Many currencies, especially those of countries with negative net foreign assets, tend to depreciate during times of financial turbulence. Using a panel of 28 currencies over the period 1/1997-6/2016, I show that the composition of net foreign assets matter for the exchange rate sensitivity to changes in financial market risk tolerance. Currencies of countries with large negative net external portfolio debt are more vulnerable to changes in financial market uncertainty than currencies with the equivalent external equity liabilities. The relationship between banking sector risk intolerance, net external asset positions and exchange rates has moreover become stronger since the great financial crisis.