US bank net interest margins were historically very correlated to the yield curve (e.g. 2s10s). However in recent years, the correlation has broken down (chart below). This has coincided with the QE era and the surge in bank reserves and cash assets held by banks.
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Rate impact on banks
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US bank net interest margins were historically very correlated to the yield curve (e.g. 2s10s). However in recent years, the correlation has broken down (chart below). This has coincided with the QE era and the surge in bank reserves and cash assets held by banks.