>> These assets will all be redeemable for par value when they mature.
This is absolutely false -- there is no guarantee of this. Agency securities pay more than treasuries because there is a risk of default (never in aggregate, but pass-thru component cashflows i.e. individual homes.) Further, there is a risk that upon default, the home isn't of sufficient value to account for the lost principal. If anyone has doubts of the potential for default of agency securities, the mortgages underneath these bonds are all publicly displayed monthly: https://singlefamily.fanniemae.com/applications-technology/f... and you can see defaults also.
>> The only impairment they have is that they pay less interest in the interim than other available bonds, because their rates were locked in before the interest rate spike.
This is a third of the story.
Second third of the story: they may less interest than advertised due to defaults/delinquencies
Third third of the story -- and most important: their value has gone down, so in the immediate term, the bank depositor cannot withdraw money (because the bond cant be sold at book value.) It is absolutely not OK to tell bank depositors to wait 10yrs while a bond bays them back little by little. Bank depositors should be able to withdraw money at any point they want.