Sheila McGillicuddy has left Merrill Lynch for Goldman Sachs. She is currently on gardening leave and it could not be determined when she will start her new role. At Merrill she had worked in loan sales and in capital markets. At Goldman some market players said she will be working in capital markets. A Goldman Sachs spokesman and a spokeswoman at Merrill declined comment. McGillicuddy did not respond to emails.