This paper aims at assessing the impact of Basel Committee on Banking Supervision (BCBS) liquidity regulation announcements on bank creditors. Using an event study on Credit Default Swap (CDS) data of large European banks over the 2007–2015 period, we find evidence that creditors increase their expectations of a credit event following the regulatory events, with CDS spreads widening. Results from the regression analysis show that this effect depends on bank-specific factors. Specifically, the negative CDS market reaction weakens when banks hold higher liquidity and capital ratios. Conversely, the negative CDS market reaction strengthens when banks hold a higher bad loan ratio. Provisions against loan losses positively moderate this effect. •Side effects of the Basel III liquidity regulation.•Negative effects weaken when banks are highly capitalized and have a more resilient and stable funding structure.•Measuring banks’ abnormal credit default swap spreads.