In this paper we examine the information value of sovereign credit rating reports issued by Moody’s in the sovereign credit default swaps (CDS) markets across 70 countries from 2003 to 2013. We find that the reports contain useful information beyond credit ratings, especially for the debt-related content. There is also a drop in investors’ confidence in CRA’s financial risk assessment after the 2009 Eurozone sovereign debt crisis. After decomposing the report content into the expected and surprise components, we find that both components contain useful information for the CDS markets. Overall, our study reveals important information value of sovereign credit rating reports for the sovereign CDS markets.