This paper is the first to analyze the determinants and effects of ECB sovereign bond market interventions using micro data. We identify ECB purchases of Greek bonds using the fact that the ECB did not participate in the Greek debt exchange of March 2012, thus becoming the residual creditor. In a first step, we construct and present our new dataset, which shows a large variation in ECB holdings across the 81 Greek sovereign bonds. In total, Eurozone central banks purchased a nominal amount of €56.5bn in Greek bonds (22% of total), but the holdings are concentrated in a few instruments only. In a second step, we explore the characteristics of the Greek bonds held by the ECB. Contrary to expectations, lack of liquidity (proxied by bid-ask spreads prior to the introduction of the SMP) does not appear to have driven ECB purchases, but yield spreads did. Together with bond size (total outstanding face value), bond yields explain 85% of the variation in ECB holdings across Greek instruments. We also find that bond purchases are highly correlated with the drop in yields after the start of the SMP.