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1、,2012 年 2 月 15 日全球能源市场周评研究报告下行风险减弱，上行风险加大过去八个月布伦特原油价格在 110 美元/桶左右越发狭窄的区间内波动，此后在本月大幅上涨了 7 美元/桶至118 美元/桶以上，并向我们的 3 个月目标价格 120 美元/桶靠拢，创下今夏以来的新高。我们认为这一窄幅波动走势掩盖了原油市场面临的较高风险，相对稳定的油价制造了市场基本面稳定的假象。我们认为近期布伦特原油价格大幅上涨的原因在于下行风险减弱而上行风险加大。尽管沙特和利比亚产量强劲，但 1 月底经合组织成员国总库存处于 2008,年以来历年 1 月份水平的最低点沙特产量已升至 30 年高点，利比亚原油生产
2、恢复速度显著快于预期。产量增长导致 2011 年大部分时间内全球库存强劲下降的速度放缓，但近期国际能源署数据显示，1 月底经合组织成员国总库存处于 2008 年以来历年 1 月份水平的最低点，意味着季调后的原油市场供需再次转为供应缺口。,David Greely(212)902-2850 高盛集团Stefan Wieler,CFA(212)357-7486,高盛集团隐含的 2011 年四季度全球原油需求同比上升 90 万桶/天，符合 3.4%的全球经济增速，并将继续加速增长国际能源署近期公布的数据显示，隐含的 2011 年四季度全球原油需求同比上升90 万桶/日。鉴于布伦特油价同比上升 25%
3、，这符合四季度 3.4%的全球经济增速。尽管上月初步数据显示 12 月全球需求增速较前月进一步放缓，但国际能源署最新修正后数据表明 12 月份全球原油需求同比大幅升至 125 万桶/日，并将于 1月份进一步加速增长。全球经济复苏刚开始进一步站稳脚跟，欧佩克闲置产能仍处低位尽管沙特产油量处于 30 年以来最高水平、而且利比亚产量重返市场，但全球原油库存并未显著增长，这一事实表明供应增长已被市场消化，这令市场目前处于一种前所未有的状况，即在全球经济复苏刚开始进一步巩固之时，欧佩克闲置产能并未达到峰值而是仍处于谷底水平。由于可供满足需求周期性上升的欧佩克闲置产能所剩无几、再加上易受供应中断冲击的产油
4、国数量增加，布伦特油价面临的上行风险正在上升。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 15 日,全球,Hedging and trading recommendationsPetroleumHedging recommendationsConsumers:Despite the notable slowdown in global economic growth,we continue to expect thatoil demand will grow well in
5、 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 West escalate the risk t
6、o crude oil prices is becoming increasingly skewedto the upside.Consequently,we believe that the large put skew in the crude oil options marketsthat is still present due to the markets continuing focus on the downside risk to prices from theEuropean debt crisis,particularly for longer-dated maturiti
7、es,presents an opportunity forcommercial hedgers to add incremental protection on top of their core hedging programs throughstructures such as zero-cost collars.Refiners:US refining margins remain relatively strong as WTI prices remain weak relative toother crude oils such as Brent and LLS.While for
8、ward margins imply a narrowing of the WTI-Brent spread,we continue to expect longer-dated spreads 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 beyon
9、d,we believe that crudewill be the bottleneck in the system,rather than refining;this would squeeze 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 betwee
10、nIran and the West lead to a more severe shortage of crude oil.Producers:While we expect supply-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 the
11、relatively large put skew in the market,wewould recommend put spread structures for oil producers,where incremental downside protectioncan be obtained against the impact on crude oil prices of a moderate slowdown in economicactivity by forgoing protection against a more severe downturn.This would be
12、 most beneficial toproducers that are able to lower production in the event of a severe decline in crude oil prices.Trading recommendationsShort May-June 2012 WTI timespreadWe recommend being short the May-June 2012 WTI timespread as we expect Cushinginventories will rise sharply in the coming month
13、s,putting downward pressure on WTItimespreads.Long July 2012 Brent crude oil futuresWe recommend a long position in the ICE Brent July 2012 contract,as we expect that the marketwill continue to tighten in 2012,pushing oil prices substantially higher to restrain demand.高盛全球经济、商品和策略研究,3,2012 年 2 月 15
14、日Current trading recommendations,全球,Current trades,First recommended,Initial value,Current Value,Current1profit/(loss),Short May-June 2012 WTI timespreadsSell May 2012 NYMEX WTI Crude Oil,Buy June NYMEX WTI Crude Oil,February 07,2012-Energy Weekly,$0.62/bbl,$0.56/bbl,($0.06/bbl),Long Gold,Buy Decemb
15、er 2012 COMEX Gold,October 11,2010-Precious Metals,$1,800.5/toz,$1,727.7/toz,$351.1/toz,Rolled from a long Dec-11 COMEX Gold future position on 13-Nov-11 with a potential gain of$423.9/tozLong Brent Crude Oil,Buy July 2012 ICE Brent Crude Oil,May 23,2011-Energy Watch,$105.16/bbl,$115.79/bbl,$8.68/bb
16、l,Rolled from a long Dec-12 ICE Brent Crude Oil future position on 1-Nov-11 with a potential loss of$1.95/bblLong UK Natural Gas,Buy Q4 2012 ICE UK NBP Natural Gas,April 26,2011-Natural Gas Weekly,70.8 p/th,66.1 p/th,(4.7 p/th),As of close on February 14,2012.Inclusive of all previous rolling profit
17、s/losses.Source:Goldman Sachs Global ECS Research.高盛全球经济、商品和策略研究,4,1,2,3,4,4,2012 年 2 月 15 日Price actions,volatilities and forecasts,全球,Prices and monthlychanges1,Volatilities(%)and monthly changes2,Historical Prices,Price Forecasts3,units,14 Feb,Change Implied2 Change Realized2 Change 3Q 10,4Q 10,1
18、Q 11,2Q 11,3Q 11,4Q 11,3m,6m,12m,EnergyWTI Crude OilBrent Crude OilRBOB GasolineNYMEX Heating OilNYMEX Nat.GasUK NBP Nat.Gas,$/bbl$/bbl$/gal$/gal$/mmBtup/th,100.74118.163.013.162.5356.25,2.047.720.280.14-0.142.07,31.029.630.027.946.721.7,-5.28-6.20-4.47-3.886.401.42,18.213.619.214.370.644.1,-14.0-14
19、.3-8.3-10.035.419.4,76.2176.962.002.064.2342.68,85.2487.452.222.363.9851.74,94.60 102.34 89.54 100.70 113.50 115.00 123.50105.52 116.99 112.09 111.67 120.00 120.00 127.502.68 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 66.2
20、0 72.30 87.70,Industrial MetalsLME AluminumLME CopperLME NickelLME ZincPrecious MetalsCOMEX GoldCOMEX SilverAgricultureCBOT WheatCBOT SoybeanCBOT CornNYBOT CottonNYBOT CoffeeNYBOT CocoaNYBOT SugarCME Live CattleCME Lean Hog,$/mt$/mt$/mt$/mt$/troy oz$/troy ozCent/buCent/buCent/buCent/buCent/bu$/mtCen
21、t/lbCent/lbCent/lb,22158415201552033172333.5635125563493204227024.3126.787.1,7041555573923.9339534-3-2110.44.21.5,23.731.637.234.820.039.032.121.929.8n/an/an/a28.6n/an/a,-2.95-5.91-2.66-2.58-2.27-2.74-1.03-0.95-1.16n/an/an/a-1.47n/an/a,24.224.329.030.415.035.126.319.518.122.323.342.121.312.312.8,-0.
22、6-10.1-4.52.7-8.5-20.7-8.0-4.1-13.2-0.1-7.2-12.8-12.0-2.7-7.6,211072782127120431228196531035422871742863209580,23658614236192333137026707124556212820528562910171,25319629269262414138832786137967017925733073111186,26189163241912271150838745136173115627130432411194,243089932203722471704396901356696106
23、25629622911594,2157795719529195616393062412006299722522332412285,23008000186002050178529.8680129069090235245022.0130.095.0,24009000186002200184030.7680129069085200245022.0125.095.0,24009000186002200194032.4575129052585175245022.0130.095.0,Monthly change is difference of close on last business day an
24、d close a month ago.Monthly volatility change is difference of average volatility over the past month and that of the prior month(3-mo ATM 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.
25、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 15 日,全球,Downside risks diminishing,upside risks risingAfter trading in an increasingly narrow range around$110/bbl over the past eight months,Brentcrude oil prices jumped by$7/bbl this month,to over$118/bbl and toward our
26、 3-month target of$120/bbl,the highest level since last summer(see Exhibit 1).We believe this narrow tradingrange belied the high degree of risk facing the crude oil market,with the relative stability in pricescreating a false sense of stability in oil market fundamentals.In our view,the oil market
27、has beennavigating between two large and opposing risks:the downside risk that demand may beundercut by renewed economic recession and the upside risk that oil prices may need to risehigher still in order to restrain demand should economic growth prove better than expected in anincreasingly supply-c
28、onstrained world(see our GS Energy Watch:Energy Outlook 2012-13:Whirlpool roars louder,rocks loom larger,November 30,2011,for details).Consequently,we see the recent jump in Brent crude oil prices as driven by the fact that thedownside risks are diminishing while the upside risks are rising.The intr
29、oduction by the EuropeanCentral Bank(ECB)of its Long-Term Refinancing Operation(LTRO)and the agreement of theGreek parliament to implement austerity measures in order to secure funding from the“Troika”ofthe ECB,European Commission,and IMF have substantially reduced the risk of a systemicfinancial ev
30、ent in Europe,which posed the largest risk to the world economy.Further,evidencecontinues to mount that economic growth outside of Europe is strengthening,suggesting that therest of the world is weathering the effects of the debt crisis.In particular,the US job marketshowed strong growth in January,
31、with non-farm payrolls rising by 243 thousand jobs,well-aboveconsensus of 143 thousand.While the economic trends have become more supportive of Brent crude oil prices in the recentperiod,the oil market seems to have weathered the near-term softness in physical marketfundamentals following the increa
32、se in crude oil supplies in recent months.More specifically,Saudi Arabia raised its production to 30-year highs(likely in anticipation of a potential shortfall ofIranian supplies)and Libyan crude oil production has been returning much faster than expected.This rising production slowed the strong dra
33、w on world inventories observed during most of 2011,but recent data from the International Energy Agency(IEA)suggests that the oil market supply-demand balance has shifted into a seasonally-adjusted deficit once again.Even more importantly,however,is the fact that world oil inventories have not been
34、 building despite Saudi Arabiapumping its highest levels in 30 years and Libyan crude oil production returning to the market,asthis suggests that the increased supplies have been absorbed by the market,leaving the world ina truly unprecedented situation where OPEC spare capacity is at a trough rathe
35、r than at a peakjust as a world economic recovery is getting on a more solid footing(see Exhibit 2).With littleOPEC spare capacity available to meet a cyclical upswing in oil demand and the number ofproducing countries where supplies are vulnerable to disruption multiplying,the upside risks toBrent
36、crude oil prices are rising.高盛全球经济、商品和策略研究,6,2012 年 2 月 15 日Exhibit 1:Brent prices jumped in February after trading inan increasingly narrow range over the past eight months$/bbl130125,全球Exhibit 2:Unlike in the past,the world is beginning aneconomic recovery with very low OPEC spare capacityThousand
37、 b/d12000Likely start ofcyclical upturnin demand,10000120,115,8000,110,6000,Start ofcyclicalupturn indemand,Start ofcyclicalupturn in,Start ofcyclicalupturn indemand,105100,4000,demand,95,2000,900,84,86,88,90,92,94,96,98,00,02,04,06,08,10,12,daily,monthly average,US economic contraction period,Saudi
38、 output,Source:ICE,Goldman Sachs Global ECS Research.,Source:IEA,NBER,Goldman Sachs Global ECS Research.,The latest data from the International Energy Agency(IEA)shows that despite the increase in oilsupplies,inventories drew at a relatively seasonal pace in December and built at a less-than-seasona
39、l pace in January.Provided the supply and inventory estimates are correct,this impliesthat world oil demand(measured as supply changes in inventories changes in oil at sea)grewby 900 thousand b/d yoy in 4Q11(see Exhibit 3).This is in line with world economic growth of3.4%in 4Q11,given that Brent cru
40、de oil prices were up 25%yoy(see Exhibit 4).Further,themost recent IEA data shows a significant upward revision to implied oil demand from the priormonth,which had implied world oil demand growth slowed to just 600 thousand b/d yoy in 4Q11,well below what world economic growth and prices would indic
41、ate.Consequently,although thepreliminary data from last month suggested that global demand growth slowed further fromNovember to December,the revised IEA data implies that demand accelerated sharply inDecember to 1.25 million b/d yoy,accelerating further in January.,Exhibit 3:Recent IEA data implies
42、 that world oil demandgrowth reaccelerated in the past two monthsThousand b/d92000910009000089000880008700086000,Exhibit 4:with 4Q11 oil demand growth in line withworld economic growth of 3.4%,given the price rise%change year-over-year4.503.502.501.500.50-0.50-1.50,85000-2.5084000-3.5083000-4.50,820
43、00,Jan-05,Jan-06,Jan-07,Jan-08,Jan-09,Jan-10,Jan-11,Jan-12,Jan,Feb,Mar2012,Apr,May2011,Jun2010,Jul,Aug2009,Sep2008,Oct,Nov,Dec,global demand growth,Predicted demand growth,jan 12 vs 1Q2011,jan 12 vs jan 11,Source:IEA,Argus,Goldman Sachs Global ECS Research.高盛全球经济、商品和策略研究,Source:IEA,ICE,Goldman Sachs
44、 Global ECS Research.,th,7,2012 年 2 月 15 日,全球Taking the OECD demand estimates at face value,the strength in world implied oil demandgrowth suggests that Non-OECD demand has been very strong.While the growth implied for theNon-OECD countries appears too large(suggesting OECD demand estimates may be t
45、oo low,supply estimates are too high,or the build in inventories has been larger than reported),demandin key Non-OECD counties has continued to surprise to the upside.In China,the early indicationsare that oil demand remained strong in January.While Chinese refinery production data(fromwhich Chinese
46、 implied oil demand is calculated)will only be available starting February 17,thepetroleum import and export data reported by the Chinese National Bureau of Statistics forJanuary suggests strong growth.Chinese crude oil imports in January were up 750 thousand b/dyoy,a significant acceleration from 4
47、Q11 when they were up 230 thousand b/d yoy.While the4Q11 year-over-year increase suffers from a very high though temporary increase in Chineseimports in 4Q10 driven by the need for diesel due to policy-induced power outages,sequentialgrowth this January has been strong,suggesting that year-over-year
48、 comparisons will continue toimprove.In fact,January 2012 import levels are the second highest on record,second only toNovember of 2011(see Exhibit 5).Further,with China recently moving to raise retail level motorgasoline and diesel prices,we expect Chinese imports to strengthen as Chinese refiners
49、will beable to economically import increased quantities of diesel and refine increased quantities of crudeoil.Exhibit 5:Chinese net crude oil imports rose in January back toward the record highreached in November 2011Thousand b/d6000500040003000200010000,Jan,Feb,Mar,Apr,May,Jun,Jul,Aug,Sep,Oct,Nov,D
50、ec,2012,2011,2010,2009,2008,Source:CNBS,Goldman Sachs Global ECS Research.The reacceleration in implied world oil demand growth has been accompanied by a return to aseasonally-adjusted draw on world oil inventories,although at a slower pace than in 1H11.Preliminary data from the IEA shows that OECD
