I was thinking more about how subprime problems can spread.
For background, the Street has been packaging many types of debt into securities. They deposit the debt (loans, bonds, mortgages, etc.) into trusts. The trust issues securities (e. g. a "collateralized loan obligation" = "CLO", etc.) in many layers of priorities & payment ranking. Most of the trust securities are highly rated based on statistical default analysis. But there are always a few layers of low rated securities and residual or equity in the trust. Who bought those? Beefers greedy for high returns, mostly. They are probably getting margin calls from their Street "buddies" who care only about their annual bonus.
So what can happen? Suppose the beefers can't / won't buy these anymore. The CBO-CDO-CLO etc. might (or has) frozen. This happened to the entire corporate bond market in 2002 after Worldcom and Enron. If the exit strategy for bonds & loans via CLO/CBO/CDO market is gone, then the debt itself might not be created. Hence a source of loss of "liquidity" for the world markets.
I think watching high yield bond spreads might give us a clue if this gets serious.