the shifting interest structure, the subordination amount may actually grow in time especially in a low default and fast prepayment environment. Using the same example of our previous $200 million deal with 7.75% initial sub- ordination and assuming a cumulative paydown (prepayments at 165 PSA and regularly scheduled repayments) of $40 million by year 3, the     subordination will actually increase to 10.7% [$15.5/($184.50 - $40)] without any net losses. Even if the subordinated classes have experi- enced some losses, say, $1 million, the subordination will still increase to 9.3% [($15.5 - $1)/($184.50 - $40)]. While the shifting interest structure is beneficial to the senior tranche from a credit standpoint, it does alter the cash flow characteris- tics of the senior tranche even in the absence of defaults. As an illustration, consider a short-term, nonagency CMO with a 7% coupon issued by Citigroup Mortgage Securities, Inc. (Class A2, Series CMSI 2000-1) issued in January 2000. Exhibit 9.14 presents the Bloomberg Security Description screen for this security. As can be seen from the screen, this senior security is designated as an accelerated secu- rity (AS) which means it receives principal payments at a faster rate than the underlying collateral. This is an example of the shifting interest structure. Note also this security is rated AAA by Standard & Poors which is indicated in the upper right-hand corner of the screen. Once again, lets analyze this securitys exposure to prepayment risk using Bloombergs PT (Price Table) function in Exhibit 9.15. We consider interest rate shocks of 100, 200, and 300 basis points. The "BWP" beside each interest rate shock is a Bloomberg-defined prepayment rate notation. For example, -100 BWP generates a prepayment vector using the Bear Stearns Whole Loan Prepayment Vectors model given a parallel interest rate shift of minus 100 basis points. The other interest rate shocks are interpreted similarly. So, as before, the interest rate shock is fed into a prepayment model that tells us how prepayments change when interest rates change. At current interest rates and prepayment speed rep- resented by +0 BWP, the securitys average life is 0.47 years. For shocks of +100, +200, and +300, prepayment speeds decrease and the average life increases. However, note the average life does not extend as much as the agency support bond analyzed earlier. The reason is that even though slowing prepayments extend tranche A2s average life, this security still receives prepayments at a faster rate than the underlying collateral. Thus, accelerated securities have greater protection from extension risk even when prepayments slow. For shocks of -100, -200, and -300, pre- payments increase and the average life shortens. Panels A and B of Exhibit 9.16 present a Bloomberg screen of this tranches paydown history from issuance in January 2000 through