利差依舊維持在高檔
如何解讀殖利率曲線(10-2年公債利差) / Mr.X艾克斯
Baa利差,十年和兩年債利差(殖利率曲線)與股市關係圖請見正宗多空



BAA利差維持低檔


抗通膨公債利差已經來到2006~2007年的高檔,油價愈小不易

近期高盛喊空油價,相關報告摘要如下

While prices are back at levels of spring 2008, supply-demand
fundamentals are significantly less tight
The unfolding events in North Africa and the Middle East have pushed up
Brent crude oil from $100/bbl in mid-February to over $125/bbl last Friday.
These high prices levels invite comparison to the spring of 2008, when
crude oil prices first breached these levels in May before peaking at over
$145/bbl by early July. We believe that there are fundamental differences
between now and the spring of 2008: Both inventories and spare capacity
are much higher now and net speculative positions are four times as high
as in June 2008.

We expect the oil market will experience a substantial pullback
toward our $105/bbl near-term Brent crude oil price target
Consequently, we continue to believe that - even with the loss of Libyan
production - the oil market has adequate inventory and OPEC spare
production capacity to avoid the degree of physical tightness experienced
in 2008 well into next year. Although the contagion risk in the Middle East
and North Africa (MENA) remains elevated, and the oil market’s ability to
weather the loss of supplies from another producer in the region is limited,
we believe that, with the market continuing to embed at least a $10/bbl risk
premium in prices, that the price risk is becoming more symmetric at these
price levels as we believe that the market will experience a substantial
correction toward our $105/bbl near-term target for Brent crude oil in
coming months.

Consequently, we no longer believe that the risk-reward tradeoff merits a
long oil position in the near-term, and we are closing our long April
European ICE gasoil trading recommendation (first recommended on
the January contract on November 10, 2010 at $953.25/mt, subsequently
rolled to the March and April contracts for a total profit of $305.25/mt).

Hedging recommendations
Consumers: Concerns about the potential for further oil production losses in the Middle
East and Northern Africa (MENA) have embedded $10/bbl risk premium into oil prices.
Consequently, we recommend waiting before hedging core long-dated positions as a
selloff from the record high net speculative positions similar to last year would bring prices
closer to our short term forecast which is roughly $20/bbl below current prices (Brent).
However, with effective OPEC spare capacity now below 2 million b/d, any further supply
disruption will push prices up sharply, suggesting consumers consider options strategies
to mitigate this upside risk to prices.

Refiners: Refining margins have recently shown counter-seasonal strength after a period of
weakness following the sharp May 2010 sell-off. However, this is largely owed to the
weakness in WTI while products are reflective of global crude oil prices such as Brent and
LLS. As we expect that the spread between WTI and Brent will narrow from here, we would
also expect that product cracks will weaken. Further, we also expect refining margins to
remain under pressure owing to the large increase in refining capacity in Asia. As a result,
we view any renewed rise in long-dated refinery margins in 2011 as a selling opportunity
for refinery hedgers. For 2012 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
backwardation, suggesting that refiners should also then look for potential time-spread
hedges.

Producers: The risk-reward trade-offs for producer risk management programs have
improved significantly as crude prices have reached the levels of spring 2008. A selloff in
net speculative positions should bring prices closer to our short term forecast, which is – in
the case of Brent – $20/bbl below current levels. Producers should look at option strategies
to hedge against this risk.

Trading recommendations
Closing long European April 2011 ICE gasoil trading recommendation, current
value $1,050.50/mt; (first recommended on the January contract on November 10, 2010 at
$953.25/mt, subsequently rolled to the March and April contracts for a total profit of
$305.25/mt).

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