Net interest margin (NIM) measures net interest income per dollar of assets and remains remarkably stable for most US banks despite large fluctuations in the federal funds rate. I show that an important reason for this stability is changes in credit spreads on new assets. To derive the credit spreads, I construct a bank-specific risk-free benchmark rate for assets and infer the implied spread as the difference between the interest income rate and this benchmark. For most banks, the risk-free benchmark responds more to policy rate changes than interest expenses. Consequently, without changes in credit spreads, a 100 bp decline in the policy rate would compress average NIM by about 28 bp and expose banks to interest rate risk. NIM stability implies that most banks add new assets to their balance sheets at higher credit spreads when the policy rate falls and at lower spreads when it rises. Increases in implied credit spreads are associated with greater exposure to credit and duration risk, consistent with banks reaching for yield. The results provide a novel asset-side explanation of how NIM stability is achieved.