Abstract: 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 net external equity. Ownership matters too, private net foreign debt heightens the exchange rate sensitivity much more than public. The relationship between banking sector risk intolerance, net external asset positions and exchange rates has furthermore become stronger since the credit crisis.