Unfunded fiscal expansions are a significant source of risk premia in Treasury markets when central banks and governments subsidize taxpayers at the expense of devaluing bondholders' returns through inflationary finance. We formalize this redistribution mechanism in a two-agent model that features limited asset market participation and monetary-fiscal interactions. A fiscally-led policy regime reduces bond returns in response to surprise fiscal expansions, while the redistribution effects from asset holders to hand-to-mouth agents increase the pricing kernel, making government bonds a risky asset. This fiscal redistribution risk mechanism generates sizable nominal term premia in a calibrated New Keynesian framework with partially-funded spending.