  In this note we prove existence of a solution to a system of Markovian BSDEs
with interconnected obstacles. A key feature of our system, and the main
novelty of this paper, is that we allow for the driver $f_i$ of the $i$-th
component of the $Y$-process to depend on all components of the $Z$-process.
This extends the existing theory on reflected BSDEs, which only addresses
problems where $f_i$ depends on $Z^i$.
