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1、2012 年 2 月 28 日金属市场监测金属价格和供应面推动的油价上涨在初期做空存在高风险研究报告,1990 年下半年供应紧张导致油价飙升，推动现货铝价涨幅超 40%鉴于近期油价上涨，而且供应面问题可能带来油价冲击，我们分析了过去 25 年中三次供应紧张导致油价上涨期间的金属价格走势。根据我们的分析，我们预计因,ForecastsCopper,3mth 12mth8000 9000,意外供应面因素推动的一波油价大涨（或对潜在油价冲击的恐惧升级）可能会与我们温和看涨铝价的观点相符。此外，我们需要提醒投资者，在供应面推动油价大涨的初期，做空其它基本金属存在风险。,AluminiumZincNic
2、kel,2300205018600,2400220018600,%Chg,最新消息和观点,LME Metals Prices 24-Feb,wow,上周，金属价格和中国股市大幅上涨，部分反映出中国存款准备金率自 2 月 24 日下调 50 个基点的影响。中国房地产股在过去一周中表现良好，因政府发布了关于“积极稳妥推进户籍管理制度改革”的通知，此举有望扩大潜在购房群体。上周铝价已经接近我们设定的 2,300 美元/吨的三个月目标价格。我们的中国经济研究团队在走访了保障房项目和相关实体后，预计中国的保障房完工套数将从 2011 年的 300 万套升至 2012/13 年的 540/980 万套。2
3、012 年下半年和 2013 年的保障房完工数预测支撑了我们在这段时期普遍看涨金属价格的观点。虽然资金问题未能全面解决，但我们认为缺口并没有整体数目看上去那么大。预计保障房项目将推动中国 2012/13 年的建筑完工数增长 11%和 14%（我们假设 2012/13 年中国非住宅和住宅完工数的年增幅为 5%）。据报道，隶属于 Freeport、占 2011 年铜供应 2.6%的 Grasberg 铜矿仍受到不可抗力的影响，它已在工会和非工会工人之间的紧张关系升级后停止了运营。同时，欧洲的铜溢价强劲反弹，从 30-40 美元/吨的低点回升至 80-90 美元/，因为我们之前指出的大规模去库存活动
4、已经结束。我们出席了上周的国际锌业协会大会。我们预计 2012 年锌矿年度合同处理费或降至 190 美元/吨(基于锌价 2,000 美元/吨计算)，这部分归因于秘鲁锌精矿供应减少。与此同时，合计约占全球锌供应 3%的 Brunswick 和 Perseverance 矿区计划在 2013 年上半年关闭，这势必造成明年上半年锌精矿供应进一步收紧。,Copper($/t)Aluminium($/t)Zinc($/t)Nickel($/t)Lead($/t)Platinum(US$/oz)Palladium(US$/oz)Gold(US$/oz)Silver(US$/0Z)Metals Indica
5、torsA Share IndexS&P 500Brent Oil($/bbl)Exchange RatesUSD/EURAUD/USDRMB/USD,8531232720802017522081714714177835.6255613631251.3451.0706.298,4.3%7.5%6.9%2.8%8.0%4.6%2.4%3.2%6.2%3.5%0.2%4.9%2.3%-0.1%0.0%,Source:Reuters,Goldman Sachs Global ECS ResearchMax Layton+44(20)7774-1105 高盛国际Allison F.Nathan(212
6、)357-7504 高盛集团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 2 月 28 日,全球,Hedging and trading recommendationsBase metals hedging and trading recommendationsConsumers:We continue to expect that an end to de-stocking in Europe,moderate US growth,Chinese policy easing,and
7、 the build out of social housing will lend support to metals from currentlevels,taking a 6-12 month view.We believe that current prices generally present value toconsumers taking a 6-12 month view(with the exception of nickel).Producers:Despite falling significantly in early February,the nickel pric
8、e remains above ourshort and medium-term forecasts,suggesting producers should continue to consider hedging atcurrent levels.However,we expect copper,aluminium,and zinc prices to rise on a 6-12 monthview,suggesting better opportunities may lie ahead from a producer hedging perspective(thoughaluminiu
9、m is in relatively steep contango).Current trading recommendations,Current trades,First recommended,Initial value,Current Value,Current1profit/(loss),Long WTI Crude Oil,Buy September 2012 NYMEX WTI Crude Oil,February 22,2012-Energy Weekly,$107.55/bbl,$110.56/bbl,$3.01/bbl,Short May-June 2012 WTI tim
10、espreadsSell May 2012 NYMEX WTI Crude Oil,Buy June NYMEX WTI Crude Oil,February 07,2012-Energy Weekly,$0.62/bbl,$0.38/bbl,($0.24/bbl),Long Gold,Buy December 2012 COMEX Gold,October 11,2010-Precious Metals,$1,800.5/toz,$1,787.2/toz,$410.6/toz,Rolled from a long Dec-11 COMEX Gold future position on 13
11、-Nov-11 with a potential gain of$423.9/tozLong UK Natural Gas,Buy Q4 2012 ICE UK NBP Natural Gas,April 26,2011-Natural Gas Weekly,70.8 p/th,70.6 p/th,(0.2 p/th),As of close on February 24,2012.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,Ma
12、r90,May90,Nov89,Dec89,Nov90,Dec90,Aug89,Sep89,Aug90,Sep90,Mar91,Feb90,Feb91,Jul89,Jan90,Jun90,Jul90,Jan91,Oct89,Oct90,Apr90,3,2012 年 2 月 28 日,全球,Potential oil spike likely to see aluminium rise,copper has the mostto loseEscalating concerns over potential oil supply disruptions in Iran and elsewhere,
13、amid a moregeneral tightening in oil fundamentals,are raising the question of the implications of an oil pricespike on base metals prices.We find,by looking at historical periods of supply-driven oil pricespikes and corresponding metals price performance,that while the reaction of metals prices toea
14、ch price spike is different in some way,it is generally better to avoid a metals short positionduring the initial oil price spike.Furthermore,aluminium prices could be strongly supported in thecase of(even a supply-driven)oil price spike,at least initially.In general,aluminium pricechanges have been
15、 the most strongly positively correlated with oil across the base metals,particularly at the long end.Given that there are two opposing forces on metals from an oil price spike,the first is cost push(more bullish for those metals which are digging into the cost curve,and/or have a significantportion
16、 of their costs directly or indirectly linked to oil),and the second is the potential reduction inglobal demand following higher oil prices(bearish for all metals),the driver of the oil price spike isall important.If the oil price spike is supply driven it will be supportive from a cost perspective,
17、butif sustained it will eventually be bearish for metals prices.However,if we see further gradual oilprice appreciation driven primarily by higher demand(in line with our 12-month forecast)this isnot expected to be bearish for metals.We identified a number of periods with supply-shock-related oil pr
18、ice spikes to observe howaluminum(and other metals prices)performed,and highlight three of these periods below.History as a guide-Gulf War IThe first period we investigate is during Gulf War I,which began with the Iraqi invasion of Kuwaiton August 2,1990,ultimately followed by a UN-authorized invasi
19、on of Iraq on January 17,1991.The combined disruptions of Kuwaiti and Iraqi oil production amounted to over 4 mmb/d of lostsupplies(roughly 6%of global oil supply)a massive supply shock.Over this period,oil pricesspiked dramatically,more than doubling from roughly$16.50/bbl in early July 1990 to jus
20、t over$40/bbl by October of that year(see Exhibit 1).,Exhibit 1:Oil rose by over 140%between July andOctober 1990,with aluminium up by over 45%$/t(lhs),$/bbl(rhs),Exhibit 2:During the 1990 oil price spike,aluminium andcopper outperformed gold,silver and platinumIndex:July 2 1990=100,2,300,45,150,2,2
21、002,100,40,140,2,000,35,130,1,9001,800,30,120,1101,700,1,6001,500,2520,10090,1,40080,1,300,15,70,Jul 90,Aug 90,Sep 90,Oct 90,Nov 90,Dec 90,LME Al Cash Price,ICE Brent Oil Price,Al,Cu,Gold,Silver,Pt,Source:Reuters.高盛全球经济、商品和策略研究,Source:Reuters.,th,4,2012 年 2 月 28 日,全球In the same general period,alumin
22、um prices followed suit,rising by more than 45%from theirJuly 1990 trough to their September 1990 peak(see Exhibit 2).Copper also rallied,rising byalmost 30%during the oil price spike.We believe the reaction of aluminium and copper in thisperiod was primarily driven by cost concerns,with both market
23、s coming into this environment withprices cutting into the 90 decile of the cash cost of production during 1989(and likely 1H 1990).As the oil price began to moderate in late 1990,the aluminium price collapsed back to pre-oilspike levels,with other metals prices that were supported by the oil price
24、spike having alreadyretraced their pre-spike price levels.We did not see compelling evidence of global inflation concerns during the oil price spike period,as precious metals prices did not rally as significantly as aluminium or copper,so it is unlikely thatthe base metals were being bought as a hed
25、ge against inflation(or inflation concerns).Therelative strength of aluminium prices was also not likely to reflect concerns about Middle Easternaluminum or copper supply,as only 2%of global aluminium supply came from the Middle Eastduring the early 1990s(compared to over 15%now),and only 1%of coppe
26、r supply was beingproduced in the region at the time(c.2%now).History as a guide-Venezuelan Strike/Gulf War IIThe second period we investigate is early 2003 when a massive strike in Venezuela(begun onDecember 2,2002)in an attempt by the Venezuelan opposition to President Hugo Chvez toforce a new pre
27、sidential election paralyzed their oil industry,leading to a collapse inVenezuelan crude oil production and refinery output and reducing world oil supplies by nearly 3million b/d(3.5%of global oil supply).Although the strike ended by early February 2003,resultingin some rebound in oil supplies in th
28、e proceeding months,this major disruption was soon followedby the invasion of Iraq(Gulf War II)on March 19,2003,which halted over 2 million b/d ofproduction from the country.While the combined impacts of the Venezuelan and Iraqi disruptions amounted to one of thelargest oil supply shocks in history,
29、oil prices rose only 20%if one compares the October 2002price level with the March 2003 peak(see Exhibits 3 and 4).Over this period both copper andaluminium rose significantly,both from near the top of their respective cost curves.From the oilprice trough(November 2002)to peak prices were up by almo
30、st 50%,over which periodaluminium and copper both rose,but by less.Importantly,a large portion of the aluminium andcopper prices gains during the oil price spike were unwound as the oil price unraveled.,Exhibit 3:Oil prices rose almost 50%from trough to peakin late 2002/03 spike,but only up 25%from
31、October 2002peak,aluminium and copper both up over period$/t(lhs),$/bbl(rhs),Exhibit 4:Mixed bag during more moderate late 2002/03spike aluminium underperformed copper during periodIndex:October 2,2002=100,1800,3634,125,120115,1201700,1600,323028,115,110105,110,100,1500,26,24,105,95,1400,22,100,90,8
32、520,1300,18,95,80,1200Jan 02 Feb 02 Mar 02 Apr 02 May 02 Jun 02 Jul 02 Aug 02 Sep 02 Oct 02 Nov 02 Dec 02 Jan 03 Feb 03 Mar 03 Apr 03 May 03 Jun 03LME Al Price(lhs)LME Cu Price(lhs)ICE Brent Price(rhs),16,90Oct 02,Al,Nov 02,Dec 02Cu,Jan 03Gold,Feb 03Silver,Mar 03,Oil(rhs),75,Source:Reuters.高盛全球经济、商品
33、和策略研究,Source:Reuters.,5,2012 年 2 月 28 日,全球History as a guide 2011 Libya civil warThe third period we investigate is February April 2011,when roughly 1.5 million b/d(2%ofglobal oil supply)were disrupted from Libya during a civil war in the country(Exhibit 5).Theperiod during the Libya disruption appe
34、ars different to the previous two examples,in that copperand aluminium prices were already trading well above their respective cost curves,and metalsprices had been rising generally in the period leading up to the disruption(since mid November2010).In this environment,the cost push impact of a spike
35、 in oil prices should be less important.Nevertheless,copper prices only fell very slightly during the oil price spike,which was notablegiven that copper had already rallied very strongly in 2H10 and in early 2011.Meanwhile,aluminium prices rose by almost 10%over the period,though it is hard to tell
36、precisely how muchof this was related to the strength in the oil price China was in significant deficit in aluminium in1H11,and ex Chinese physical premia were holding at high levels during the Libya-related oilprice spike period.,Exhibit 5:Oil rose by more than 20%during the Libyacrisis(mid Februar
37、y to mid April 2011),although marketwas tightening pre-Libya crisis,aluminium also rose$/t(lhs),$/bbl(rhs),Exhibit 6:Aluminium,silver,gold rose during period,while copper and platinum were flat to downIndex:February 1,2011=100,280027002600250024002300,130125120115110105100959085,18017016015014013012
38、011010090,2200Oct 10,Nov 10,Dec 10,Jan 11,Feb 11,Mar 11,Apr 11,May 11,80,80Feb 11,Mar 11,Apr 11,May 11,LME Al Price,ICE Brent Price(rhs),Oil,Al,Cu,Gold,Silver,Pt,Source:Reuters.,Source:Reuters.,What can we learn from history?In the first two supply-driven oil price spike periods it appears that cost
39、-push factors drovealuminium and copper price increases(to varying degrees)evidenced by the fact that a largeportion(if not all)of the oil price spike-related price increases were unwound as oil unwound.Thethird period is more difficult to draw conclusions from as discussed above.Aluminium takeaway
40、1:With aluminium trading around the top end of the ex-China cost curveat present,a major supply-driven spike in oil prices would be expected to at least supportaluminium prices at current levels of$2,327/t,if not result in higher prices,based on the threeexamples above.Aluminium takeaway 2:One major
41、 difference now to the early 1990s or the2002/03 episode is that the aluminium market is much more dependent onsupply from the Middle East today,than it was over 10-20 years ago.In otherwords,a conflict in the Middle East could threaten significant output or shipments from the region,c.15%of global
42、output came from the Middle East in 2011,compared to c.5%of output in 2002and c.2%of output in 1989.Of the 15%of output from the Middle East in 2011,6.3 pp wasproduced in Iran(350kt,1.4 pp),Oman(370kt,1.5 pp),and Bahrain(890kt,3.4 pp).Copper takeaway 1:Given copper is trading well above the cost cur
43、ve at present,similaritieswith a cost-driven rally in the copper price like the ones we saw in the early 1990s and 2002/03高盛全球经济、商品和策略研究,60,6,2012 年 2 月 28 日,全球episodes appear unlikely.As such,we do not see copper rallying significantly in the face of apotential supply-driven oil price spike,althoug
44、h we would be wary of being short biased in theinitial oil price rally.Copper takeaway 2:Iran produced c.1%of copper mine supply in the early 1990s,and 1.7%or280kt of mine supply in 2011,with Oman the only other producer in the Middle East(a smallproducer at 0.2%mine supply).Together with the issues
45、 at Grasberg,a disruption to Iraniansupply would act to offset any crimping of demand related to higher oil prices.Aluminium and oil have the strongest positive correlationIn general,we have seen a relatively strong correlation between oil and base metals priceshistorically.While correlation analysi
46、s is very sensitive to the time period observed,we typicallyfind that correlation to oil is highest in aluminum and greatest at the back end of the forward curve,versus the front end(see Exhibits 7 and 8).,Exhibit 7:Correlation has been strongest between oil andaluminum prices,and in longer-dated pr
47、icesCorrelation on monthly%changes,Exhibit 8:There is a tight relationship between long-dated oil and long-dated aluminum prices$/mt,left axis;$/bbl,right axis,1998presentWTI1moBrent1moWTI5yrBrent5yr,alm3mo45%48%48%48%,cpl3mo47%48%42%42%,nik3mo33%39%28%27%,zin3mo31%34%30%29%,alm5yr43%44%53%54%,cpl5y
48、r42%44%42%42%,nik5yr21%26%25%24%,zin5yr35%36%36%35%,40003500,160140120,2008present,alm3mo cpl3mo nik3mo zin3mo alm5yr,cpl5yr,nik5yr,zin5yr,3000,WTI1moBrent1mo,65%73%,72%78%,48%62%,52%58%,66%73%,72%78%,49%62%,54%60%,100,WTI5yrBrent5yr,66%68%,63%63%,44%43%,46%45%,70%72%,65%64%,43%42%,52%52%,2500,80,20
49、10presentWTI1mo,alm3mo cpl3mo nik3mo zin3mo alm5yr49%46%34%43%56%,cpl5yr46%,nik5yr44%,zin5yr44%,2000,Brent1mo,78%,66%,63%,64%,82%,73%,70%,67%,40,WTI5yrBrent5yr,66%67%,68%70%,62%64%,71%70%,70%72%,66%67%,59%61%,73%74%,1500,20,1000,0,98,99,00,01,02,03,04,05,06,07,08,09,10,11,12,Aluminum(lhs),Brent(rhs)
50、,Source:NYMEX,ICE,LME,Goldman Sachs Global ECS Research.,Source:LME,ICE.,The stronger correlation between long-dated aluminum prices and long-dated oil prices isconsistent with the cost-push argument,as we typically expect longer-dated prices to reflect theeconomics of marginal production.Although g
