Structured finance is one of those elusive terms that mean different things to different people. With this wonderful book, authors Fabozzi, Davis and Choudhry first explore the boundaries of what is and is not considered to be structured finance. A simple definition would be that structured finance is any form of non-traditional financing, but this begs the question of where to draw the line between traditional and non-traditional. Certainly, most people wouldn't consider a vanilla swap to be structured finance! Structured finance might be described in terms of techniques that are commonly employed—securitization, derivatives, special purpose vehicles (SPVs), leasing, project finance, etc. The authors explore this and other approaches to, if not defining structured finance, at least clarifying its boundaries.

Embracing a broad conception of structured finance, the authors then set out to describe the many facets of their conception. Chapters are devoted to credit derivatives, securitization, structured notes, leasing, project finance and more. There are thirteen chapters in all, and almost a hundred pages of appendices, which mostly dissect a number of actual structured finance deals.

There is a tremendous amount of material here. Some is covered better than the rest. I especially like the treatment of leasing and project finance. Applicable (US) tax and accounting rules are explained, so you can understand why the deals are structured as they are. By comparison, a discussion of how banks use SPVs to mitigate their Basel capital requirements doesn't identify the relevant Basel rules. A complicated structured deal is explained involving multiple parties, but the reader is left wondering why this particular structure reduces a bank's capital requirements while some other structure might not. It is kind of like telling an elaborate joke but leaving out the punch line.