Exploiting information contained in the term-structure of sovereign credit spreads, we estimate time-varying fiscal limits – defined as the maximum outstanding debt that can credibly be covered by future primary budget surpluses. Our approach is based on a novel sovereign credit risk model accounting for the joint dynamics of debt, the fiscal limit, and bond prices. The empirical analysis is carried out on ten OECD economies, covering the period from 2007 to 2018. Our fiscal limit estimates feature substantial time-variation. In line with a wide range of empirical evidence, our framework captures the nonlinear sensitivities of credit spreads to fiscal conditions. We also obtain sizeable estimates of sovereign credit risk premiums – the components of sovereign spreads that would not exist if agents were risk-neutral.