How prediction intervals are constructed depends on which method is chosen for creating prediction intervals. There's three methods: Normality, Bootstrap and PERMBU.
You can find how they work
here, there's also a link to the source paper of each of these methods in there.
The default is Normality. This assumes all timeseries follow a Gaussian distribution. It samples from a multivariate normal for each series. The intervals are subsequently constructed by quantiling the samples.
So, the intervals are made at every level by generating coherent samples for each level.