Domestic banks are the largest holders of securities issued by Fannie Mae, Freddie Mac and similar entities, according to data from the Federal Reserve. (About half of banks' securities portfolios are made up of mortgage bonds backed by the government.)

If a recent estimate of the impact of changes to the Home Affordable Refinance Program (HARP) on the value of mortgage bonds is on target, banks stand to absorb a $4.5 billion hit based on the proportion of the securities that they own.

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