Русско-англо-русский юридический словарь

Foreign exchange risk (also known as FX risk, exchange rate risk or currency risk) is a financial risk that exists when a financial transaction is denominated in a currency other than that of the base currency of the company. Foreign exchange risk also exists when the foreign subsidiary of a firm maintains financial statements in a currency other than the reporting currency of the consolidated entity. The risk is that there may be an adverse movement in the exchange rate of the denomination currency in relation to the base currency before the date when the transaction is completed. (Wikipedia)

So the fear would be that Scotland would adopt a new currency whose value would fall, relative to sterling.

Now the biggest anxiety stemming from this foreign exchange risk is that banks lending in Scotland could incur big losses, because they would be receiving repayment of loans in a soft and falling new Scottish currency, and the amount they would receive in repayments would not match what they owe depositors and other creditors in solid and rising sterling. (BBC News)