Salomon Smith Barney has merged its credit derivatives structuring team in New York with its trading operation, according to a former employee. The team, known for its much-publicized Yosemite product that was used by Enron to reduce its credit risk on balance sheet transactions, has been disbanded and absorbed by Salomon's existing credit derivatives trading group. Firm spokesman Dan Noonan downplayed the change, saying it was a minor internal move. He said the structuring and trading groups we're merged as a way to streamline the firm's focus. However, the former staffer said the move has surprised many of the structures, who were taken aback by the merger and are now uncertain of their new roles at the firm and the future vision of the structuring group.
The 10-member team structured three Yosemite products for Enron from 1999 through 2000, ranging in size from USD200 million to USD1 billion. They were single-name credit linked notes that were used by the firm to buy credit protection on Enron through the credit derivative market.
The structuring group, which had been reporting to Rick Caplan, managing director of the structuring team in New York, is now under the watch of Sumit Roy, global head of credit derivatives trading in New York.