Tim XiaoData: https://finpricing.com/lib/IrBasisCurve.htmlDerivative products bear credit risk where multiple defaults may be dependent and correlated. To mitigate credit risk, collateralization is introduced. This article presents a new model for valuing financial contracts subject to credit risk and collateralization. We show that default dependency has a significant impact on asset pricing. In fact, correlated default risk is one of the most pervasive threats in financial markets. We also show that a fully collateralized swap is equivalent to a risk-free one, but a fully collateralized CDS is not. That means full collateralization cannot eliminate counterparty risk completely in the CDS market.