This is very much like the 2008 disaster. You effectively have debt laundering happening whereby speculative income / debt is manufactured into higher grade than it is by passing through multiple parties / steps / debt-like vehicles that look independent but in fact are all built on highly correlated factors. Downstream party D has no visibility that the specific uncertainty emanating from party A upstream is 100% correlated with their own risks, along with parties B and C through which the liability passed on the way to them. What looks like independent risks are actually all the same risk and completely fragile to a single event that has quite a high probability of occurring.