Using proprietary credit default swap (CDS) data from 2010-14, I discover that CDS markets are dominated by a handful of net protection sellers, with five sellers accounting for nearly half the market. In turn, limited risk bearing capital for these sellers affects the pricing of corporate credit risk. A one standard deviation capital loss to the CDS portfolios of the five largest sellers increases credit spreads by 1.4 percent per week. CDS portfolio performance of the five largest sellers also explains about one-eighth of variations in the price of credit risk. To alleviate identification concerns, I use heterogeneous exposure to Japanese firms following the 2011 tsunami as an exogenous source of variation in the risk bearing capacity of CDS traders. After the tsunami, spreads increased for U.S. firms whose sellers were most exposed to Japanese firms. Finally, I examine CDS transactions to exploit variation from a single buyer purchasing protection from multiple sellers. Consistent with the notion that limited risk bearing capital impacts prices, I find that sellers who have experienced losses charge higher premiums.