Frost quits JP Morgan Chase

Tim Frost, European head of credit sales and trading at JP Morgan Chase, has resigned to pursue other interests. Frost joined JP Morgan in 1995 and helped his firm become a dominant force in the fast-growing credit default swaps market. By the time of the merger with Chase Manhattan in early 2001, JP Morgan was the biggest player by volume in the market, and Frost’s position in JP Morgan Chase was assured.

Frost played an important role in fostering transparency in vanilla credit derivatives, working on inter-bank initiatives such as standardisation of documentation, the compilation of reference entity databases and the development of the Trac-x suite of credit index products. Meanwhile, he successfully steered his desk through a number of difficult credit events, including Argentina, Enron and Railtrack. As JP Morgan Chase increased its dominance in the market, US Federal Reserve chairman Alan Greenspan was prompted to make a thinly disguised reference to the bank’s 60% market share.

However, by late 2003 the market was changing. Vanilla default swap trading was becoming a commoditised, lower-margin business and the focus among dealers was shifting towards the far more lucrative structured credit market (see Risk, February 2004, cover story for an example of this). The decision of JP Morgan Chase to separate its European flow credit business under Frost from its structured credit business under senior marketer Bertrand des Pallieres, led to a slow weakening of Frost’s position at the bank. Things were not helped by a very public war of attrition between JP Morgan Chase-supported Trac-x and its Deutsche Bank-dominated rival the i-Boxx consortium.

Although Frost could not be reached directly for comment, he is expected to leave the industry. As an active supporter of the UK Conservative Party, Frost is said to be keen to stand for parliament. In an email sent to work colleagues he cited social, professional and political reasons for his departure, and in a reference to his namesake, the poet Robert Frost, spoke of his decision to take ‘the road less travelled’.