Previous research suggests that credit rating announcements by Moody’s are anticipated by participants in the credit default swap market. In particular, it has been argued that downgrades and negative outlook reports do not contain significant information, but there seems to be anticipation of both types of ratings announcements. In this paper, we examine credit default swap spread changes conditional on a ratings announcement for European reference entities. For our sample of JP Morgan Trak-X Europe companies, we find evidence that downgrades and negative outlook reports do contain significant information, but we find no evidence that announcements are anticipated by participants in the credit default swap market. We also find evidence that, initially, credit default swap spreads do not fully adjust to the information in positive or stable outlook reports, resulting in significant post-announcement effects.