This paper carries out an empirical investigation of the impact on bond spreads of the announcement, purchases and exit from the Swiss National Bank’s bond purchase program in 2009–2010. We find evidence in favor of a narrowing yield spread of covered bonds as a result of the program. The effect materialized in the days following the announcement of the Swiss National Bank’s intention to buy bonds issued by private sector borrowers, as markets learned that covered bonds were being bought. The specification of the bond spreads used allows us to identify this effect as a discounted portfolio balance effect of the expected purchases, as distinct from policy signaling. In contrast, we find no evidence of a further effect of the actual purchases and subsequent sales on bond spreads.