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GS20100213

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GS20100213

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     2010 2 13 2010 2 13

     商品;能源市场周评

     商品

     能源市场周评

     政策的不确定性继续导致石油市场的震荡

     但石油市场短期内的基本面继续改善。

     尽管市场的短期基本面改善:但对政策的担忧加剧继续造成 WTI 石油价 格剧烈波动

     市场担忧欧洲主权债券问题愈演愈烈从而可能恶化为第二轮系统性金融危机:由 此导致上周末的 WTI 原油价格跌至 71.19 美元/桶。之后在关于其他一些欧洲国 家、特别是德国可能施以援手的消息传出后:WTI 原油价格止跌反弹。我们仍然 预计投资者对欧洲主权债券的潜在问题、中国的调控措施和美国政策不确定性的 担忧将加剧市场的波动并给油价带来下行风险。然而:石油市场基本面的改善应 会逐步占据上风。

     David Greely

     (212) 902-2850 | david.greely@gs.com 高盛集团

     Damien Courvalin

     +44(20)7051-4092 | damien.courvalin@gs.com 高盛国际

     杰夫?可瑞

     +44(20)7774-6112 | jeffrey.currie@gs.com 高盛国际

     国际能源署证实了陆地及海上石油库存的减少

     经合组织国家总体石油库存 12 月份和 1 月份的月平均降幅比 5 年均值高出近 2,500 万桶。此外:国际能源署还确认了海上石油库存的下降。国际能源署估计 1 月份和 2 月初浮式储油库存净减少了 2,100 万桶。虽然原油和成品油的时间和构 成略有不同:但国际能源署对浮式储油库存近期降幅的估算与我们估测的 2,400 万桶降幅大体相符。由于我们可以将每月总库存降幅中的 2,100 万桶归因于低于 正常水平;5 年均值,的寒冷天气:这表明核心供应缺口达到 57 万桶/日:与我们 的预测基本相符。

     Stefan Wieler, CFA

     +44(20)7051-5119 | stefan.wieler@gs.com 高盛国际

     随着库存降幅恢复至 10 年均值:我们预计 85-95 美元/桶将成为下一个 交易区间

     自去年 10 月以来:长期合约的价格始终处于 85-95 美元/桶的区间。随着库存降 幅恢复至 10 年均值:我们预计 WTI 原油价格曲线将变平甚至可能出现倒挂:从 而将最近交割月合约的价格推升至 85-95 美元/桶的区间。

     高盛集团与本研究报告所分析的企业存在业务关系:并且继续寻求发展这些关系。因此:投资者应当考虑到本公司可能存在可能影响本报告客观性 的利益冲突:不应视本报告为作出投资决策的唯一因素。关于重要的信息披露:请参阅信息披露之前的部分或登陆 www.gs.com/research/hedge.html 或请与您的投资代表联系。

     高盛集团 高盛全球经济、商品和策略研究

     高盛全球经济、商品和策略研究 1

     February 13, 2010 February 13, 2010

     Commodities: Energy Weekly

     Commodities

     Energy Weekly

     Policy uncertainty continues to roil the oil markets

     But near-term oil fundamentals continue to improve

     Heightened policy concerns continue to create volatility in WTI crude oil prices, even as near-term oil fundamentals improve

     Concerns that the broadening sovereign debt issues in Europe could metastasize into a second systemic financial crisis pushed WTI crude oil prices to $71.19/bbl by the end of last week before prices rallied on news that other European countries, notably Germany, were preparing to offer support. We continue to expect that these concerns over the potential for sovereign problems in Europe, Chinese policy tightening, and uncertainty over US policy will add volatility and downside risk to prices. Nonetheless, the improving oil fundamentals should gradually regain the upper hand.

     David Greely

     (212) 902-2850 | david.greely@gs.com Goldman Sachs & Co.

     Damien Courvalin

     +44(20)7051-4092 | damien.courvalin@gs.com Goldman Sachs International

     Jeffrey Currie

     +44(20)7774-6112 | jeffrey.currie@gs.com Goldman Sachs International

     IEA confirms strong draw on inventories on land and at sea

     On average, OECD total petroleum inventories in December and January have drawn at a rate of roughly 25 million barrels per month more than the 5-year average. Further, the IEA has also confirmed the draw on oil at sea. The IEA estimates that, on net, 21 million barrels of oil came out of floating storage in January and early February. While the timing and composition between crude and products are slightly off, the overall IEA estimate of the recent draw on floating storage is comparable to our 24 million barrels estimate. As we can attribute 21 million barrels per month of the total draw to colder-than-normal (5-year average) temperatures, this suggests that underlying demand exceeds supply by 570 thousand b/d, largely in line with our forecast.

     Stefan Wieler, CFA

     +44(20)7051-5119 | stefan.wieler@gs.com Goldman Sachs International

     As inventories draw to 10-year average, we expect $85-$95/bbl to become the next trading range

     Long-dated oil prices have been trading in the range of $85-$95/bbl since October of last year. As inventories draw back to their 10-year average, we expect that the WTI forward curve will flatten and even backwardate, lifting front-month WTI crude oil prices into the $85-$95/bbl range.

     The 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 in making their investment decision. For important disclosures, see the text preceding the disclosures or go to www.gs.com/research/hedge.html.

     The Goldman Sachs Group, Inc.

     Goldman Sachs Global Economics, Commodities and Strategy Research

null

     Commodities: Energy Weekly

     Current trading recommendations

     Current trades First recommended Initial value Current Value Current profit/(loss)

     1

     Long December WTI Buy December 2010 NYMEX WTI Long Copper Buy June 2010 Copper Long Heating Oil, short Fuel Oil Buy 3Q2010 USGC Heating Oil Sell 3Q2010 USGC 3.0% Fuel Oil

     February 5, 2010 - Commodity Watch

     $77.75/bbl

     $79.27/bbl

     ($0.13/bbl)

     February 5, 2010 - Commodity Watch

     $6,400/mt

     $6,943/mt

     $541/mt

     July 15, 2009 - Commodity Watch Heating Oil, Sell 1Q2010 USGC 3.0% Fuel Oil for $1.65/bbl loss

     $17.44/bbl

     $15.17/bbl

     ($3.92/bbl)

     Long Platinum Buy April 2010 NYMEX Platinum

     July 15, 2009 - Commodity Watch Rolled on December 3, 2009 from a Buy January 2010 NYMEX Platinum for $365.7/toz gain

     $1,509.4/toz

     $1,519.3/toz

     $375.6/toz

     Long Copper timespread Buy December 2010 Copper Sell December 2011 Copper WTI call trade Buy June 2010 NYMEX WTI call struck at $85/bbl

     September 8, 2009 - Metals

     $112/mt

     $50/mt

     ($62/mt)

     June 3, 2009 - Energy Watch $2.93/bbl Initiated as a long Jun-10 call spread position. Short WTI $100/bbl call closed for a $0.49/bbl loss on February 5

     $1.77/bbl

     ($1.65/bbl)

     1As of close on February 11, 2010. Inclusive of all previous rolling profits/losses.

     Source: Goldman Sachs Global ECS Research.

     Goldman Sachs Global Economics, Commodities and Strategy Research

     3

     February 13, 2010

     Commodities: Energy Weekly

     Price actions, volatilities and forecasts

     Prices and monthly changes1 units Energy WTI Crude Oil Brent Crude Oil RBOB

    Gasoline USGC Heating Oil NYMEX Nat. Gas UK NBP Nat. Gas Industrial Metals4 LME

    Aluminum LME Copper LME Nickel LME Zinc Precious Metals London Gold London Silver

    Agriculture CBOT Wheat CBOT Soybean CBOT Corn NYBOT Cotton NYBOT Coffee NYBOT Cocoa

    NYBOT Sugar CME Live Cattle CME Lean Hog

     1 2 3 4

     Volatilities (%) and monthly changes2 Change Realized2 Change 3Q 08 4Q 08

     Historical Prices 1Q 09 2Q 09 3Q 09 4Q 09

     Price Forecasts3 3m 6m 12m

     11 Feb Change Implied2

     $/bbl $/bbl $/gal $/gal $/mmBtu p/th

     75.28 73.05 1.94 1.92 5.40 34.29

     -5.51 -6.25 -0.16 -0.17 -0.20 -0.27

     34.7 34.4 34.8 34.8 46.8 52.7

     -3.28 -3.45 -4.88 -4.33 -9.83 -4.68

     32.4 33.1 31.9 30.6 41.5 56.3

     9.8 14.2 8.5 4.9 -21.7 2.5

     118.22 117.15 2.96 3.31 8.98 66.45

     59.08 57.49 1.34 1.84 6.40 65.59

     43.31 45.72 1.25 1.34 4.47 45.30

     59.79 59.90 1.71 1.51 3.81 27.57

     68.24 68.87 1.86 1.73 3.44 23.48

     76.13 75.54 1.94 1.94 4.93 31.83

     90.00 88.50 2.40 2.31 6.00 31.40

     96.00 94.50 2.50 2.50 6.00 32.10

     95.00 93.50 2.33 2.56 6.50 39.10

     $/mt $/mt $/mt $/mt

     2056 6939 18450 2180

     -225 -516 750 -295

     29.9 36.3 43.3 42.7

     -0.13 0.02 -2.05 0.92

     24.8 37.9 34.7 39.8

     -4.1 14.2 -4.2 -0.6

     2839 7571 19133 1798

     1885 3948 11118 1219

     1401 3494 10625 1208

     1530 4708 13147 1509

     1836 5856 17576 1780

     2037 6677 17593 2241

     2260 7850 17590 2620

     2325 8125 17555 2590

     2155 7840 17170 2580

     $/troy oz $/troy oz

     1094 15.4

     -35 -3.0

     22.3 33.8

     -1.89 -1.06

     24.3 34.7

     6.5 5.5

     872 15.1

     795 10.2

     908 12.6

     923 13.8

     962 14.7

     1099 17.6

     1235 20.8

     1295 21.8

     1380 23.3

     cent/bu cent/bu cent/bu cent/lb cent/lb $/mt cent/lb cent/lb cent/lb

     494 943 363 74 132 3089 27.5 89.4 67.6

     -42 -27 -29 1 -11 -253 0.2 4.0 1.2

     35.6 25.9 31.9 n/a n/a n/a 44.3 n/a n/a

     -1.36 -4.47 -3.50 n/a n/a n/a 0.35 n/a n/a

     35.9 22.2 32.8 23.8 21.6 24.5 43.3 10.0 24.9

     -3.0 -3.4 -3.6 -1.1 -3.6 -3.5 3.6 -5.3 -0.4

     792 1320 578 67 138 2784 13.1 101.3 74.7

     552 915 384 47 112 2252 11.6 88.7 59.1

     551 949 377 46 113 2553 12.7 83.8 60.1

     564 1128 406 54 124 2499 14.7 83.0 63.2

     485 1049 327 60 125 2867 20.6 85.4 53.7

     522 1002 386 71 139 3259 23.6 83.6 57.8

     500 925 400 70 140 3100 27.0 85.0 65.0

     550 950 450 70 140 2700 23.0 90.0 80.0

     600 950 475 70 140 2700 20.0 110.0 80.0

     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.

     Goldman Sachs Global Economics, Commodities and Strategy Research

     4

     February 13, 2010

     Commodities: Energy Weekly

     Policy uncertainty continues to roil the oil markets

     Heightened policy concerns continued to create volatility in WTI crude oil prices

    this week, even as near-term oil fundamentals continue to strengthen. Concerns that

    the broadening sovereign debt issues in Europe could metastasize into a second systemic financial crisis pushed WTI crude oil prices to $71.19/bbl by the end of last week before prices rallied on news that other European countries, notably Germany, were preparing to offer support. The official statement from the EU Summit did contain an offer of support; however, the specifics on what that support would be and the conditions on which it would be lent were not addressed. More specifically, the EU leaders stated that they fully support the efforts of the Greek government and

    that the euro area member states will take determined and coordinated action, if needed, to safeguard financial stability in the euro area as a whole, but they offered

    no guidelines for what their support might be. Our Chief European Economist, Erik Nielsen, continues to believe that financial support in the form of coordinated bilateral loans will be made to Greece, if needed (probably by the end of March). However, it should be stressed that the Greek situation remains fluid, and contingent on the authorities resolve to translate their ambitious budgetary plans into legislation over coming weeks. Conditional funding assistance from other member States may be needed in coming months, and medium term solvency issues will remain in place. Consequently, the potential for a European sovereign problem will likely remain a source of risk and volatility in the oil market. It also remains one of several policy risks that will likely continue to face the oil market as we were reminded today by the markets reaction to the news that the Peoples Bank of China unexpectedly

    raised the reserve requirement ratio (RRR) by 50 basis points, effective February 25th. Despite the markets reaction, our China economists see this adjustment as a positive one and commensurate with the growth in the Chinese economy, and we continue to see the risk from China as one of too much demand, rather than too little. We expect that these concerns over Chinese policy tightening, the potential for sovereign problems in Europe, and uncertainty over US policy will likely continue to add volatility and risks to oil prices. Nonetheless, the improving oil market fundamentals should gradually regain the upper hand. This weeks release of the IEA

    s February Oil Market Report highlighted the continuing improvement in near-term oil market fundamentals as it reported a continuing draw on world total petroleum inventories relative to seasonal norms, both on shore and at sea. On shore, the IEA revised their preliminary estimate of the December draw on OECD total petroleum inventories from 36 million barrels to 68 million barrels, 26 million barrels more than the 5-year average. Although the IEA reported an 11 million barrel build for January, it is 23 million barrels less than the 5-year average build of 34 million barrels. Further, the IEA has also confirmed the draw on oil at sea. The IEA estimates that, on net, 10 million barrels of oil came out of floating storage in January and a further 11 million barrels in early February. While the timing and composition between crude and products are slightly off, the overall IEA estimate of the recent draw on floating storage of 21 million barrels is comparable to our 24 million barrels estimate (see our February 3, 2010 Energy Weekly: Mounting evidence that the floating storage overhang is easing). On average, OECD total petroleum inventories in December and January have drawn at a rate of roughly 25 million barrels per month more than the 5-year average. While we can attribute 21 million barrels per month to

    colder-than-normal (5-year average) temperatures, taking the draw on floating storage into account this suggests that the underlying demand has been exceeding supply by 570 thousand b/d, which is largely in line with our forecast (see Exhibit 2).

     Goldman Sachs Global Economics, Commodities and Strategy Research

     5

     February 13, 2010

     Commodities: Energy Weekly

     Finally, the IEA revised their 2010 demand forecast up by 170 thousand b/d off the back of IMF raising its world economic growth forecast to 3.8%. This brings the IEA 2010 world oil demand forecast to 86.5 million b/d, now only 200 thousand b/d below our own. On balance the recent data releases have been supportive of our view that inventories are drawing substantially, and will likely continue to draw down to 10-year average levels over the course of 2010H1 (see Exhibit 1). The draw on on-shore inventories is in line with our forecast and increased weather-related demand has largely served to accelerate the draw on floating storage more quickly than we anticipated. This gives us increasing confidence that oil prices will continue to rise to average $90/bbl in 2010. Exhibit 1: The OECD total petroleum inventory draw has been tracking our forecast inventory path

     million barrels

     2,800 2,750 2,700

     Exhibit 2: long-dated WTI crude oil prices have been trading in a $85-$95/bbl range

     $/bbl

     98

     Historical stock path December 2009 Observed stock path February 2010

     Weather adjusted stock path February 2010 GS Forecast

     96 94 92 90 88 86 84 82

     2,650 2,600 2,550 2,500 2,450 2,400 Jan-08

     10 year average

     WTI 5 year forward price

     Jul-08

     Jan-09

     Jul-09

     Jan-10

     Jul-10

     Jan-11

     Jul-11 80 Oct 09 Nov 09 Dec 09 Jan 10 Feb 10

     Source: IEA and GS Global ECS Research.

     Source: NYMEX and GS Global ECS Research.

     While the recent price action could give the impression that WTI crude oil prices will remain range-bound in the low-$70 to low $80/bbl range that they have traded since October of last year, we believe the more important range is $85-$95/bbl, the range that long-dated oil prices have traded over the same period (see Exhibit 2).

    This is because as inventories draw back to their 10-year average, the WTI forward curve will flatten and even backwardate, lifting front-month WTI crude oil prices into the $85-$95/bbl range that the long-dated prices have been trading. Interestingly, the bottom ends of both these ranges were tested in the recent selloff, and while the uncertainty over the nature of the risk posed by the sovereign debt issues in Europe underpinned the recent decline in oil prices, the breaking of a number of key technical support levels appeared to exacerbate the declines. The crude oil selloff began with net speculative length in the NYMEX WTI crude oil contract falling sharply as the net speculative short position in the euro grew to one of its highest levels on record (see Exhibit 3). As oil prices subsequently fell, however, they broke a number of technical support levels on the downside, including the 200-day moving average intraday, which triggered a further flurry of technical selling that exacerbated the price declines last week (see Exhibit 4). However, as the view of the European sovereign debt issue improved and oil market fundamentals reasserted themselves, WTI crude oil prices moved back above these technical support levels and near the highs of last week.

     Goldman Sachs Global Economics, Commodities and Strategy Research

     6

     February 13, 2010

     Commodities: Energy Weekly

     Exhibit 3: The growing short position in the euro led the selloff in oil long positions

     contracts (left and right axis)

     -10000 230000

     Exhibit 4: The subsequent decline in oil prices broke a number of technical support levels

     EUR (left axis); $/bbl (right axis)

     85 83

     WTI front month price (high - low)

     1.48 1.46

     -15000

     220000

     81 79 77

     1.44

     -20000 210000 -25000 200000 -30000 190000 -35000 180000

     EUR

     1.42 1.40

     75 1.38 73 71 69 67

     100 day moving average of WTI price

     1.36

     -40000

     1.34

     1.32

     -45000 05-Jan-10

     12-Jan-10

     19-Jan-10

     26-Jan-10

     170000 02-Feb-10

     200 day moving average of WTI price

     65 22-Dec-09 1.30 29-Dec-09 5-Jan-10 12-Jan-10 19-Jan-10 26-Jan-10 2-Feb-10

    9-Feb-10

     EUR

     WTI crude oil (right axis)

     Source: CFTC.

     Source: NYMEX and GS Global ECS Research.

     Goldman Sachs Global Economics, Commodities and Strategy Research

     7

     February 13, 2010

     Commodities: Energy Weekly

     US oil stocks

     Million barrels

     End-of-Week Product Total Petrol Crude Oil Total Product Mogas Jet Fuel

    Distillate Resid Other

     Source: DOE.

     US crude oil stocks

     Million barrels

     Change 30-Jan-09 1042.1 346.1 696.0 220.2 39.5 142.6 34.6 129.0 4Wk -3.0 1.7 -4.7

    8.4 1.6 -2.5 2.5 -1.8 Year 3.9 -17.1 21.0 7.9 3.8 14.0 5.1 6.1

     280 340 380 400

     29-Jan-10 1046.0 329.0 717.0 228.1 43.2 156.5 39.7 135.1

     01-Jan-10 1049.0 327.3 721.7 219.7 41.7 159.0 37.2 136.9

     2009

     360

     2007 2010

     320

     300

     2008

     260 Jan

     Feb

     Mar

     Apr

     May

     Jun

     Jul

     Sep

     Oct

     Nov

     Dec

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