Disclaimer: not a specialist, this is what I gather from online research and discussions on reddit (please correct me if I get anything wrong!).
The issue is with corporate debt. A lot of it is unsustainable in the event of an economic downturn [1]. Already people are leaving the junk bond market [2]. There is a risk that BBB-rated bonds will get downgraded, which would mean that pension funds can no longer keep them in their portfolio. If this happens, these bonds will move into the junk bond market, increasing supply in that market with already decreasing demand. That means that interest rates on lower-rated bonds will go up, meaning that it will become harder for companies that are not in a strong position to obtain credit, which they might need to if times get harder.
Especially in a few sectors (tourism, shipping, oil) it's clear that companies are going to get hit this year. Central banks are aware that this is an issue and they are taking some steps to soften the blow.
Still, it was the first time when lowering interest rates didn't have a huge effect on the market, so the signs are there.