Abstract
In this paper we try and complete the analysis conducted in Castagna (2012) by investigating the valuation of collateralized derivative contracts when more than one currency are involved. This can happen for three reasons:1. The contract’s pay-off is denominated in some currency YYY but collateral is posted in another currency XXX;2. The contract is written on an FX rate;3. The contract’s pay-off depends on assets or market variables denominated in different currencies (e.g.: a cross currency interest rate swap).We will analyse all the three cases and we will define the liquidity value adjustments and funding value adjustments for such collateralized contracts
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