In the old days there was a very definite relationship between sovereign bond yields, the sovereign exchange rate and the sovereign currency interest rates. In its simplest terms weak currency equals high interest rates and high bond yields. And vice versa. So when there was high demand for a particular sovereign bond the currency would strengthen (because currency would have to be bought to buy the bond) and both the yield and interest rates would fall. All things being equal. And if the was a net selling of sovereign bonds the currency would weaken and both interest rates and yields would rise.
So non sovereign bonds in a particular currency would be issued priced relative to some bench mark sovereign bond. Like 10 year Gilts. And this would act a very simple FX / interest rate risk proxy. This worked really well until all hell broke lose in the late '60s and the whole system fell apart in the early '70’s. This would be the very simplest derivative bond product.
Nowadays things a lot more complicated but to use the example of home mortgages in a country that does not use covered bonds the mortgages could be pooled and then securitized and then either sold on or repo-ed. But the bond for the securized product would not priced relative to the home country baseline sovereign bond. As the securitized bond would be issued through a shell company in somewhere like Ireland or the UK it would be denominated in dollars or even euros but the base rate used would be LIBOR. Or some derivative from LIBOR.
Even that is a fairly simple scenario by modern standards. Basically anything that has a predicable cash flow can be turned into a bond. And for companies in the ClubMed countries when it comes to enbonding cashflows LIBOR is the only number that really matters. The domestic sovereign bond yields can go up or down but in most cases the only eurozone number that might any bearing on pricing would be exchange rate. And even the ECB cannot control that. No matter how much money they create. So for an Italian or Spanish or French company creating derivative bond products the domestic sovereign bond yield is pretty much irrelevant. At least as a first order variable in the pricing.