The reason for this is that banks typically price their loans off market interest rates, and in some instances they use the prevailing sovereign yield curve. This could lead to banks pricing loans differently when short-term rates diverge, thereby affecting the ultimate borrowing conditions of households and firms.
In other words, it may well matter for banks whether the actual opportunity cost for issuing a short-term loan is –70 basis points, the year-to-date average of the yield of a three-month German Treasury bill, or –33 basis points, the current rate of the three-month EURIBOR.