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The financial crisis of 2007/08 caused catastrophic consequences and broughta bunch of changes around the world. Interest rates that were known to followor behave similarly of each other diverged. Furthermore, the regulation and inparticular the counterparty credit risk began to to be considered andquantified. Consequently, pre-crisis models are no longer valid. Indeed, thiswork sets the basis to define a valid model that considers the post-crisisworld assumptions for the Mexican swap market. The model used in this work wasthe proposed by Fujii, Shimada and Takahashi in [Fujii et. al., 2010b]. Thismodel allow us to value interest rate derivatives and future cash flows withthe existence of a collateral agreement (with a collateral currency). In thisdocument we build the discounting and projection curves for MXN interest ratederivatives considering the collateral currencies: USD, EUR and MXN. Also, wepresent the pricing when the derivative is uncollateralized. Finally, we showthe effect of the cross-currency swaps when valuing through differentcollateral currencies.

Pricing of Mexican Interest Rate Swaps in Presence of Multiple Collateral Currencies