Property based total return swap

This – example illustrates the position for contracts entered into on or after 1 August 2004 in an AP ending on or after 17 September 2004.

Y plc is an investment company that holds a portfolio of fixed income securities. It wishes to reduce its exposure to such securities, and gain exposure to the commercial property market. As a short-term measure, while seeking suitable property investment opportunities, it enters on 15 January 2006 into a property based total return swap. The swap has a notional principal amount of £6 million, and a maturity of 12 months.

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