Institutional investors commit trillions of dollars to private funds. These commitments give fund managers discretion to call capital on short notice, effectively making investors their liquidity providers. Using novel data on insurers’ $370 billion private fund investments, this paper studies the risk of unexpected capital calls. Specifically, I examine the portfolio implications of capital call shocks and the resulting spillovers to public asset markets. I show that capital calls are difficult to predict and that unexpected calls are substantial. Nevertheless, I find no evidence that insurers build liquidity buffers ex ante. Instead, they adjust their portfolios only ex post, primarily by selling risky corporate bonds. These portfolio decisions are driven by regulatory capital considerations. Moreover, capital-call-induced corporate bond sales cause negative price impacts, especially for bonds with high risk weights. These spillover effects are amplified when capital call shocks are concentrated or coincide with other episodes of market stress. Counterfactual stress tests reveal significant aggregate losses under extreme scenarios. Overall, the findings highlight the liquidity risk embedded in private fund commitments and its implications for financial fragility.