A critical review of the statistics on the size and riskiness of the securitization market: evidence from Italy and other euro-area countries

The paper provides a critical analysis of the indicators most widely used at international level to measure the size and risk of the securitization market and its contribution to shadow banking. The analysis outlines the reasons why measuring the size of the market on the basis of the total assets of Financial Vehicle Corporations (FVCs) is likely to result in an overestimation of the phenomenon. An alternative measure is proposed, based on the stock of securities issued by FVCs, net of those repurchased by the banks. The paper argues against an approach to measuring the risk of shadow banking by applying the same measures for different non-bank financial intermediaries. In particular, it is suggested that some of them, such as leverage, interconnection with the banking system and credit intermediation, may be misleading if they are applied to the securitization market and assessed through the FVCs� balance sheet. The analysis, however, highlights the degree of opacity/complexity of a specific area for the analysis of risks from securitizations and proposes two new indicators. According to the proposed indicators, at the end of 2016, the Italian securitization market is smaller and less risky than that of other euro-area countries.