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1、,2012 年 2 月 23 日全球能源市场周评研究报告在布伦特油价突破 120 美元/桶后调整我们的交易建议布伦特油价本月上涨了 11.92 美元/桶，突破了我们 120 美元/桶的 3 个月目标价，并创下去年春季以来的最高水平。虽然我们仍预计原油价格呈上涨趋势，但鉴于布伦特油价已经突破了我们的 3 个月目标价，我们认为目前是重估我们的交易建议的合理时机。眼下更好的交易机会可能存在于交割月在 Seaway 管道改向（原定于 6 月份，将原油经库辛输往美国墨西哥湾）之后的 WTI 期货。布伦特油价升至我们的 3 个月目标之上，但我们预计未来 12 个月将继续,上涨至 127.50 美元/桶我们
2、仍预计布伦特油价今年将继续上涨，以抑制需求增长使之与供应状况相符。此外，我们认为我们的预测面临的风险趋于上行，原因是尽管沙特阿拉伯产量创30 年新高，利比亚供应重回市场，但全球石油库存并未增加。这表明增长的供应一直被市场所消化，使得我们面临一个前所未有的环境：全球经济复苏越发强劲而欧佩克闲置产能却处于谷底而不是最高峰。结清我们买入 2012 年 7 月布伦特原油期货的交易建议，潜在回报 13.19港元/桶，并建议买入 2012 年 9 月 WTI 原油期货Seaway 管道定于 6 月份改向，最多从库辛向美国墨西哥湾地区输油 15 万桶/日，到明年初提高到 40 万桶。届时，我们预计 WTI
3、油价将和布伦特油价密切相关，WTI 油价可能低 3-5 美元/桶，反映出相对较低的管道费用。因此，我们预计在未来 12 个月内，交割月在 Seaway 改向之后的 WTI 原油期货价格将随着布伦特价,David Greely(212)902-2850 高盛集团Stefan Wieler,CFA(212)357-7486 高盛集团杰夫可瑞+44(20)7774-6112 高盛国际Johan Spetz(212)357-9225 高盛集团,格一道上涨。但是，由于这些 WTI 合约价格仍显著低于布伦特油价，我们认为它们存在额外上行空间，因为改向之后 WTI-布伦特价差将收窄。例如，2012 年 9月
4、 WTI 期货与布伦特的价差为 11.28 美元/桶，而我们预计未来 6 个月将收窄至5.00 美元/桶。投资者不应视本报告为作出投资决策的唯一因素。有关分析师的申明和其他重要信息，见信息披露附录，或参阅,高盛集团,高盛全球经济、商品和策略研究,2,2012 年 2 月 23 日,全球,Hedging and trading recommendationsHedging recommendationsConsumers:Despite the notable slowdown in global economic growth,we continue to expect thatoil dem
5、and will grow well in excess of production capacity growth.In our view,it is only a matterof time before inventories and OPEC spare capacity become effectively exhausted,requiringhigher oil prices to restrain demand,keeping it in line with available supply.Further,as tensionsbetween Iran and the Wes
6、t escalate,the risk to crude oil prices is becoming increasingly skewedto the upside.While the large negative call skew that was prevalent since mid-last year has nowlargely disappeared,the positive skew in put options remains.We therefore recommend thatconsumers hedge their upside risk with a colla
7、r structure(buying calls financed,at least in part,by selling puts).Refiners:US refining margins remain relatively strong as WTI prices remain weak relative toother crude oils such as Brent and LLS.While forward margins imply a narrowing of the WTI-Brent spread,we continue to expect longer-dated spr
8、eads to narrow even further than what themarket has currently priced in.Consequently,we see current long-dated refinery margins in 2012as a selling opportunity for refinery hedgers.Further,for 2H12 and beyond,we believe that crudewill be the bottleneck in the system,rather than refining;this would s
9、queeze margins from thecrude side through a renewed spike in backwardation,suggesting refiners also look for potentialtimespread hedges.This dynamic could become particularly severe should the tension betweenIran and the West lead to a more severe shortage of crude oil.Producers:While we expect supp
10、ly-demand balances to continue to move to critically tight levelsin 2H12,making producer hedging less attractive,the ongoing uncertainties over the Europeandebt situation still pose downside risks.Given that the positive put skew is still present in themarket,we would recommend put spread structures
11、 for oil producers,where incrementaldownside protection can be obtained against the impact on crude oil prices of a moderateslowdown in economic activity by forgoing protection against a more severe downturn.This wouldbe most beneficial to producers that are able to lower production in the event of
12、a severe declinein crude oil prices.Trading recommendationsOpening:Long September 2012 NYMEX WTI crude oil futures(initial value$107.55/bbl)We recommend a long position in the NYMEX WTI September 2012 contract,as we expect thatthe overall oil market will continue to tighten in 2012,pushing oil price
13、s substantially higher torestrain demand and that the spread between WTI and Brent will narrow with the reversal of theSeaway pipeline.Closing:Long July 2012 Brent crude oil futures(initial value$105.16/bbl,currentgain$13.19/bbl including loss on original position in ICE December 2012 Brent of$1.95/
14、bbl)Short May-June 2012 WTI timespread(initial price$0.62/bbl,current loss$0.13/bbl)We recommend being short the May-June 2012 WTI timespread as we expect Cushinginventories will rise sharply in the coming months,putting downward pressure on WTItimespreads.高盛全球经济、商品和策略研究,3,2012 年 2 月 23 日Current tra
15、ding recommendations,全球,Current trades,First recommended,Initial value,Current Value,Current1profit/(loss),Opening:Long WTI Crude Oil,Buy September 2012 NYMEX WTI Crude Oil,February 22,2012-Energy Weekly,$107.55/bbl,$107.55/bbl,$0.00/bbl,Short May-June 2012 WTI timespreadsSell May 2012 NYMEX WTI Cru
16、de Oil,Buy June NYMEX WTI Crude Oil,February 07,2012-Energy Weekly,$0.62/bbl,$0.49/bbl,($0.13/bbl),Long Gold,Buy December 2012 COMEX Gold,October 11,2010-Precious Metals,$1,800.5/toz,$1,781.9/toz,$405.3/toz,Rolled from a long Dec-11 COMEX Gold future position on 13-Nov-11 with a potential gain of$42
17、3.9/tozLong UK Natural Gas,Buy Q4 2012 ICE UK NBP Natural Gas,April 26,2011-Natural Gas Weekly,70.8 p/th,69.1 p/th,(1.7 p/th),Closing:Long Brent Crude Oil,Buy July 2012 ICE Brent Crude Oil,May 23,2011-Energy Watch,$105.16/bbl,$120.30/bbl,$13.19/bbl,Rolled from a long Dec-12 ICE Brent Crude Oil futur
18、e position on 1-Nov-11 with a potential loss of$1.95/bblAs of close on February 22,2012.Inclusive of all previous rolling profits/losses.Source:Goldman Sachs Global ECS Research.高盛全球经济、商品和策略研究,4,1,2,3,4,4,2012 年 2 月 23 日Price actions,volatilities and forecasts,全球,Prices and monthlychanges1,Volatilit
19、ies(%)and monthly changes2,Historical Prices,Price Forecasts3,units,21 Feb,Change Implied2 Change Realized2 Change,3Q 10,4Q 10,1Q 11,2Q 11,3Q 11,4Q 11,3m,6m,12m,Energy,WTI Crude OilBrent Crude OilRBOB GasolineNYMEX Heating OilNYMEX Nat.GasUK NBP Nat.Gas,$/bbl$/bbl$/gal$/gal$/mmBtup/th,105.84121.663.
20、073.242.6357.70,7.3811.800.290.250.283.98,30.528.929.927.545.823.1,-4.44-5.36-2.96-2.983.825.26,19.112.019.414.568.841.9,-6.8-10.6-1.5-6.825.714.8,76.2176.962.002.064.2342.68,85.2487.452.222.363.9851.74,94.60 102.34 89.54 100.70 113.50 115.00 123.50105.52 116.99 112.09 111.67 120.00 120.00 127.502.6
21、8 3.10 2.89 2.77 3.02 3.01 3.042.82 3.05 2.98 3.04 3.25 3.29 3.474.20 4.38 4.06 2.73 2.90 2.75 4.2556.77 58.04 57.03 53.59 66.20 72.30 87.70,Industrial Metals,LME AluminumLME CopperLME NickelLME Zinc,$/mt$/mt$/mt$/mt,22558449202302028,38229-22015,23.931.136.134.3,-2.03-4.96-3.72-2.55,25.224.927.732.
22、3,1.6-2.41.710.5,21107278212712043,23658614236192333,25319629269262414,26189163241912271,24308993220372247,21577957195291956,23008000186002050,24009000186002200,24009000186002200,Precious Metals,COMEX GoldCOMEX Silver,$/troy oz$/troy oz,175733.7,933.3,19.838.0,-1.50-2.73,14.934.2,-1.8-16.9,122819,13
23、7026,138832,150838,170439,163930,178529.8,184030.7,194032.4,Agriculture,CBOT WheatCBOT SoybeanCBOT CornNYBOT CottonNYBOT CoffeeNYBOT CocoaNYBOT SugarCME Live CattleCME Lean Hog,Cent/buCent/buCent/buCent/buCent/bu$/mtCent/lbCent/lbCent/lb,637127163093205245625.4128.989.8,268418-6-211970.54.44.5,32.12
24、1.729.9n/an/an/a28.2n/an/a,-0.73-0.97-0.87n/an/an/a-1.43n/an/a,27.217.216.620.022.747.020.612.313.3,-6.4-6.1-15.8-1.4-6.7-1.2-11.8-2.7-5.0,6531035422871742863209580,707124556212820528562910171,786137967017925733073111186,745136173115627130432411194,690135669610625629622911594,62412006299722522332412
25、285,680129069090200245022.0130.095.0,680129069085175245022.0125.095.0,575129052585175245022.0130.095.0,Monthly change is difference of close on last business day and close a month ago.Monthly volatility change is difference of average volatility over the past month and that of the prior month(3-mo A
26、TM implied volatility,1-mo realized volatility).Price forecasts refer to prompt contract price forecasts in 3-,6-,and 12-months time.Based on LME three month prices.Source:Goldman Sachs Global ECS Research estimates.高盛全球经济、商品和策略研究,5,2012 年 2 月 23 日,全球,Repositioning trade recommendation as Brent cros
27、ses$120/bblBrent crude oil prices have rallied$11.92/bbl this month,crossing our 3-month target of$120/bbland reaching their highest levels since last spring(see Exhibit 1).We believe that this break-outfrom the increasingly narrow trading range that prevailed over the previous eight months hasbeen
28、driven by diminishing downside risk that demand may be undercut by renewed economicrecession and increasing upside risk that oil prices may need to rise significantly higher in order torestrain demand,either in the event of a supply disruption or simply should economic growthprove better than antici
29、pated in an increasingly supply-constrained world.We continue to expect Brent crude oil prices to rise to$127.50/bbl over the next 12 months inorder to restrain demand growth,keeping it in line with available supplies.Further,we see therisks to our forecast as skewed to the upside as world oil inven
30、tories have not been buildingdespite Saudi Arabia pumping at its highest levels in 30 years and Libyan supplies returning tothe market.This suggests that the increased supplies have been absorbed by the market andleaves the world in the unprecedented situation in which OPEC spare capacity is at a tr
31、oughrather than at a peak just as the world economic recovery is getting on a more solid footing(seeour Energy Weekly:Downside risks diminishing,upside risks rising,February 14,2012 for details).However,while we continue to see an upward trajectory for crude oil prices,we believe that withBrent pric
32、es having crossed our 3-month price target it is an opportune time to reassess ourtrading recommendation and we believe that the better trading opportunity may currently lie inWTI futures for the contract months following the scheduled June reversal of the Seaway pipelineto flow crude oil from Cushi
33、ng to the US Gulf Coast.,Exhibit 1:Brent crude oil prices have rallied sharply,rising above our 3-month price target$/bbl,Exhibit 2:but WTI-Brent spreads remain wide,and weexpect them to narrow when Seaway pipeline reverses$/bbl(both axes),140.00,125.00,0.00-2.00,130.00,12-month target,120.00,-4.00,
34、3-month target,120.00,-6.00,115.00-8.00110.00-10.00110.00,100.00,-12.00,90.00,105.00,-14.00-16.00,80.00Jan-11,Apr-11,Jul-11,Oct-11,Jan-12,100.00,Mar-12,Jun-12,Sep-12,Dec-12,Mar-13,Jun-13,Sep-13,Dec-13,-18.00,Brent crude oil price,3-month target,12-month target,WTI,Brent,WTI-Brent(right axis),Source：
35、ICE,GS Global ECS Research.,Source：ICE,NYMEX,GS Global ECS Research.,The Seaway pipeline is scheduled to be reversed in June to flow initially up to 150 thousand b/dof crude oil from Cushing to the US Gulf Coast,increasing to 400 thousand b/d by early next year.With the Seaway flowing from Cushing t
36、o the US Gulf Coast,we expect WTI prices will be closelytied to Brent prices with WTI likely trading at a$3-$5/bbl discount to Brent,reflecting pipeline tariffeconomics.Consequently,we expect that WTI prices for contract months following the reversal ofthe Seaway pipeline will continue to move upwar
37、d with Brent prices over the next 12 months.However,because these WTI contracts continue to trade at a substantial discount to Brent,we高盛全球经济、商品和策略研究,6,2012 年 2 月 23 日,全球,believe they will have additional upside from the narrowing of the WTI-Brent spread that weexpect following the Seaway reversal.F
38、or example,the September 2012 WTI-Brent spread iscurrently trading at-$11.28/bbl,whereas on a 6-month horizon we expect the WTI-Brent spreadwill narrow to-$5.00/bbl.Net,we expect that over the next several months there will be more upside in these WTIcontracts.However,there is the risk that the mark
39、et will not re-price the discount on thesecontracts in line with the anticipated pipeline economics in the near term.Consequently,there issome downside risk that the pressure we anticipate on WTI timespreads for the contract monthspreceding the Seaway reversal could put downward pressure on WTI pric
40、es for the contractmonths following the Seaway reversal(see Energy Weekly:Rushing to Cushing,February 7,2012 for details).However,on balance we believe that the risk-reward over the next several months favors a longposition in the WTI contract months following the reversal of the Seaway pipeline,and
41、 so we arenow recommending taking profit on the long Brent crude oil futures position and opening a longposition in WTI crude oil futures.Open:Long September 2012 NYMEX WTI crude oil futuresWe recommend a long position in September 2012 NYMEX WTI crude oil futures(initial value$107.55/bbl),as we exp
42、ect that the overall oil market will continue to tighten in 2012,pushing oilprices substantially higher to restrain demand and that the spread between WTI and Brent willnarrow with the reversal of the Seaway pipeline.Close:Long July 2012 ICE Brent crude oil futuresWe close our long July 2012 Brent c
43、rude oil recommendation(initial value$105.16/bbl,currentgain$13.19/bbl including loss on original position in ICE December 2012 Brent of$1.95/bbl).Prices are as of market close February 22,2012.高盛全球经济、商品和策略研究,0.00,-2.00,-4.00,-6.00,-8.00,-10.00,-12.00,-14.00,7,2012 年 2 月 23 日WTI market monitor,WTI B
44、rent forward curve,全球,$/bblThe WTI-Brent spread has narrowed back to near-$16/bbl in the pastweek after having to widened to over-$19/bbl recently,its widest levelsince the announcement in November by Enterprise and Enbridgethat they would reverse the Seaway pipeline to flow crude oil fromCushing to
45、 the US Gulf Coast.Following the Novemberannouncement,the WTI-Brent spread narrowed to-$7.93/bbl,eventhough at the time the Seaway reversal was not scheduled to becomplete until April 2012.Longer-dated WTI-Brent spreads stillimply that large volumes of crude have to be shipped on bargeson the Missis
46、sippi by the end of 2012,which is inconsistent withthe significant pipeline and rail capacity that will be online bythen.We therefore believe that longer-dated WTI-Brent spreadshave more room to narrow towards our 12-month target.-16.00-18.00,1M,5M,9M,13M,17M,21M,25M,29M,33M,37M,02/21/12,02/14/12,01
47、/22/12,Source:NYMEX,ICE,GS Global ECS Research.,Crude oil price differentials$/bbl30.0020.0010.000.00-10.00-20.00-30.00-40.00,Historical crude oil price differentials$/bbl30.0020.0010.000.00-10.00-20.00-30.00-40.00,-50.00,WTI-MSW,MSW-LLS,LLS-BRT,WTI-BRT,-50.00Jul-09,Oct-09,Jan-10,Apr-10,Jul-10,Oct-1
48、0,Jan-11,Apr-11,Jul-11,Oct-11,Jan-12,01/23/12,02/10/12,02/21/12,WTI-MSW,MSW-LLS,LLS-BRT,WTI-BRT,Source:NYMEX,ICE,Platts,GS Global ECS Research.Flows from US Midwest to Midcontinent vs.spread$/bbl(left axis);thousand b/d(right axis,inverted),Source:NYMEX,ICE,Platts,GS Global ECS Research.Flows from U
49、S Midwest to US Gulf Coast vs.spread$/bbl(left axis),thousand b/d(right axis),8.00,0,30.00,90.00,6.004.00,Assuming February2012 Spearheadflows near capacity,-20-40,25.00,80.0070.00,20.00,2.00,-60,60.00,0.00-2.00,-80-100-120,15.0010.00,50.0040.0030.00,-4.00-6.00,-140-160,5.000.00,20.0010.00,-8.00,Jul
50、-09,Oct-09,Jan-10,Apr-10,Jul-10,Oct-10,Jan-11,Apr-11,Jul-11,Oct-11,Jan-12,-180,-5.00,Jul-09,Oct-09,Jan-10,Apr-10,Jul-10,Oct-10,Jan-11,Apr-11,Jul-11,Oct-11,Jan-12,0.00,WTI-MSW(one month prior),Spearhead-Ozark,LLS-MSW(1 month prior),Barge Movements,Source:Genscape,NYMEX,Platts,GS Global ECS Research.高
