Jump-at-default exposure modeling seeks to capture the impact of hard (or systemic) wrong-way risk on counterparty credit exposure. In this work, the authors extend the jump-at-default framework to deal with embedded collateral optionality. In order to ensure a consistent treatment of the value jumps that may affect portfolio and/or collateral basket during close-out, Puetter and Renzitti propose a simple regression-based Monte Carlo approach to project these jumps. They illustrate its impact on potential future exposure and selected valuation adjustments through basic examples.