In this paper we use a benchmark model of sovereign debt to quantify the importance of non-fundamental risk in driving interest rate spreads during the euro-area sovereign debt crisis. Our model features debt maturity choices, risk averse lenders and rollover crises á la Cole and Kehoe (2000). In this environment, lenders’ expectations of a default can be self-fulfilling, and their beliefs contribute to variation in interest rate spreads along with economic fundamentals. We show that maturity choices of the government are informative about the prospect of a future self-fulfilling crisis. The government can reduce the occurrence of these inefficient runs by lengthening the maturity of its debt. Hence, when rollover problems are pressing, we should observe an increase in debt maturity. After fitting the model to observed maturity choices, we find that rollover risk accounts on average for 23% of Italian interest rate spreads during the episode, 14% in 2012:Q2. Our results have implications for the effects of liquidity provisions like the OMT program announced by the European Central Bank during the summer of 2012.