This article seeks to consider the relationship between the sentiment of newswire messages for a set of major international banks and changes in two important credit measures; the LIBOR-OIS spread and the CDS spread. There is a significant and negative relationship between news sentiment and changes in CDS spreads; that is consistent with ex-ante expectations credit risk will decrease (increase) with positive (negative) news. This relationship is asymmetric with negative news inducing a stronger effect than does positive news. There is an apparent strengthening in this news sentiment/credit risk relationship for CDS spreads during the crisis period of 2007-2009. There is some evidence that while market determined credit measures (CDS spreads) respond to news releases, bank determined measures (LIBOR-OIS spreads) do not. Such results add to the discussion on whether banks correctly incorporate news into their own evaluation of credit risk. Understanding the behaviour of credit risk measures aids market participants, regulators, and central bankers in determining appropriate policy choices.