Fannie Mae and Freddie Mac have quietly become major investors in one another’s mortgage-backed securities. The revelation was buried in the Office of Federal Housing Enterprise Oversight’s annual research paper on Fannie and Freddie and their mortgage market activities. The paper was released last week. Significantly, OFHEO revealed that Fannie Mae held $42.9 billion of Freddie Mac mortgage securities at the end of last year, up from $33.3 billion at the end of 2000.