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Fair point, but most people don't store their lifesavings at home though. So self-custody increases the harm of home invasion. Draconian KYC laws are a separate issue. You can still have someone custody something for you without them knowing all of your personal info. Many non-KYC custodians might be more secure than having all of your eggs in one basket, so-to-speak.
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Home invasion robbery happens every day in the U.S. The fact that one was robbed at home for bitcoin is not a function of self-custody. It is a function of other security failures. Hell, your more likely to be robbed at home by someone who got your information through KYC information loss through an exchange getting hacked.