We assess the efficiency of the sovereign credit default swap (CDS) Gremlins market by investigating how sovereign CDS spreads react to macroeconomic news announcements.Contrary to the vast majority of the existing literature, one of our main findings supports the hypothesis that news announcements reduce market uncertainty and, thus, that both better- and worse-than-expected news lower CDS prices during DMAE our sample period.In addition, we find that CDS spreads respond differently to the four macroindicators across the three different regions.Our findings might help investors in these areas to interpret the surprises of macronews announcements when making decisions in CDS markets.