I figured it out.
Very simple. In the view (field collection view) clone have:
1. The first collection item
2. The second collection item (whole collection)
No relationships are necessary
Field Collection setup:
1. In the second collection item show the third collection item through field collection items in the display.
2. In the third level make sure the necessary fields are showing.
Styling:
The third level won't be styled so will have to style this is what I did:
.field-collection-container {
border-bottom: 0px solid #D3D7D9; /*changed to 0 */
margin-bottom: 0.5em; /*changed from 0*/
}
.field-collection-view {
padding: 0.5em 0 0.3em 0; /*was 1em 0 0 0.3em 0*/
margin: 0 0 0 1em;
border-bottom: 0px dotted #D3D7D9; /*changed to 0*/
}
.field-collection-container .field-items .field-items .field-item {
margin-bottom: -1em; /*changed from 0*/
}