The most common and most likely answer to this crossword clue is the 7 plus 5 letter word NIAGARA FALLS
I've seen this crossword clue in The Guardian
N
I
A
G
A
R
A
F
A
L
L
S
More clues leading to the result NIAGARA FALLS
Buddy explains!
The straight part
We know that "Big drop in US/Canadian liquidity" is the straight/definition part of the clue. The straight part is often a synonym or definition, in this case big drop in us/canadian liquidity = niagara falls.The cryptic/wordplay part
In cryptic crossword there's often an wordplay/cryptic part as well.This part involves a more complex hint, such as an anagram, homophone, hidden word, etc.
Sadly, We don't have an explanation for this specific crossword clue yet.