高盛能源周報(bào)2010

1、CommoditiesEnergy WeeklyThe tug of war between fears and fundamentals continuesDespite economic-related concerns, recent data releasesconfirm that oil fundamentals continue to be tight,underscoring that structural supply-side drivers andemerging markets demand continue to offset OECD demandweakness.

2、Despite sentiment-driven pressure fundamentals remain tightConcerns over demand weakness continue to overshadow supportive fundamentals. We believe that although the bearish sentiment linked to deteriorating economic conditions may continue to put pressure on prices over the next few weeks, potentia

3、lly exacerbated by negative gamma effects, mounting signs of strength in oil fundamentals provide support and suggest significant upside risk to prices in the autumn.Strong EM demand and constrained supply tighten fundamentals Recent data releases confirm that constrained supplies and supportive eme

4、rging markets demand continue to more than offset weak OECD demand. Declining supplies in mature producing regions and strong non-OECD demand more than countered the 1.1% price-induced decline in OECD demand in 2Q08, leaving total OECD inventories flat in 2Q08 against a seasonal 900 kb/d build, and

5、below 10-year average levels for the end of July. The 9.5% annual increase in Chinese demand in July exemplifies that non-OECD countries continue to absorb oil supplies and keep fundamentals tight even in an increasing price environment. Further, this weeks US Department of Energy (DOE statistics ha

6、ve confirmed a decline in refined product inventories prompted by refinery run cuts, against a backdrop of continued low crude inventories.Despite recent correction, structural drivers remain intactA decline in long-dated oil prices has underpinned the recent sell-off, at the same time as timespread

7、s have strengthened reflecting supportive near-term fundamentals. We believe the decline in long-dated oil prices is largely a correction after a dramatic acceleration in May and June. However, the long-term drivers are intact and the structurally constrained supply environment will likely continue

8、to drive long-dated prices higher. At the same time re-accelerating industry cost inflation is increasing the cost-based floor to prices, which we currently estimate at US$105/bbl. Giovanni Serio+44(207774-2535 | giovanni.serio Goldman Sachs InternationalJeffrey Currie+44(207774-6112 | jeffrey.curri

9、e Goldman Sachs InternationalDavid Greely(212 902-2850 | david.greely Goldman, Sachs & Co.Abish Khan(212 902-7494 | abish.khan Goldman, Sachs & Co.Allison Nathan(212 357-7504 | allison.nathan Goldman, Sachs & Co.Samantha Dart+44(207552-9350 | samantha.dart Goldman Sachs InternationalThe

10、Goldman Sachs Group, Inc. does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that the firm may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor

11、 in making their investment decision. For important disclosures, see the text preceding the disclosures or go to Analysts employed by non-US affiliates are not required to take the NASD/NYSE analyst exam.Current trading recommendationsLong NYMEX natural gas tradeJuly 24, 2008 - Natural Gas Weekly $9

12、.46/mmBtu $8.24/mmBtu($1.22/mmBtuBuy October 2008 NYMEX natural gas contract Long long-dated WTI timespreadsBuy September 2008 NYMEX WTI contract May 21, 2008 - Energy$1.58/bbl $3.82/bbl $5.95/bblSell December 2013 NYMEX WTI contractRolled on July 17, 2008 from a buy August 2008 sell December 2013 N

13、YMEX WTI contract,for a profit of $5.95/bblLong 2012 WTIBuy Calendar 2012 NYMEX WTI swap May 16, 2008 - Energy Watch $119.39/bbl $112/bbl (7.39/bblLong brent timespreadsBuy September 2008 ICE Brent contract May 16, 2008 - Energy Watch($3.28/bbl($3.76/bbl($2.58/bblSell January 2009 ICE Brent contract

14、Long corn tradeBuy December 2009 CBOT corn contract April 2, 2008 - Agriculture 546 cents/bu 621 cents/bu 75 cents/buLong soybean tradeBuy November 2008 CBOT soybean contract March 26, 2008 - Energy 1239 cents/bu 1274 cents/bu 35 cents/buLong soybean timespread tradeBuy July 2009 CBOT soybean contra

15、ctJanuary 18, 2008 - Agriculture 31 cents/bu 54 cents/bu 23 cents/buSell November 2009 CBOT soybean contract Long long-dated natural gas tradeBuy calendar 2013 NYMEX natural gas swapDecember 11, 2007 - 2008 Issues & Outlook $7.89/mmBtu $8.45/mmBtu $0.56/mmBtuRolled first on June 13th, 2008 from

16、a buy July 2008 sell November 2008, and again on July 17, 2008 from a buy August 2008 sell December 2008 ICE Brent contract, for a total loss of $2.10/bblCurrent ValueCurrent profit/(loss1Current tradesFirst recommendedInitial value1As of close on August 14, 2008 inclusive of all previous rolling pr

17、ofits/losses.Source: Goldman Sachs Commodities Research.Price actions, volatilities and forecasts 1 Monthly change is difference between close on last business day and close a month ago.2 Monthly volatility change is difference between average volatility over the past month and that of the prior mon

18、th.3 Based on LME three month prices.Source: Goldman Sachs Commodities Research.The tug of war between fears and fundamentals continuesThe tug of war between fundamentals tightness and concerns over demand weaknesscontinues to dictate oil price movements, with the latter in the spotlight over the pa

19、st fewweeks. The explosion in the BTC pipeline and the recent hostilities between Russia andGeorgia have not only materially disrupted a significant portion of Azeri exports, but havealso underscored the vulnerability of oil supplies from the region, which accounts for agood part of the expected yea

20、r-end supply growth. However, oil prices have continued tosell off to below US$115/bbl regardless.Although concerns over demand weakness have outweighed fundamentals tightness inthe past few weeks, recent data releases confirm that constrained supply and supportivenon-OECD demand continue to more th

21、an offset weak OECD demand. Declining suppliesin mature producing regions and strong non-OECD demand more than countered the 1.1%price-induced decline in OECD demand in 2Q08, leaving total OECD inventories flat in 2Q08against a seasonal 900 kb/d build, remaining below 10-year average levels for the

22、end ofJuly. The 9.5% annual increase in Chinese demand in July exemplifies that non-OECDcountries continue to absorb oil supplies and keep fundamentals tight even in anincreasing price environment. Further, this weeks US Department of Energy (DOEstatistics have confirmed a decline in refined product

23、 inventories prompted by refinery runcuts, against a backdrop of continued low crude inventories.While near-term fundamentals remain tight, since the beginning of the year andspecifically over the past few weeks expectations regarding long-term fundamentals havebeen center stage. Long-dated oil pric

24、es have been driving the rally since the end of lastyear, accelerating dramatically in May and June, and are now leading the downwardscorrection. While the 20% sell-off over the past four weeks has been a record decline forlong-dated oil prices, it comes on the heels of a record acceleration that ha

25、d brought back-end prices above the trend in price changes that had characterized the market since theend of last year and in the 2004-2005 structural rally (Exhibit 1. In particular, five-yearforward prices had soared to over US$140/bbl at the beginning of July, well above theUS$115/bbl price sugge

26、sted by the previous price trend and that which was embedded inour forecasts. As a consequence, prompt oil prices had soared close to our year-end targetas early as in July, causing long-dated timespreads to remain significantly under pressure,particularly as concerns over demand destruction mounted

27、. We believe that despite tightnear-term fundamentals, bearish sentiments over future demand destruction have driventhe back-end sell-off. Indeed, remarkably, the recent sell-off has been accompanied bysigns of strengthening physical fundamentals as prompt WTI timespreads havestrengthened over the p

28、ast few weeks moving into a front-month backwardation (Exhibit 2.Exhibit 1: After accelerating in May and June long-dated prices have corrected towards the recent price trendLog ($/bblExhibit 2:The recent back-end sell-off has been accompanied by strengthening WTI prompt timespreads $/bbl Jan 08Feb

29、08Mar 08Apr 08May 08Jun 08Jul 08Aug 08Source: NYMEX and Goldman Sachs Commodities Research.modest as is suggested by the unseasonably flat OECD inventories in 2Q08.We believe that following the recent correction, long-dated oil prices will once again align with the recent upwards price trend. The lo

30、ng-term drivers in the market remain intact trend supply growth has declined and cannot continue to accommodate stable trend demand growth on the back of supportive global economic growth fuelled by emerging markets. Therefore, on a long-term basis, higher prices are necessary to promote a structura

31、l demand adjustment and to continue to incentivize investments in production capacity enhancements. While weakening economic conditions in G3 countries coupled with the recent acceleration in oil prices have restrained demand, especially in the US and more modestly in Europe, the necessary structura

32、l adjustment required to bring demand in line with production capacity will likely take many years of high prices to promote a meaningful increase in energy efficiency.Strong EM demand and constrained supply tighten fundamentalsWhile concerns over demand weakness continue to permeate market sentimen

33、t, recent data releases confirm that supportive non-OECD demand and restrained supply have more than offset OECD demand weakness, leaving total OECD inventories unseasonably flat in2Q08 against a seasonal 900 kb/d build. Further, preliminary industry data for July indicates a 28 million barrels incr

34、ease in total OECD stocks in July, which while slightly higher than the 19 million barrel seasonal build for July, continues to leave inventories below 10-year average levels (Exhibit 3.Exhibit 3: Total OECD inventories have remained flat in 2Q08 and remain below 10-year average levels Million barre

35、ls 2300240025002600270028002900JanFebMarAprMayJunJulAugSepOctNovDec10y mean 10y max 10y minSource: International Energy Agency, last month updated using US Department of Energy (DOE, Petroleum Association of Japan (PAJ and Euroil data.The lack of inventory builds in 2Q08 despite softer price-induced

36、 OECD demand and the 400 kb/d increase in Saudi production in May and June underscores extremely tight crude balances suggesting that non-OECD demand has continued to be exceptionally strong and, possibly, that supply growth could be lower than currently estimated.It should be noted that given the 9

37、0% yoy surge in oil prices in 2Q08, the 1.1% yoy decline in total OECD demand over the same period has not been surprisingly strong but, if anything, has been lower than would be suggested by standard demand elasticityestimates, likely on the back of supportive power-related demand in Japan. Further

38、, while US oil demand has born the brunt of the oil price surge, given its higher price sensitivity, weaker economic environment and distressed credit conditions (see our July 30, 2008Energy Weekly , the decline in total US oil demand has not been stronger than in previous economic slowdowns (Exhibi

39、t 4. More importantly, US gasoline demand growthcontinues to show a strong correlation with price changes (Exhibit 5 instead of with price levels, underscoring that as oil price inflation moderates in the second half of the year, some pressure on demand will likely be alleviated.Exhibit 4: Despite t

40、he surge in oil prices the decline in US demand has not been stronger than in previous recessionsPercent year-over-year change Exhibit 5:US gasoline demand growth continues to be driven by price changesPercent year-over-year change Jan-70Jan-75Jan-80Jan-85Jan-90Jan-95Jan-00Jan-05 Jan 05Jun 05Nov 05A

41、pr 06Sep 06Feb 07Jul 07Dec 07May 08Source: US National Bureau of Economic Research (NBER and US DOE. Source: US DOE.While OECD demand has been pressured by the oil price rally, non-OECD demand has notshown signs of weakness, as exemplified by the 9.5% implied Chinese demand growth inJuly, contributi

42、ng to the continued tightness in near-term fundamentals. Chinese refinerieshave ramped up runs after the increase in controlled domestic prices in June relievedsome pressure on refining margins. The strength in Chinese demand is confirmed by thecontinued strength in broader domestic demand indicator

43、s such as real retail sales, whichgrew by 15.6% yoy in July.Further, the decline in crude oil imports in June and July suggests that part of the increasein refinery runs may have been accommodated through the use of previously accumulatedcrude stocks. While accurate data is unavailable, a comparison

44、 between implied finalproduct demand (refinery runs + net products imports and crude supplies (crude oilproduction + net oil imports suggests that the use of domestic crude stocks may haveoccurred over the last few months after an accumulation at the beginning of the year (seeExhibit 6.Exhibit 6:Par

45、t of the increase in refinery runs may have been accommodated through the use of previously accumulated crudePercent year-over-year change Jan-03Jul-03Jan-04Jul-04Jan-05Jul-05Jan-06Jul-06Jan-07Jul-07Jan-08Jul-08 Source: Chinese Customs, National Bureau of Statistics and Goldman Sachs Commodities Res

46、earch.Signs of strategic inventory builds have often raised concerns about the transparency in real demand trends in China. However, the structural drivers of Chinese economic growth with continued expansion of the still small motor-vehicle fleet and the ongoing industrialization and urbanization of

47、 large parts of the country, leaves little doubt, in our opinion, about the strong trend in Chinese oil demand even in an increasing oil price environment. Further as the countrys energy infrastructure expands, a certain degree of active inventory builds should not be surprising as new refineries an

48、d growing transportation and distribution systems require increasing minimum operating levels of oil stocks. The recent start-up of the 200 kb/d Sinopec refinery in Qingdao as well as the upcoming start-up of the 240 kb/d CNOOC refinery in Huizhou, along with a series of other refining capacity expa

49、nsions, has likely been contributing to an increase in domestic stocks.Long-term structural support remains intactWe maintain that rising long-dated oil prices will continue to provide structural support to spot WTI prices. The necessary expansion in oil production capacity remains constrained by es

50、calating resource protectionism at the same time that alternative fuels are proving to have limited scalability. As these constraints are slowing trend oil supply growth against a backdrop of higher world GDP growth, long-dated oil prices need to increase steadily to slow oil demand growth in line w

51、ith supply on a long-term basis. While the need to curtail demand growth on a long-term basis will likely keep long-dated prices above marginal cost of production, industry costs are re-accelerating at the same pace as they did in the 2005/2006 period (Exhibit 7. This indicates that the floor below

52、which long-dated prices are unlikely to fall for a sustained period of time is rising. In particular the historical relationship between industry cost indicators such as the US Oil and Gas Field Equipment and Machinery PPI and long-dated oil prices suggests that the cost-based floor to long-dated oi

53、l prices was US$105/bbl in June and is likely continuing to increase (Exhibit 8.Exhibit 7:Industry cost inflation has re-accelerated to 2005/2006 levelsPercent year-over-year change in US Oil & Gas field machinery and equipment PPI Exhibit 8:June cost data suggest a US$105/bbl floor to the five-

54、year forward WTI price$/bbl Dec-00Aug-01Apr-02Dec-02Aug-03Apr-04Dec-04Aug-05Apr-06Dec-06Aug-07Apr-08 Feb-98Mar-99Apr-00May-01Jun-02Jul-03Aug-04Sep-05Oct-06Nov-07Source: US Bureau of Labor Statistics (BLS. Source: Goldman Sachs Commodities Research.US oil stocks Million barrels US motor gasoline stoc

55、ks Million barrels Source: DOE. Jan Feb Mar Apr May Jun Jul Sep Oct Nov Dec Source: DOE.US total hydrocarbon stocks Million barrels US distillate stocks Million barrels Jan Feb Mar Apr May Jun Jul Sep Oct Nov Dec Source: DOE. Jan Feb Mar Apr May Jun Jul Sep Oct Nov Dec Source: DOE.US crude oil stock

56、s Million barrels US residual fuel stocks Million barrels Jan Feb Mar Apr May Jun Jul Sep Oct Nov Dec Source: DOE. Jan Feb Mar Apr May Jun Jul Sep Oct Nov Dec Source: DOE.WTI forward curve $/bbl WTI-Brent forward curve $/bbl Aug-08Nov-08Feb-09May-09Aug-09Nov-09Feb-10May-10 Source: NYMEX. Aug-08Dec-0

57、8Apr-09Aug-09Dec-09Apr-10Aug-10 Source: NYMEX and ICE.WTI term volatility Percentage Historical WTI prices $/bbl Aug-08Nov-08Feb-09May-09Aug-09Nov-09Feb-10May-10Aug-10Nov-10Feb-11Source: NYMEX.15.035.055.075.095.0115.0135.0155.0200020012002200320042005200620072008 Source: NYMEX.WTI volatility smile

58、(3-months forward Percentage Historical realized WTI volatility Percentage 0.050.250.500.750.95 10%20%30%40%50%60%70%Jan 00Sep 00May 01Jan 02Sep 02May 03Jan 04Sep 04May 05Jan 06Sep 06May 07Jan 08321 NYMEX forward curve$/bblNYMEX heating oil crack forward curve$/bbl Aug-08Dec-08Apr-09Aug-09Dec-09Apr-10Aug-10S