This paper questions the appropriateness of using only the 5-year maturity CDS spreads to examine the CDS market response to a regulatory stress test. Since the stress testing exercises are performed on short-term forward-looking scenarios (1 to 3 years), we assume that short-term maturities of CDS spreads should be more relevant to assess the CDS market response. Based on ten regulatory stress tests conducted in Europe and in the US in the time period from 2009 to 2017, we analyze the market response by investigating its reaction through all the different CDS maturities. Our results show that whatever the maturities, the nature of the market response (to correct either the under or over evaluation of default risk) is the same. However, the extent of the response differs between short term maturities (from 6-month to 3-year) and the 5-year maturity. We often find that the lower the maturity of the CDS, the stronger the market reaction. Our result also show that the information content of the different stress tests is more diverse than what is highlighted in the existing literature.