We consider the valuation of collateralized derivative contracts such as interest rate swaps or forward FX contracts. We allow for posting securities or cash in different currencies. In the latter case, we focus on using overnight index rates on the interbank market. Using time varying haircuts, we provide an intuitive way to derive the basic discounting results, keeping in line with the most standard theoretical and market views. In a number of cases associated with margining with major central counterparties, pricing rules for collateralized trades remain linear, thus the use of (multiple) discount curves. We also show how to deal with partial collateralization, involving haircuts, asymmetric CSA, counterparty risk and funding costs. We therefore intend to provide a unified view. Mathematical or legal details are not dealt with and we privilege financial insights and easy to grasp concepts and tools.JEL Classification: G01, G12, G33

We consider some pricing and risk management issues related to defaultable bonds, in the context of sovereign debt default and restructuring. Standard recovery schemes such as fractional recovery of market value, of Treasury and of face value are investigated: we discuss their consistency with market practice both from a pricing and a risk management perspective. We also pay attention to the tradable basic instruments such as defaultable discount bonds or coupon and principal strips that are the building blocks of traded level coupon bonds. Modelfree pricing formulas are provided and the use of a hypothetical default-free yield curve is challenged. We show that the fractional recovery of par involves two discount curves, one for principal payments and one for coupon payments, a departure from standard bootstrapping and pricing engines. In a second step, this pricing framework can be specialized along the modelling lines routinely used in credit derivatives markets. In light of collective action clauses applicable to the issuance of new bonds in the eurozone and the pricing characteristics of strips, we investigate some practical issues on bond and credit derivatives markets: stripping of bonds in distressed periods, implied market recovery scheme and consistent recovery rates. JEL Classification: G01, G12, G33