能源市场周评：下行风险减弱_上行风险加大-2012-02-15.ppt

,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%，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 /research/hedge.html。,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 recommendations petroleum hedging recommendations consumers: despite the notable slowdown in global economic growth, we continue to expect that oil demand will grow well in excess of production capacity growth. in our view, it is only a matter of time before inventories and opec spare capacity become effectively exhausted, requiring higher oil prices to restrain demand, keeping it in line with available supply. further, as tensions between iran and the west escalate the risk to crude oil prices is becoming increasingly skewed to the upside. consequently, we believe that the large put skew in the crude oil options markets that is still present due to the markets continuing focus on the downside risk to prices from the european debt crisis, particularly for longer-dated maturities, presents an opportunity for commercial hedgers to add incremental protection on top of their core hedging programs through structures such as zero-cost collars. refiners: us refining margins remain relatively strong as wti prices remain weak relative to other crude oils such as brent and lls. while forward margins imply a narrowing of the wti- brent spread, we continue to expect longer-dated spreads to narrow even further than what the market has currently priced in. consequently, we see current long-dated refinery margins in 2012 as a selling opportunity for refinery hedgers. further, for 2h12 and beyond, we believe that crude will be the bottleneck in the system, rather than refining; this would squeeze margins from the crude side through a renewed spike in backwardation, suggesting refiners also look for potential timespread hedges. this dynamic could become particularly severe should the tension between iran 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 levels in 2h12, making producer hedging less attractive, the ongoing uncertainties over the european debt situation still pose downside risks. given the relatively large put skew in the market, we would recommend put spread structures for oil producers, where incremental downside protection can be obtained against the impact on crude oil prices of a moderate slowdown in economic activity by forgoing protection against a more severe downturn. this would be most beneficial to producers that are able to lower production in the event of a severe decline in crude oil prices. trading recommendations short may-june 2012 wti timespread we recommend being short the may-june 2012 wti timespread as we expect cushing inventories will rise sharply in the coming months, putting downward pressure on wti timespreads. long july 2012 brent crude oil futures we recommend a long position in the ice brent july 2012 contract, as we expect that the market will 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 日 current trading recommendations,全球,current trades,first recommended,initial value,current value,current 1 profit/(loss),short may - june 2012 wti timespreads sell 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 december 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/toz long brent crude oil,buy july 2012 ice brent crude oil,may 23, 2011 - energy watch,$105.16/bbl,$115.79/bbl,$8.68/bbl,rolled from a long dec-12 ice brent crude oil future position on 1-nov-11 with a potential loss of $1.95/bbl long uk natural gas,buy q4 2012 ice uk nbp natural gas,april 26, 2011 - natural gas weekly,70.8 p/th,66.1 p/th,(4.7 p/th),as of close on february 14, 2012. inclusive of all previous rolling profits/losses. source: goldman sachs global ecs research. 高盛全球经济、商品和策略研究,4,1,2,3,4,4,2012 年 2 月 15 日 price actions, volatilities and forecasts,全球,prices and monthly changes1,volatilities (%) and monthly changes2,historical prices,price forecasts3,units,14 feb,change implied2 change realized2 change 3q 10,4q 10,1q 11,2q 11,3q 11,4q 11,3m,6m,12m,energy wti crude oil brent crude oil rbob gasoline nymex heating oil nymex nat. gas uk nbp nat. gas,$/bbl $/bbl $/gal $/gal $/mmbtu p/th,100.74 118.16 3.01 3.16 2.53 56.25, 2.04 7.72 0.28 0.14 -0.14 2.07,31.0 29.6 30.0 27.9 46.7 21.7,-5.28 -6.20 -4.47 -3.88 6.40 1.42,18.2 13.6 19.2 14.3 70.6 44.1,-14.0 -14.3 -8.3 -10.0 35.4 19.4,76.21 76.96 2.00 2.06 4.23 42.68,85.24 87.45 2.22 2.36 3.98 51.74,94.60 102.34 89.54 100.70 113.50 115.00 123.50 105.52 116.99 112.09 111.67 120.00 120.00 127.50 2.68 3.10 2.89 2.77 3.02 3.01 3.04 2.82 3.05 2.98 3.04 3.25 3.29 3.47 4.20 4.38 4.06 2.73 2.90 2.75 4.25 56.77 58.04 57.03 53.59 66.20 72.30 87.70,industrial metals lme aluminum lme copper lme nickel lme zinc precious metals comex gold comex silver agriculture cbot wheat cbot soybean cbot corn nybot cotton nybot coffee nybot cocoa nybot sugar cme live cattle cme lean hog,$/mt $/mt $/mt $/mt $/troy oz $/troy oz cent/bu cent/bu cent/bu cent/bu cent/bu $/mt cent/lb cent/lb cent/lb,2215 8415 20155 2033 1723 33.5 635 1255 634 93 204 2270 24.3 126.7 87.1, 70 415 555 73 92 3.9 33 95 34 -3 -21 1 0.4 4.2 1.5,23.7 31.6 37.2 34.8 20.0 39.0 32.1 21.9 29.8 n/a n/a n/a 28.6 n/a n/a,-2.95 -5.91 -2.66 -2.58 -2.27 -2.74 -1.03 -0.95 -1.16 n/a n/a n/a -1.47 n/a n/a,24.2 24.3 29.0 30.4 15.0 35.1 26.3 19.5 18.1 22.3 23.3 42.1 21.3 12.3 12.8,-0.6 -10.1 -4.5 2.7 -8.5 -20.7 -8.0 -4.1 -13.2 -0.1 -7.2 -12.8 -12.0 -2.7 -7.6,2110 7278 21271 2043 1228 19 653 1035 422 87 174 2863 20 95 80,2365 8614 23619 2333 1370 26 707 1245 562 128 205 2856 29 101 71,2531 9629 26926 2414 1388 32 786 1379 670 179 257 3307 31 111 86,2618 9163 24191 2271 1508 38 745 1361 731 156 271 3043 24 111 94,2430 8993 22037 2247 1704 39 690 1356 696 106 256 2962 29 115 94,2157 7957 19529 1956 1639 30 624 1200 629 97 225 2233 24 122 85,2300 8000 18600 2050 1785 29.8 680 1290 690 90 235 2450 22.0 130.0 95.0,2400 9000 18600 2200 1840 30.7 680 1290 690 85 200 2450 22.0 125.0 95.0,2400 9000 18600 2200 1940 32.4 575 1290 525 85 175 2450 22.0 130.0 95.0,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 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. 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 rising after trading in an increasingly narrow range around $110/bbl over the past eight months, brent crude oil prices jumped by $7/bbl this month, to over $118/bbl and toward our 3-month target of $120/bbl, the highest level since last summer (see exhibit 1). we believe this narrow trading range belied the high degree of risk facing the crude oil market, with the relative stability in prices creating a false sense of stability in oil market fundamentals. in our view, the oil market has been navigating between two large and opposing risks: the downside risk that demand may be undercut by renewed economic recession and the upside risk that oil prices may need to rise higher still in order to restrain demand should economic growth prove better than expected in an increasingly supply-constrained 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 the downside risks are diminishing while the upside risks are rising. the introduction by the european central bank (ecb) of its long-term refinancing operation (ltro) and the agreement of the greek parliament to implement austerity measures in order to secure funding from the “troika” of the ecb, european commission, and imf have substantially reduced the risk of a systemic financial event in europe, which posed the largest risk to the world economy. further, evidence continues to mount that economic growth outside of europe is strengthening, suggesting that the rest of the world is weathering the effects of the debt crisis. in particular, the us job market showed strong growth in january, with non-farm payrolls rising by 243 thousand jobs, well-above consensus of 143 thousand. while the economic trends have become more supportive of brent crude oil prices in the recent period, the oil market seems to have weathered the near-term softness in physical market fundamentals following the increase 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 of iranian supplies) and libyan crude oil production has been returning much faster than expected. this rising production slowed the strong draw 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 building despite saudi arabia pumping its highest levels in 30 years and libyan crude oil production returning to the market, as this suggests that the increased supplies have been absorbed by the market, leaving the world in a truly unprecedented situation where opec spare capacity is at a trough rather than at a peak just as a world economic recovery is getting on a more solid footing (see exhibit 2). with little opec spare capacity available to meet a cyclical upswing in oil demand and the number of producing countries where supplies are vulnerable to disruption multiplying, the upside risks to brent 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 in an increasingly narrow range over the past eight months $/bbl 130 125,全球 exhibit 2: unlike in the past, the world is beginning an economic recovery with very low opec spare capacity thousand b/d 12000 likely start of cyclical upturn in demand,10000 120,115,8000,110,6000,start of cyclical upturn in demand,start of cyclical upturn in,start of cyclical upturn in demand,105 100,4000,demand,95,2000,90 0,84,86,88,90,92,94,96,98,00,02,04,06,08,10,12,daily,monthly average,us economic contraction period,saudi 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 oil supplies, inventories drew at a relatively seasonal pace in december and built at a less-than- seasonal pace in january. provided the supply and inventory estimates are correct, this implies that world oil demand (measured as supply changes in inventories changes in oil at sea) grew by 900 thousand b/d yoy in 4q11 (see exhibit 3). this is in line with world economic growth of 3.4% in 4q11, given that brent crude oil prices were up 25% yoy (see exhibit 4). further, the most recent iea data shows a significant upward revision to implied oil demand from the prior month, 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 indicate. consequently, although the preliminary data from last month suggested that global demand growth slowed further from november to december, the revised iea data implies that demand accelerated sharply in december to 1.25 million b/d yoy, accelerating further in january.,exhibit 3: recent iea data implies that world oil demand growth reaccelerated in the past two months thousand b/d 92000 91000 90000 89000 88000 87000 86000,exhibit 4: with 4q11 oil demand growth in line with world economic growth of 3.4%, given the price rise % change year-over-year 4.50 3.50 2.50 1.50 0.50 -0.50 -1.50,85000 -2.50 84000 -3.50 83000 -4.50,82000,jan-05,jan-06,jan-07,jan-08,jan-09,jan-10,jan-11,jan-12,jan,feb,mar 2012,apr,may 2011,jun 2010,jul,aug 2009,sep 2008,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 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 demand growth suggests that non-oecd demand has been very strong. while the growth implied for the non-oecd countries appears too large (suggesting oecd demand estimates may be too low, supply estimates are too high, or the build in inventories has been larger than reported), demand in key non-oecd counties has continued to surprise to the upside. in china, the early indications are that oil demand remained strong in january. while chinese refinery production data (from which chinese implied oil demand is calculated) will only be available starting february 17 , the petroleum import and export data reported by the chinese national bureau of statistics for january suggests strong growth. chinese crude oil imports in january were up 750 thousand b/d yoy, a significant acceleration from 4q11 when they were up 230 thousand b/d yoy. while the 4q11 year-over-year increase suffers from a very high though temporary increase in chinese imports in 4q10 driven by the need for diesel due to policy-induced power outages, sequential growth this january has been strong, suggesting that year-over-year comparisons will continue to improve. in fact, january 2012 import levels are the second highest on record, second only to november of 2011 (see exhibit 5). further, with china recently moving to raise retail level motor gasoline and diesel prices, we expect chinese imports to strengthen as chinese refiners will be able to economically import increased quantities of diesel and refine increased quantities of crude oil. exhibit 5: chinese net crude oil imports rose in january back toward the record high reached in november 2011 thousand b/d 6000 5000 4000 3000 2000 1000 0,jan,feb,mar,apr,may,jun,jul,aug,sep,oct,nov,dec,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 a seasonally-adjusted draw on world oil inventories, although at a slower pace than in 1h11. preliminary data from the iea shows that oecd stocks built by 11.4 million barrels in january, well-below the 10-year average of 26.3 million barrels, leaving stocks well below last years levels (see exhibit 6). this is particularly striking given the evident weakness in the european economy, much warmer-than-normal winter weather in the united states and western europe in january, and strong saudi and libyan crude oil production. while preliminary stock data is often subject to large revisions and the january data might be no exception, the more important data release in our view is the revised december stock data. december inventory data was revised down 高盛全球经济、商品和策略研究,8,2012 年 2 月 15 日,全球 strongly from -23.6 million to -40.8 million barrels which suggests that the decline in world oil inventories that was prevalent since spring 2011 has resumed. exhibit 6: oecd total petroleum inventories have continued to decline, ending january at the lowest level since 2008 million barrels 2850 2800 preliminary data,2750 2700 2650 2600 2550 2500,for january 2012,preliminary data for december 2011 revised data for december 2011,jan,feb,mar,apr,may,jun,jul,aug,sep,oct,nov,dec,2011,2010,2009,2008,2007,source: iea, goldman sachs global ecs research. the draw on world oil inventories has also been driven by continuing disappointments in non- opec supply growth. the fact that overall non-opec supply continues to fall below expectations even though us output is running well above expectations gives reason for concern (see exhibit 7). more specifically, we expected that us production would grow by 300 thousand b/d in 2012 and it is currently growing at 510 thousand b/d. strong growth in the shale plays, particularly the eagle ford, but also the bakken and permian have added to this growth. however, this stronger- than-expected growth has been offset by disappointing production in both asia and latin america in recent months. without overall growth in non-opec production, the world becomes increasingly reliant on drawing on inventories, opec spare capacity, and ultimately higher prices to restrain demand. currently, the oil market is drawing mo