Not sure the FX market is pricing that catastrophic risk and not simply low rates and high inflation. Why would only the FX market price it and not equities or German government bonds or vol markets?
Also, when markets generally go down, equity and FX positions are the first to be liquidated to shore up cash.
German companies have manufacturing presence all over the world, including substantial factories in the US. Those factories pay workers in dollars and sell products in dollars. They are somewhat isolated from the impacts of the EU failures.
German govt bonds are still being purchased by the ECB under QE so it makes sense their yields are suppressed.
Let me phrase it differently: I don't see the need to invoke catastrophic risk to explain current FX moves. I would expect a tail event inferred from vol markets to start with.
