento dei mercati delle criptovalute 30 2.13 Andamento dei mercati delle stablecoins 30 2.14 Andamento dei futures sulle principali criptovalute 31 2.15 Volume di scambi sulle piattaforme dei derivati su criptoattività 31 2.16 Profilo rischio rendimento del Bitcoin rispetto ad asset non digitali 31 22
CRYPTOASSETS
Size of the markets
2.1 Number of cryptocurrencies over time 26
2.2 Capitalisation of cryptocurrencies and other assets over time 26
2.3 Cryptocurrency and equity market capitalisations 27
2.4 Main cryptocurrencies by market capitalisation 27
2.5 Main stablecoins by market capitalisation 27
2.6 Reserves of the main stablecoins 28
2.7 Main cryptocurrency centralised exchanges 28
2.8 Decentralised Finance (DeFi) 28
2.9 Main decentralised exchanges 29
2.10 Funding of companies operating in blockchain sector 29
2.11 Bitcoin total energy consumption and hashrate by country 29
Main markets trends
2.12 Trends in cryptocurrency markets 30
2.13 Trends in stablecoin markets 30
2.14 Trends in futures of main cryptocurrencies 31
2.15 Turnover of crypto derivatives exchanges 31
2.16 Bitcoin returns and volatility compared to non-digital assets 31
23CONSOB Emerging trends in sustainable investing and cryptoasset markets – June 2022
Interconnessioni con i mercati tradizionali
2.17 Andamento della correlazione fra le principali criptovalute e alcune attività 32
2.18 Correlazioni medie fra le principali criptovalute e alcune attività nel periodo di
tempo considerato 32
Profili di cybersecurity
2.19 Distribuzione delle piattaforme centralizzate di scambio di criptoattività per grado di
sicurezza cibernetica e per livello di affidabilità 33
2.20 Valore delle criptovalute ricevute da indirizzi illeciti 33
2.21 Segnalazioni di frodi alla Federal Trade Commission statunitense relative a
criptovalute 34
2.22 Ammontare dei fondi sottratti alle applicazioni DeFi da hackers 34
Interesse nelle criptoattività
2.23 Evoluzione dell’interesse nelle criptoattività in base alle ricerche effettuate in rete 35
2.24 Possessori di criptoattività per paese 35
2.25 Patrimonio gestito dai fondi che investono in criptoattività 36
24CRYPTOASSETS
Linkages with traditional markets
2.17 Trends in the interconnection among main cryptocurrencies and selected
assets 32
2.18 Interconnections among main cryptocurrencies and selected assets over
selected period 32
Cybersecurity issues
2.19 Centralised cryptoasset exchanges by cybersecurity and trust scores 33
2.20 Total values of cryptocurrencies received by illicit addresses 33
2.21 Cryptocurrency frauds reported to the US Federal Trade Commission 34
2.22 Amount of stolen funds from DeFi projects by hackers 34
Interest in cryptoassets
2.23 Interest in cryptocurrencies over time based on the web searches 35
2.24 Owners of cryptoassets by country 35
2.25 Assets under management of funds investing in cryptoassets 36
25CONSOB Emerging trends in sustainable investing and cryptoasset markets – June 2022
SIZE OF THE MARKETS
Fig. 2.1 – Number of cryptocurrencies over time
thousands of cryptocurrencies ceased cryptocurrencies
10.3 752
8.6
309 331
4.1 292
255
2.4 183
2.1
1.4 105 83
75
0.5 0.6 0.7
0.1
Jun-22
2014
2015
2016
2017
2018
2019
2020
2021
2013
2014
2015
2016
2017
2018
2019
2020
2021
Apr-22
Source: calculations on Statista data and Coinopsy data https://www.coinopsy.com/dead-coins/. Figure on the right refers to
cryptocurrencies that: have been abandoned, used as scam, whose website is down, have no nodes, have wallet issues, don’t have social
updates, have low volume or whose developers have walked away from the project.
Fig. 2.2 – Capitalisation of cryptocurrencies and other assets over time
(billions of USD)
2017 2021 growth 2017-2021
289%
56% 42% 16%
326,500
280,600
124,100
87,488
2,396 9,038 14,091
616
cryptocurrencies precious metals equities real estate
Source: calculations on Statista data. Precious metals represents the most reliable estimate for the total cumulative weight of gold,
silver, platinum, and palladium mined at the end of the year, including all prior years, multiplied by the spot price of each metal, usually
at the London Commodity Exchange, on the last trading day of the year for the given exchange, usually December 30. Estimates on
mined weight of any given metal were taken primarily from the US Geological Survey, and supplemented by literature and secondary
sources, particularly for platinum and palladium, for which data is scarce. Equities represents the combined annualized market
capitalisation of companies listed on all exchanges that are a member of the World Federation of Exchanges (WFE). Real estate
represents an estimation that includes both residential and commercial real estate, as well as agricultural land. Estimates are based on
statistics and fair market value of real estate on the market.
26CRYPTOASSETS
Fig. 2.3 – Cryptocurrency and equity market capitalisations
(average values between 31 May 2021 and 31 May 2022)
amount (bln euro) volatility (percentage values)
51,872 59
32,925
17 18
10,238 15
1,058
crypto-currencies Stoxx Europe 600 S&P 500 Stoxx Global 1800 Stoxx Global 1800 Stoxx Europe 600 S&P 500 crypto-currencies
Source: calculations on Refinitiv Datastream data. As for cryptocurrencies, calculations refer to Bitcoin, Ethereum and Litecoin. Figure
on the right reports volatility estimated as the annualized standard deviation computed on daily capitalisation changes over 31 May
2021 – 31 May 2022.
Fig. 2.4 – Main cryptocurrencies by market capitalisation
31 May 2021 31 May 2022 Bitcoin Ethereum Litecoin
billions of euro daily data up to 31 May 2022; 29 April 2021=100
573 563 200
150
100
228 225
50
10 5 11 3 13 4 11 3 8 3 4 2
0
Bitcoin Ether Litecoin Bitcoin Uniswap Chainlink Stellar Filecoin 2021 2022
cash
Source: calculations on CoinMarketCap data. Figure on the left reports data on cryptocurrencies included in the Nasdaq Crypto Index.
Fig. 2.5 – Main stablecoins by market capitalisation
(billions of USD)
4 April 2021 4 April 2022
82
51 52
18 17
14
7 10
2 4 1 1 1 1 2 1.21 0.28
0 0 0
Tether Usd Coin Binance Usd Terra Usd Dai True Usd Pax Dollar Neutrino Fei Usd Reserve
rights
Source: calculations on Statista data.
27CONSOB Emerging trends in sustainable investing and cryptoasset markets – June 2022
Fig. 2.6 – Reserves of the main stablecoins
cash/bank deposits/treasury bills commercial paper corporate bonds
secured loans other USD Coin
Ethereum wrapped Bitcoin other crypto assets
reserves share reserves (USD bln)
Tether 61% 24% 4% 5% 6% 82
USD Coin 100% 49
Binance USD 100% 18
DAI 28% 38% 10% 24% 7
Source: Company websites. Reserves are as of March 2022 for Tether, April 2022 for USD Coin, April 2022 for Binance USD and June
2022 for DAI. At the time, DAI collateralization is more than 150% while the other stablecoins have assets valued at least equal to their
outstanding issuance.
Fig. 2.7 – Main cryptocurrency centralised exchanges
(billions of USD)
13.0
5.0 4.6
3.8
3.0 3.0 2.7 2.3 2.2 2.1 2.0 1.9 1.9 1.8 1.7 1.7 1.6 1.6 1.5 1.4
Source: calculations on Statista data. Main cryptocurrency exchanges based on 24h volume in the world on May 2, 2022.
Fig. 2.8 – Decentralised Finance (DeFi)
(billions of USD)
total value locked (31 May 2022) global total value locked per segment across DeFi blockchains (March 2022)
95.4
decentralized exchanges 70
59.3 55.6
decentralized lending 54
16.5
bridge 34
0.1 0.2 0.3 0.6 0.7 2.1
Dec-18
Dic-19
Dec-20
Dec-21
May-22
Jan-18
Jun-18
Jun-19
Jun-20
Jun-21
yield farming 23
Source: https://defipulse.com (USD prices for token data provided by CoinGecko), DeFi Lama, Statista. Total value locked is the total
value of cryptoassets locked in DeFi applications and is calculated as total number of tokens held by a protocol multiplied by token
price expressed in USD. ‘Decentralised exchange’ is an exchange that does not require users to deposit funds to start trading and does
not hold the funds on behalf of the users as they trade directly from their own wallets. ‘Decentralised lending’ means lending from
decentralised providers. ‘Bridge’ are protocols that connect tokens from one network to another. ‘Yield farming’ or liquidity mining
allows DeFi market participants to lock up their crypto-asset holdings in applications and receive rewards in exchange of the provision
of liquidity to the system.
28CRYPTOASSETS
Fig. 2.9 – Main decentralised exchanges
(data at 31 May 2022)
number of coins traded (rhs) market share by volume (%)
36.2%
4446
9.9% 8.3%
3.8% 2.8%
425
16 25 35
Uniswap (v3) Pancake swap (v2) Uniswap (Optimism) Curve finance Uniswap Polygon
Source: CoinGecko. Market share by volume is the percentage of total volume traded on all the decentralised exchanges as it is reported
by CoinGecko. Decentralised exchanges, whose market share by volume is less than 2.5%, are discarded.
Fig. 2.10 – Funding of companies operating in blockchain sector
exchanges DeFi custodian NFTs others deals US Asia Europe LatAm Canada others
funding and deals by type of activity funding by location
1,247
5%
30
12%
890 878
18%
20 662
14% 2020 54% 2021
56%
332 23%
10
190 187
12%
0
2015 2016 2017 2018 2019 2020 2021
Source: CB Insight. Data include equity financings into private companies only. Funding rounds raised by public companies of any kind
on any exchange are excluded, even if they received investment from a venture firm.
Fig. 2.11 – Total Bitcoin energy consumption and hashrate by country
monthly electricity consumption (TWh) Ireland Germany Canada Kazakhstan Iran
cumulative consumption (TWh) - right scale Malaysia USA Russia other China
total Bitcoin electricity consumption evolution of country share of global hashrate (monthly average)
14 350 100%
12 300
80%
10 250
8 200 60%
6 150 40%
4 100
20%
2 50
0 0 0%
2017 2018 2019 2020 2021 2022 2019 2020 2021 2022
Source: Cambridge Energy Consumption Index. In the left graph, monthly electricity consumption figures are the sum of daily
consumption figures calculated by assuming constant power usage over 24 hours at the daily best-guess estimate of Bitcoin’s network
power demand. The cumulative consumption is the sum of monthly totals. In the right graph, hashrate measures the total computing
power in proof-of-work network like Bitcoin.
29CONSOB Emerging trends in sustainable investing and cryptoasset markets – June 2022
MAIN MARKETS TRENDS
Fig. 2.12 – Trends in cryptocurrency markets
(daily data up to 31 May 2022; 29 April 2020=100)
CMC 200 Crypto Index Six Crypto Market Index Nasdaq Crypto Index (rhs)
performance volatility
1,000 150 3,000
800 120 2,500
2,000
600 90
1,500
400 60
1,000
200 30 500
0 0 0
2020 2021 2022 2020 2021 2022
Source: calculations on Refinitiv data. Nasdaq crypto index tracks the performance of digital assets traded in US$; its current
composition is: Bitcoin (weight equal to 67%), Ethereum (weight equal to 30%), Litecoin (weight equal to 0.75%), Chainlink (weight
equal to 0.64%), Uniswap (weight equal to 0.35%), Bitcoin cash (equal to 0.44%), Stellar Lumens (weight equal to 0.32%), Filecoin
(weight equal to 0.3%), Axie Infinity (weight equal to 0.36%), Sandbox (weight equal to 0.27%). CMC 200 Index includes first 200
cryptocurrencies by market capitalisation. Six Swiss 10 crypto index includes the first 10 cryptocurrencies by market capitalisation
traded on Swiss Stock Exchange. Figure on the right reports volatility computed as the difference between the highest and the lowest
price recorded during each day (range based indicator).
Fig. 2.13 –Trends in stablecoin markets
(daily data up to 31 May 2022)
Tether USD Coin Binance USD Terra Luna Dai
FS stablecoin index capitalisation (29 April 2021=100)
102 750
100 600
98 450
96 300
94 150
92 0
2021 2022 2021 2022
Source: Refinitiv Datastream, Nasdaq, CoinMarketCap. FX stablecoin index includes main stablecoins traded in US$ by market
capitalisation. Terra Luna capitalisation data are not available after 30/04/2022.
30CRYPTOASSETS
Fig. 2.14 – Trends in futures of main cryptocurrencies
(daily data up to 31 May 2022)
price (1st June 2018=100) Bitcoin
volume traded (rhs; millions; 1-mth moving average) Ether
futures on Bitcoin spot market volume traded (USD bln; 1-mth moving average)
1,000 20 100
80
750 15
60
500 10
40
250 5
20
0 0 0
2018 2019 2020 2021 2022 2020 2021 2022
Source: calculations on Refinitiv Datastream and CoinmarketCap data. Figure on the left reports the volume measured as total number
of contracts.
Fig. 2.15 – Turnover of crypto derivatives exchanges
(daily data up to 23 May 2022)
centralised exchanges decentralised exchanges
volume traded (USD bln; 1-mth moving average)
250
200
150
100
50
0
2021 | 2022
Source: calculations on Coingecko data. Data are related to the main crypto derivatives markets, 48 centralised exchanges and 7
decentralised exchanges. The volume traded is represented as an amount.
Fig. 2.16 – Bitcoin returns and volatility compared to non-digital assets
(average values between May 2021 and May 2022)
volatility asset class average return
4.8%
81%
1.3%
44%
30% -0.1%
-0.9%
17%
13%
-4.8%
Bitcoin Euro/$ oil S&P500 gold oil gold S&P500 Euro/$ Bitcoin
exchange rate exchange rate
Source: calculations on Refinitiv Datastream data. Figure on the left reports volatility estimated as the annualized standard deviation
computed on monthly return from 30 April 2021 to 30 April 2022. Figure on the right reports monthly average return.
31CONSOB Emerging trends in sustainable investing and cryptoasset markets – June 2022
LINKAGES WITH TRADITIONAL MARKETS
Fig. 2.17 – Trends in the interconnection among main cryptocurrencies and selected assets
(weekly data up to 31 May 2022)
S&P 500 Stoxx Europe 600 Ftse Mib ethereum gold
1
0.8
0.6
0.4
0.2
0
-0.2
Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
2020 2021 2022
Source: calculations on Refinitiv Datastream data. In the graph 52-week rolling pairwise correlations between Bitcoin and S&P500,
Stoxx Europe 600, Ftse Mib, Ethereum, gold return time series are represented. Gold correlations are computed on Goldman Sachs gold
index.
Fig. 2.18 – Interconnections among main cryptocurrencies and selected assets over selected periods
Jul 21 - Dec 21 Jan 22 - May 22
bitcoin ethereum
0.38 0.37
0.31
0.35
0.31 0.30 0.33 0.35 0.31 0.31 0.31
0.29
0.06
-0.03
-0.07 -0.10
S&P 500 Stoxx Europe 600 Ftse Mib gold S&P 500 Stoxx Europe 600 Ftse Mib gold
Source: calculations on Refinitiv Datastream data. In the graph pairwise correlations are represented. Gold correlations are computed
on Goldman Sachs gold index.
32CRYPTOASSETS
CYBERSECURITY ISSUES
Fig. 2.19 – Centralised cryptoasset exchanges by cybersecurity and trust scores
(distribution by score)
Jun-21 May-22
cybersecurity score trust score
40% 32%
20% 19%
25%
12% 13% 13%
18% 12%
17%
8% 7% 8% 9% 9% 9%
8%
7%
4% 4% 5%
DDD-D CCC-C BBB-B AAA-A 1-2 3 4 5 6 7 8 9 10
Source: Coingecko. Figure on the left reports data referring to 120 exchange platforms that are currently assigned a cyber score. The
cyberscore evaluates how well prepared an exchange is against external facing threats towards its platform (servers, web services,
front-end), users (account safety features) etc. Figure on the right reports data referring to 379 platforms that are currently assigned a
trust score. The trust score is an indicator of the availability and the reliability of statistics (such as volume traded, historical trading
data, bid-ask spreads, tickers data, order book data) provided by the platform; the higher the values of the trust score the higher is rated
the information made available by the platform. For methodological details on trust and cyber score see
https://blog.coingecko.com/trust-score-explained/.
Fig. 2.20 – Total values of cryptocurrencies received by illicit addresses
(billions of USD)
14.0
11.7
7.8
4.6 4.4
2017 2018 2019 2020 2021
Source: Chainalysis. The 2022 Crypto Crime Report.
33CONSOB Emerging trends in sustainable investing and cryptoasset markets – June 2022
Fig. 2.21 – Cryptocurrency frauds reported to the US Federal Trade Commission
(amounts in millions of USD for the figure on the left; amounts in USD for the figure on the right)
reported cryptocurrency fraud losses median reported cryptocurrency fraud losses by age
680 11,708
8,500
8,100
329
5,000
3,200
130 2,500
1,600
1,000
12 33
2018 2019 2020 2021 Mar-22 18-19 20-29 30-39 40-49 50-59 60-69 70-79 >80
Source: Federal Trade Commission (FTC). The Federal Trade Commission (FTC) is the main agency that collects scam reports inside the
United States through the following link https://reportfraud.ftc.gov/#/ . The figure on the right refers to the data collected from 1st
January 2021 through 31 March 2022.
Fig. 2.22 – Amount of stolen funds from DeFi projects by hackers
(monthly data up to May 2022; amounts in millions of USD)
using flash loans without using flash loans
cumulative amount stolen monthly amount stolen
2,500 800
2,000
600
1,500
400
1,000
200
500
0 0
2020 2021 2022 2020 2021 2022
Source: The Block, https://www.theblockcrypto.com/data/decentralized-finance/exploits. Flash loans are undercollateralized lending
features commonly used in decentralised finance (DeFi) hacks. Data as of May 2022 are incomplete.
34CRYPTOASSETS
INTEREST IN CRYPTOASSETS
Fig. 2.23 – Interest in cryptocurrencies over time based on the web searches
(monthly data up to May 2022)
bitcoin ethereum crypto-currency platform 1
global Italy
100 100
75 75
50 50
25 25
0 0
2015 2016 2017 2018 2019 2020 2021 2022 2015 2016 2017 2018 2019 2020 2021 2022
Source: Google Trends. Volume of searches made on Google of the words 'bitcoin', 'ethereum', 'cryptocurrency' and the name of the
largest crypto exchange platform (platform 1 in the graphs). Indices are calculated as the ratio between the number of searches on a
topic and the total number of searches made in each geographical area over the period considered. Indices range between 0 and 100,
where 100 represents the highest frequency of searches detected.
Fig. 2.24 – Owners of cryptoassets by country
(data as of 2021, share of country population in percentage; millions of owners in brackets)
top five countries main European countries
Ukraine 12.7% (5.6) UK 5.0% (3.4)
Russia 11.9% (17.4) France 3.3% (2.2)
Venezuela 10.3% (2.9) Germany 2.6% (2.2)
Kenya 8.5% (4.6) Spain 2.5% (1.2)
US 8.3% (27.5) Italy 2.2% (1.3)
Source: TripleA; https://triple-a.io/crypto-ownership/.
35CONSOB Emerging trends in sustainable investing and cryptoasset markets – June 2022
Fig. 2.25 – Assets under management of funds investing in cryptoassets
(amounts in billions of USD)
Africa Asia Europe
Middle East North America other
cumulative AUM
distribution by region
70 69
5%
58 60
52 20%
36
25 53% 20%
19 19 22
18 19
14
8 10
2018 2019 2020 2021 2022
Source: Crypto Fund Research; https://cryptofundresearch.com/q1-2022-crypto-fund-report/. Figures refer to crypto hedge funds,
venture funds, hybrid funds, private equity funds, fund of funds, and passive funds. Regional composition is based on the fund’s primary
office location.
36CRYPTOASSETS
37CONSOB ESG and cryptocurrencies – July 2022
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