Victoria Ratheram from Shropshire was with her son when she was forced into the nursery that she and her husband had just completed for their second child due in four weeks.
She was then tied to a chair before the house was ransacked.
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She was last seen in Warwick earlier today.
A man, reportedly armed with a knife and a baseball bat, was detained close to the event and police cleared the area as a precaution.
Tens of thousands of people are expected to line the streets this weekend.