Consider a pass-through, starting outstanding balance of $100M with WAC of 5%, pass-through rate 4% with WAM of 357 months (so you need to season it for 3 months, start with month 4 for CPR). If prepayments are 100 PSA, complete the following table (the first month, and only outstanding balance for the second month). Show your work in detail.

Month	Outstanding balance	SMM	Mortage Payment	Interest	Scheduled principal	Prepayment	Principal	Total cash flow
1	100,000,000.00
2

SMM=1-(1-CPR)^(1/12)

For 100 PSA, CPR=6% (t/30) for t < 31 months