Thomas Cook

All,

Please find attached out analysis on Thomas Cook.

We have decided to go short the 22s with a small offsetting position in the equity. The trade is calibrated to pay on the downside and protect us on the upside - including Brexit.

Our analysis is by no means finished, but based on Thomas’ extensive work, we think its unlikely that we will alter our fundamental position either before news flow from the company or an unlikely early M&A scenario. 

Please find the rationale and more detail in the analysis. Tomas is your analyst on the name.

Wolfgang