From the Collaborative Bond and Money Market Data Portal
Definition:
Weighted Average Original Term to Maturity (WAOTM) is the average of the bonds’ original legal maturities in an issue or portfolio, weighted by each bond’s share of the total principal.
In other words, for each bond (or maturity tranche) you take the number of years from issuance date to its stated final maturity (ignoring any shortening due to prepayments, calls, or amortisation actually realised), multiply that term by that bond’s proportion of the total issue size, and sum across all bonds. The result is a single number indicating, on an original-schedule basis, how long the principal of the whole bond issue or portfolio was intended to be outstanding when first structured.
Data Model: In the CMDportal Collaborative Bond and Money Market Data Model WAOTM does not appear as an attribute, but is used in the Data Sheet Reporting tool.
In a bond portfolio, WAOTM is calculated as a value‑weighted average of each holding’s original legal term (from issue date to final maturity), not the remaining life.
For each bond ii, determine its original term to maturity, in years, from the bond’s issue date to its final stated maturity date (ignore calls, prepayments, or already‑elapsed time).
Determine the weight of each bond in the portfolio, typically by market value:
wi=Market value of bond iTotal market value of the portfoliowi=Total market value of the portfolioMarket value of bond iMultiply each bond’s original term by its portfolio weight.
Sum across all bonds:
WAOTM=∑i=1Nwi×OriginalTermiWAOTM=i=1∑Nwi×OriginalTermiSuppose a portfolio holds:
Bond A: original term 3 years, market value 40
Bond B: original term 7 years, market value 60
Total market value = 100, so weights are 0.40 and 0.60. Then:
WAOTM=(0.40×3)+(0.60×7)=1.2+4.2=5.4 yearsWAOTM=(0.40×3)+(0.60×7)=1.2+4.2=5.4 yearsThat 5.4 years is the portfolio’s WAOTM.
WAOTM and WAM are both weighted-average “tenor” measures, but they differ in which maturity they use.
WAOTM: Uses each bond’s original term to maturity, i.e. years from issue date to final legal maturity as set at issuance, and then takes a value‑weighted average across the portfolio. It does not decline over time unless you change the holdings.
WAM: Uses each bond’s remaining time to maturity, i.e. years from today (or measurement date) to contractual maturity, and then takes a value‑weighted average. It naturally declines as time passes, even with unchanged holdings.investopedia+2
WAOTM is more a structural descriptor of how “long” the portfolio was originally set up to be (useful in documentation, issuance statistics, or mandate constraints tied to original tenor).
WAM is a live risk indicator, tied to current interest‑rate sensitivity and liquidity horizon; longer WAM generally implies higher price sensitivity to rate moves and slower return of principal.investingbrokers+2
WAOTM:
WAOTM=∑iwi×OriginalTermi\text{WAOTM} = \sum_i w_i \times \text{OriginalTerm}_iWAOTM=i∑wi×OriginalTermiWAM:
WAM=∑iwi×RemainingMaturityi\text{WAM} = \sum_i w_i \times \text{RemainingMaturity}_iWAM=i∑wi×RemainingMaturityiwhere wiw_iwi is typically based on market value or principal share.nabl+1
| Aspect | WAOTM | WAM |
|---|---|---|
| Underlying tenor | Original term from issue to final maturity | Remaining time from today to final maturity |
| Time evolution | Stable over time unless holdings change | Declines mechanically as time passes |
| Typical use | Structural / mandate metrics, issuance statistics | Ongoing risk management, interest‑rate sensitivity, liquidity view |
| Sensitivity to prepayments | Usually ignores realized shortening; focuses on schedule | Reflects effect via changes in remaining maturity and weights |
