The retained portfolios of Fannie Mae and Freddie Mac moved in different directions somewhat during February, but one theme they shared was a continuation of their shift into non-agency mortgage-backed securities – subprime and Alt A securities backed by conforming-balance loans. Fannie sold about $5.14 billion from its mortgage portfolio, which contributed to a $4.47 billion drop in the government-sponsored enterprise’s retained holdings during the month. At the same time, … [One data table included]