The paper investigates the relative pricing of the sovereign credit risk, by studying the relationship between sovereign CDS spreads and sovereign yields, for European countries, during and after the sovereign debt crisis. We show that after the launch of the Outright Monetary Transaction (OMT) Programme, by the European Central Bank, the relative mispricing of the sovereign credit risk has strongly reduced. We disentangle the effects of the ECB intervention on the sovereign credit risk market in different ways. We offer empirical evidence on the theoretical relationship between CDS spreads and bond yields, before and after the ECB intervention, across Eurozone and No Eurozone countries. Then, we estimate a contingent claim model for sovereign credit risk, and we shed light on the relationship between risk and return for sovereign securities. Further, we test the profitability of arbitrage strategies that exploit deviations from the equilibrium condition. As result, we provide evidence that the consistent relationship between default risk and bond yields across the Eurozone countries was restored after the ECB intervention.