能源市场周评：热带风暴“艾萨克”逼近墨西哥湾_裂解价差大幅上升-2012-08-30.ppt

,高盛集团,2012 年 8 月 28 日全球能源市场周评研究报告热带风暴“艾萨克”逼近墨西哥湾，裂解价差大幅上升在原油价格走低之际 RBOB 和取暖油裂解价差大幅上升，因为热带风暴艾萨克(Isaac)在登陆新奥尔良之前会途经墨西哥湾。虽然外界将艾萨克与卡特里娜飓风相提并论，但预计艾萨克的威力要小得多，对原油和天然气生产的影响较为有限，此时最主要的担忧体现在炼油领域。有关委内瑞拉国家石油公司(PDVSA)在旗下 Amuay 炼油厂爆炸失火后正寻求从墨西哥湾炼油企业采购汽油和柴油的消息也进一步支撑了成品油裂解价差走高。就天然气领域而言，由于近年来页岩气生产强劲增长，墨西哥湾生产的重要性已有所降低，我们预计需求降低将是艾萨克带来的主要影响。,虽然艾萨克威力不及卡特里娜，但仍可能导致洪灾预计热带风暴艾萨克即将于新奥尔良登陆，人们将它与 2005 年造成巨大破坏的卡特里娜飓风相提并论。不过，当前预测认为艾萨克登陆时将是一级飓风，威力不及卡特里娜（卡特里娜登陆时是三级飓风，横扫墨西哥湾时的强度是五级）。不过，当时由卡特里娜造成的那种严重洪灾（此为当地炼油厂毁损的主因）以及整体破坏仍可能成为未来几天的主要风险，因为预计艾萨克带来的降雨与卡特里娜相仿、甚至更强。因此，虽然艾萨克可能只是一级飓风、不会对墨西哥湾生产企业带来十分严重的影响，但是艾萨克可能造成强降雨，令市场转而担忧在库存仍处极低水平时出现产品供应缺口。有报道称，委内瑞拉国家石油公司在旗下Amuay 炼油厂 8 月 25 日爆炸失火后正寻求从墨西哥湾炼油企业采购汽油和柴,Stefan Wieler,CFA(212)357-7486 Johan Spetz(212)357-9225 高盛集团David Greely(212)902-2850 高盛集团,油，这一消息也进一步支撑了成品油市场。艾萨克对天然气需求的影响可能大于对供应的影响在天然气领域，由于近年来页岩气生产强劲增长，墨西哥湾生产的重要性已有所降低，我们预计需求降低将是艾萨克带来的主要影响。虽然在当前预测正确的情况下未来几日可能有更多的产能关闭，但是我们预计这对生产基础设施造成的长期影响较为有限。随着风暴登陆，对需求的冲击可能会开始显现出来。当前预测与 2005 年卡特里娜侵袭后的情形相仿，即此后一段较长时间内管道供气将减少15 亿立方英尺/天，因为炼油、石化以及和其它工业企业用户均停止了生产。重要的一点是，艾萨克还将导致气温转凉，降低了空调用电需求，进而降低了燃气发电厂的用气需求。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 8 月 28 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 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 to crude oil prices is becoming increasingly skewedto the upside.While the large negative call skew that was prevalent since mid-last year haslargely disappeared,the positive skew in put options remains.We therefore recommend thatconsumers hedge their upside risk with a collar structure(buying calls financed,at least in part,by selling puts).Refiners:US refining margins remain exceptionally 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 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 beyond,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 betweenIran 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 that the positive put skew is still present in themarket,we would recommend put spread structures 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 a severe declinein crude oil prices.Trading recommendationsLong Jun-13 NYMEX WTI crude vs.short Jun-13 ICE Brent crude(initial value-$12.33/bbl,current gain$0.34/bbl)Long S&P GSCI-style rolling Brent crude oil futures position including a loss of10.77%from rolling a long September 2012 NYMEX WTI Crude Oil position on 21-Aug-12(initial value 1174.26,current loss-11.92%)高盛全球经济、商品和策略研究,3,2012 年 8 月 28 日Current trading recommendations,全球,Current trades,First recommended,Initial value,Current Value,Currentprofit/(loss)1,Long Jun-13NYMEX WTI crude vs.short Jun-13 ICE Brent crudeBuy 1 Jun-13 NYMEX WTI crude,sell 1 Jun-13 ICE Brent,August 21,2012-Energy Weekly,($12.33bbl),($11.99bbl),$0.34bbl,Long S&P GSCI Brent crude oil total return indexLong S&P GSCI Brent crude oil total return index at initial index value of 1,174.26,August 21,2012-Energy Weekly,1,174.26,1,160.77,(11.92%),Rolled from a long September 2012 NYMEX WTI Crude Oil position on 21-Aug-12,carrying forward a potential loss of 10.77%Long Mar-13 MATIF Wheat vs.short Mar-13 CBOT WheatBuy 1 Mar-13 MATIF Wheat,sell 1 Mar-13 CBOT Wheat,hedge 1.5 EUR/$exposure on entry,August 7,2012-Agriculture Update,($17.47/MT),($6.71/MT),$10.76/MT,Long Nov-12 CBOT Soybeans vs.short Dec-12 CBOT CornBuy 1 Nov-12 CBOT soybean,sell 0.5 Dec-12 CBOT corn,June 29,2012 and July 3,2012-Agriculture Update,$0.00/bu,$1.81/bu,$1.80/bu,Long Sep-12 LME Aluminium call options,Long Sep-12 LME Aluminium calls with$2,150/t strike,June 11,2012-Metal Detector,$18.8/t,$0.0/t,($18.8/t),Long Gold,Buy December 2012 COMEX Gold,October 11,2010-Precious Metals,$1,800.5/toz,$1,675.6/toz,$299.0/toz,Rolled from a long Dec-11 COMEX Gold future position on 13-Nov-11 with a potential gain of$423.9/tozLong summer 2013 NYMEX Natural GasBuy summer 2013 NYMEX natural gas(April-October contracts),April 11,2012-Natural Gas Watch,$3.35/mmBtu,$3.38/mmBtu,$0.03/mmBtu,As of close on August 27,2012.Inclusive of all previous rolling profits/losses.Source:Goldman Sachs Global ECS Research.高盛全球经济、商品和策略研究,4,1,2,3,4,4,2012 年 8 月 28 日Price actions,volatilities and forecasts,全球,Prices and monthlychanges1,Volatilities(%)and monthly changes2,Historical Prices,Price Forecasts3,units,26 Aug Change Implied2 Change Realized2 Change 1Q 11 2Q 11 3Q 11 4Q 11 1Q 12 2Q 12,3m,6m,12m,Energy,WTI Crude OilBrent Crude OilRBOB GasolineNYMEX HeatingOilNYMEX Nat.GasUK NBP Nat.Gas,$/bbl$/bbl$/gal$/gal$/mmBtup/th,96.15113.593.083.112.7057.42,6.768.330.260.24-0.403.38,30.728.930.025.947.621.6,-2.50-2.93-0.19-0.82-6.60-0.88,22.019.322.816.451.116.8,-23.0-16.9-7.5-14.02.2-5.7,94.60 102.34 89.54 94.06 103.03 93.35 115.00 122.50 125.00105.52 116.99 112.09 109.02 118.45 108.76 120.00 127.50 129.002.68 3.10 2.89 2.62 3.06 2.95 2.90 3.07 3.192.82 3.05 2.98 2.98 3.16 2.89 3.31 3.53 3.474.20 4.38 4.06 3.48 2.50 2.35 2.90 3.75 4.0056.77 58.04 57.03 61.56 57.46 55.89 77.80 81.80 78.90,Industrial Metals,LME AluminumLME CopperLME NickelLME Zinc,$/mt$/mt$/mt$/mt,1,9187,64016,4751,879,4017060063,21.326.330.025.8,1.720.630.06-0.38,16.516.523.416.9,-10.1-7.8-4.2-9.3,2,531 2,618 2,430 2,115 2,219 2,019 2,200 2,400 2,4009,629 9,163 8,993 7,530 8,329 7,829 8,000 9,000 9,00026,926 24,191 22,037 18,396 19,709 17,211 17,000 18,600 18,6002,414 2,271 2,247 1,917 2,042 1,932 1,950 2,200 2,200,Precious Metals,COMEX GoldCOMEX Silver,$/troy oz$/troy oz,1,67030.6,553.2,17.429.7,-0.40-2.75,11.022.2,-9.1-7.7,1,38832.0,1,50838.3,1,70438.8,1,68531.8,1,69332.7,1,61229.4,1,78529.8,1,84030.7,1,94032.4,Agriculture,CBOT WheatCBOT SoybeanCBOT CornNYBOT CottonNYBOT CoffeeNYBOT CocoaNYBOT SugarCME Live CattleCME Lean Hog,Cent/buCent/buCent/buCent/lbCent/lb$/mtCent/lbCent/lbCent/lb,8891,732802741632,43719.6119.972.4,5164214-11121-2.91.7-23.4,31.627.630.8n/an/an/a23.9n/an/a,-0.05-3.16-0.83n/an/an/a-0.20n/an/a,34.429.326.728.221.623.423.611.068.6,-5.7-8.8-14.7-2.5-16.5-10.6-8.7-3.545.4,7861,37967017925733073111186,7451,3617311562713,0432411194,6901,3566961062562,9622911594,6151,175620952292,3832512188,6431,272641932052,3082512587,6411,426618801702,2222111788,9802,000900701752,30022.0115.079.0,8751,800825751752,30022.0120.076.0,7751,600750751752,45022.0130.095.0,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 ATM implied,1-mo realized).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 8 月 28 日,全球,Product cracks surge as US Gulf Coast refiners brace for IsaacTropical storm Isaac is currently making its way through the Gulf of Mexico,heading towards NewOrleans.It is forecast to strengthen and make landfall as a category 1 hurricane late on Tuesday,August 28,or early on Wednesday,August 29.While significant oil and gas production capacity inthe path of the storm has been shut down,the greater concern lies in the risk to refining capacityand the price of gasoline and diesel,the inventories of which remain at very low levels.This isreflected in yesterdays(August 27)price action where RBOB and Heating Oil cracks ralliedsharply amidst falling crude oil prices as refineries along the US Gulf Coast began to shut down inadvance of the storm.The product market was further supported by reports that PDVSA,the stateoil company of Venezuela,is trying to source gasoline and diesel from US Gulf Coast refiners inthe aftermath of the fire that broke out at its Amuay refinery on Saturday(see Exhibit 1).Tropical storm Isaac is expected to make landfall near New Orleans on close to the seventhanniversary of the devastating Hurricane Katrina,inviting parallels to the 2005 hurricane.However,current forecasts call for Isaac to be less powerful than Katrina,which was a category 3hurricane when it made landfall,and a category 5 at one point over the Gulf.In addition to slowerwinds,this difference in strength will mean less storm surge associated with Isaac.While Katrinabrought a storm surge of up to 16 feet to Louisiana and up to 27 feet to Mississippi,the stormsurge from Isaac is expected to be 6-12 feet at its highest,according to the National HurricaneCenter(NHC).However,severe flooding,which was a major cause of the damage to the regionsrefineries,as well as the overall devastation to the region,from Katrina,remains an important riskin coming days as the rainfall from Isaac is expected to be heavier than Katrina.Specifically,Katrina brought 8-10 inches of rain to Louisiana,and the highest rainfall recorded in the state wasaround 15 inches.Current forecasts for Isaac call for 7-14 inches of rain,with maximum amountsof 20 inches in some areas.However,the very dry conditions in the Midwest in recent monthshave led to low water levels in the Mississippi River,which could help absorb the rainfall to someextent.Exhibit 1:RBOB cracks spike as UGSC refiners brace for Hurricane Isaac and exportdemand increasesNYMEX RBOB Brent,$/gal0.500.450.400.350.300.25,1-Aug-12,8-Aug-12,15-Aug-12,22-Aug-12,Source:DOE and Goldman Sachs Global ECS Research.高盛全球经济、商品和策略研究,0,6,2012 年 8 月 28 日,全球According to the US Bureau of Safety and Environmental Enforcement(BSEE),1.1 million b/d ofcrude oil production in the US Gulf of Mexico(GOM)is currently shut in,roughly 78%of capacity.In addition,tanker unloadings at the Louisiana Offshore Oil Port(LOOP)have been suspendedsince Monday at 9am,but deliveries continue from the onshore storage facility for now,accordingto the company website.While production and imports might continue to be impacted for a couplemore days after the hurricane has passed,crude demand has also been impacted with at least1.25 million b/d of refining capacity currently being shut-in in Louisiana and Alabama.It isimportant to notice that PADD 3 refinery capacity was hit much harder by Hurricane Katrina thancrude oil production(see Exhibit 2),mainly due to the flooding.Consequently,while Isaac mightnot bring as much damage to GoM production facilities as it is only a category 1 hurricane,Isaacis expected to bring strong rainfalls,shifting the market focus to potential product shortfalls asproduct inventories remain at critically low levels.As a result,NYMEX RBOB and Heating Oilcracks relative to Brent rallied sharply on Monday,up 11.8%and 9.7%,respectively.The productmarket was further supported by news reports that PDVSA is trying to source gasoline and dieselfrom USGC refiners in the aftermath of the fire that broke out at its Amuay refinery on Saturday.The restart of the plant,Venezuelas largest refinery with a capacity of 460 thousand b/d,hasbeen delayed to next Thursday as another naphtha tank caught fire on Monday.The countrycurrently has about seven days of gasoline inventories,according to a statement from theVenezuelan government.Further,Energy News Today reported on Monday that gasolineproduction capacity will be limited to about 20%for at least 10 more days after the restart.,Exhibit 2:Substantial refining capacity in Louisiana andAlabama is currently shut inThousand b/d,Exhibit 3:PADD 3 refinery capacity was impaired forseveral months after Hurricane KatrinaThousand b/d,change year-over-year,RefineryAllianceGaryvilleSt.CharlesMerauxChalmette,OperatorPhillips 66MarathonValeroValeroExxonMobil,LocationBelle Chasse,LaGaryville,LaSt.Charles,LaMeraux,LaChalmette,La,Capacity247490205125193,Outage247490205125193,1000500-500,Norco,Shell/Motiva,Norco,La,236 reduced rates,Convent,Shell/Motiva,Convent,La,235 reduced rates,-1000,Mobile,Shell,Saraland,Al,80 reduced rates,-1500,August 25,2005-first,Total capacity shut in,1260,-2000-2500-3000-3500,landfall of hurricane Katrina,Jan 05,Mar 05,May 05,Jul 05,Sep 05,Nov 05,Jan 06,Mar 06,May 06,Jul 06,PADD 3 gross refinery intake,PADD 3 crude production,Series2,Source:Goldman Sachs Global ECS Research.,Source:DOE and Goldman Sachs Global ECS Research.,On the natural gas side,as the importance of US Gulf of Mexico production has declined in recentyears with the strong growth in onshore shale gas production,we expect reduced demand to bethe dominant effect of Isaac.Specifically,2.2 Bcf/d of production is currently shut-in according tothe Bureau of Safety and Environmental Enforcement(BSEE),which is roughly half of currentGulf of Mexico production,but only 3 percent of total US dry production.Preliminary pipeline flowssuggest these numbers will increase in the near term(see Exhibit 4).However,while the shut-inscan increase in coming days,if current forecasts hold true and Isaac is not stronger than acategory 1 storm when it passes through the offshore production areas,we expect there to be高盛全球经济、商品和策略研究,7,2012 年 8 月 28 日,全球limited lasting damage to production infrastructure.As a result,the shut-in gas can return tomarket quickly once the storm has passed,and the supply impact will likely be markedly lessextensive than during Katrina/Rita in 2005 and Gustav/Ike in 2008.As the storm hits land,thedemand impact will likely start to dominate.While the impact on demand is highly dependent onthe path of the storm,current projections suggests a path similar to that of Katrina in 2005,afterwhich pipeline flows suggest a decline in industrial demand by around 1.5 Bcf/d for an extendedperiod of time as refineries,petrochemical facilities and other industrial users shut downoperations.Importantly,Isaac will also bring colder temperatures,reducing cooling demand andtherefore power generation demand for natural gas.In addition,the storm may bring disruptionsto power distribut