The Federal Home Loan Bank of Pittsburgh expects to take additional writedowns on its $2.73 billion portfolio of private label mortgage-backed securities in the fourth quarter, a move that could make the GSE undercapitalized and endanger its shareholders — banks and thrifts primarily. In a new filing with the Securities and Exchange Commission, the government sponsored enterprise admits that it will not complete an analysis of its private label holdings until late in the first quarter.

At Dec. 31, the Pittsburgh bank held $2.43 billion in alt-A bonds with an "unrealized" loss of $847 million. Its $20 billion subprime portfolio is now valued at $15 billion.

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