金属研究报告：基本金属价格反弹,因市场对中国政策信心改善且欧洲债务危机担忧缓解

2010201083日高盛集团高盛全球经济、商品和策略研究高盛集团高盛全球经济、商品和策略研究商品金属研究报告基本金属价格反弹，因市场对中国政策信心改善且欧洲债务危机担忧缓解预期稍显提前。JoshuaJoshuaCrumbjoshua.crumb@高盛国际AllisonF.Nathan(212)357-7504allison.nathan@高盛集团杰夫·可瑞jeffrey.currie@高盛国际陈寅华tiger.chen@（亚洲）有限责任公司由于市场对中国政策前景信心回升，而且对欧洲债务危机或拖累全球增长的恐慌情绪减弱，金属价格大幅走高。中期前景最佳的锌与铜领涨，印证了我们有关较长期经济增长预期仍将成为相对价格水平主要推动因素的看法。除信心改善外，另一原因在于现货市场适度收紧，全球库存持续消耗，各类产品的交割升水仍保5月底以来经济指标表现不振。多头的风险回报水平下降，但我们预计铜价与锌价有进一步上涨空间2010年下半年趋势增长预期的波动性将令基本金属价格出现3个月、612个月预测进行系统性延展7,925美元/201012月到期的铜。但鉴于短期内存在不确定因素、近期价格走强而且波幅相对较低，我们认为当前环境为下半年生产商对冲提供了良机。短期内镍价风险趋于上行，但中期内为中性价面临的风险趋于下行。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/research/hedge.html或请与您的投资代表联系。2010201083日商品PAGE2PAGE2HedgingrecommendationsBaseMetalsHedgingRecommendationsConsumers:Consumerhedgingopportunitieshavebecomelesscompellingintoyear-endfollowingtherecentrally.However,webelievethatpriceriskforbothcopperandnickelinparticularremainsskewedtotheupsideinthenearterm,suggestingthattheforwardcurvecontinuestoholdsomevalue.Webelievethatlong-datedprotectionremainsprudentincopperandzinc,themoresupply-constrainedmetals,inourview.Producers:Althoughwebelievethatpriceriskforcopperandnickelintheneartermandzincoverthemediumtermisskewedtotheupside,giventhenear-termuncertainty,recentpricestrengthandrelativelylowvolatility,webelievethatthecurrentenvironmentisprovidingacompellingopportunityforsecondhalfproducerhedging.TradingRecommendationsLongCopper:BuyDecember2010Copper(Currentvalueat$7,519/mt;firstsuggestedat$6,508/mt;$1,011/mtgain)WemaintainourrecommendationforalongDec10copperposition.CurrenttradingrecommendationsCurrenttradesFirstrecommendedvalueCurrentValueCurrentf/los1LongPlatinumBuyOctober2010NYMEXPlatinumJuly15,2009-CommodityWatch1555/oz$1,602.2/toz$432.8/tozRolledonJune20,2010fromaBuyJuly2010NYMEXPlatinumfora$426.1/tozgainLongWTIBuyDecember2010NYMEXWTIFebruary5,2010-CommodityWatch7.5b8.2bl$5.07/bblLongCopperBuyDecember2010CopperMay18,2010-Metals$6,508/mt$7,519/mt$1,011/mt¹AsofcloseonAugust2,2010.Inclusiveofallpreviousrollingprofits/losses.Source:GoldmanSachsGlobalECSResearch.Priceactions,volatilitiesandforecastschanges1monthlychanges2HistoricalPricesPriceForecastsunits02AugChangeImpliedChangeRealizedChange4Q081Q092Q093Q094Q091Q103m6m12mEnergy🡅9.20🡅9.17🡅0.13🡅0.17🡅0.24🢛-7.00$/bbl81.3433.9-2.1029.1-4.259.0843.3159.7968.2476.1378.8887.0087.0098.00BrentCrudeOil$/bbl80.8233.0-2.0225.2-6.357.4945.7259.9068.8775.5477.3785.5085.5096.50RBOBGasoline$/gal2.1135.4-1.5526.7-5.71.341.251.711.861.942.112.262.132.54Oil$/gal2.0233.4-1.9531.3-2.31.781.281.511.731.942.012.302.352.52$/mmBtu4.9254.3-0.0840.0-12.66.404.473.813.444.934.994.755.005.25UKNBPNat.Gasp/th40.6654.11.2352.7-0.565.5945.3027.5723.4831.8333.3535.0034.1035.10IndustrialMetals4🡅281🡅1100🡅3150🡅342LMEAluminum$/mt221730.0-4.0821.8-8.4188514011530183620372199205021602210$/mt751036.9-3.7324.7-13.5394834944708585666777274716779258050LMENickel$/mt2195047.5-2.5727.0-24.6111181062513147175761759320163213332166720000LMEZinc$/mt212242.7-2.3932.8-20.0121912081509178022412307203321212225PreciousMetals🢛-24🡅0.1$/troyoz118319.5-1.5717.7-0.879691092396210991110124012901355$/troyoz18.130.0-2.2426.6-11.910.212.613.814.717.616.920.721.522.6Agriculture🡅174🡅90🡅27🡅6🡅10🡅161🡅2.9🡅3.2🡅5.8cent/bu66230.82.6242.414.3547548564485522496520550575cent/bu105323.2-0.9519.03.6896942112810491002955975950950cent/bu39128.4-0.7335.0-3.5384377406327386370415450450cent/lb84n/an/a20.26.4474654607176707070cent/lb173n/an/a34.4-4.5112113124125139134140140140$/mt3082n/an/a32.72.4225225532499286732593070310027002700cent/lb19.633.9-0.6812.714.720.623.624.415.015.012.0cent/lb92.7n/an/a11.0-0.288.783.883.085.483.690.593.095.095.0cent/lb85.8n/an/a20.3-6.953.757.869.778.080.085.01Monthlychangeisdifferenceofcloseonlastbusinessdayandcloseamonthago.4BasedonLMEthreemonthprices.Source:GoldmanSachsGlobalECSResearchestimates.BasemetalpricesrecoveringonChina,diminishingfinancialstressImprovedsentimentonChinesepolicydirectionandreducedfearsthataEuropeanfinancialdislocationwouldderailthegrowtheconomieshavedrivenmetalpricesoutoftheirrecentrange,withsharpgainsledbyzincandcopper,themetalswiththestrongestmedium-termoutlook,inourview.Addingtotheimprovingsentimenthavebeenmildlytighterphysicalmarkets,asglobalinventoriescontinuetodrawanddeliverypremiumsacrossproductsremainfirmdespitesomeseasonalweaknessandsofteningeconomicindicatorssincelateMay.Althoughtherecentbreakouthaslargelybeenattributedtoshortcovering,technicalbuyingand/ormonth-endflows,itisimportanttoemphasizethatthemoveshavebeengenerallyinlinewithourfundamentalexpectationsandrelativeoutlookbetweenmetals,andhaveonlyoccurredslightlyearlierthanweexpected.Specifically,webelievethatthefollowinghavebeenthemaindriversfortherecentgains:CommentsfromChinesepolicymakersunderscoringthattherecentmoderationinChinesegrowthhasbeenintentional–managedthroughpolicy–andreiterationoftheiradherenceto“appropriatelyloose”monetaryand“proactive”fiscalpolicies;KeyfinancialuncertaintiesbeginningtodiminishpostEuropeanbankstresstestsandwiththepassageofUSfinancialreformnowbehindus;Corporateearningsreportsthatpointtobothgenerallyimprovingdemandoutlooksfromkeyend-usesectors,aswellaslacklustresupplynumbersfromsomekeymetalproducers;Signsofmildtightnessinthephysicalmarketsandimprovingcyclicalfundamentalsinthefaceofseasonalweakness.WhilealloftheabovefactorshavebeenimportantindrivingthepricegainssincetheJunelows,wecontinuetopointtoimprovementinlonger-termgrowthexpectationsandsentimentaboutChinesedemandasbeingthekeydriverofrelativepricelevels.Whilehighexchangeinventoriesacrossmetalsshouldlimittimespreadstrengthinthenearterm,pricelevelswilllikelyremainsupportedbylong-datedpricesthatovertimereflectthemarginalcostofproductionneededtomeettrend-growthdemand(i.e.structuralprice).AsdiscussedinourJune21pieceMetals–Marketreassessingtrendgrowth–butlikelyunwarranted,webelievethatthisstructuralpricesupportwasimportantaspricesfellinMayandJune,withlowermarketexpectationsoftrendgrowthand,inturn,reducedpriceincentivefornewproduction.Incontrast,improvedsentimentaroundChinaandreducedfearsaboutnegativefinancialandeconomicimplicationsstemmingfromEuropeandebtissueshavelikelybeenakeycatalystforreboundingprices,despitestrongmacroeconomicheadwindsintheUSandotherdevelopedeconomies.Weseeevidenceofthisdynamicbylookingatcross-marketcorrelations,ascoppermovedwithafallingeuroinMayandJune,andhassincerisenwithChinesestockmarketsinJuly(seeExhibit1).TheChinesePMIoutthisweekendhassofarreinforcedtherecentimprovingsentimentwiththeindicatorof51.2–justslightlybelowconsensus–nottooweaktosubstantiallyheightenconcernsoverChinesegrowth,nortoostrongtoincreasethelikelihoodoffurtherpolicytightening.Accordingly,zincandcopper–thetwometalswiththestrongestmedium-termoutlooksinourview–haveledtherecentgainsdespiteverydifferentshort-termoutlooks.Exhibit1:CoppermovedwithafallingeuroinMayandJunebuthassincerisenwithChinesestockmarketsinJulyCorrelation1.00.20.0-0.2-0.4Jan-10 Feb-10 Mar-10 Apr-10 May-10 Jun-10 Jul-10Correlation:LME3-monthcoppervsSHCOMPCorrelation:LME3-monthcoppervs1/EURSource:LME,SHSE,GoldmanSachsGlobalECSResearch.Goingforward,wecontinuetobelievethatfluctuationsintrendgrowthexpectationswilldrivepricevolatilityduring2H2010.Further,giventhestrengthoftherecentrally,wethinktherisk/rewardforlongpositionshasbecomelesscompelling.However,webelievethatthefundamentaldriversformetaldemandremainstrongandwecontinuetoexpectfurtherupsideforcopperandzincinparticular,themoresupply-constrainedmetalsoverthemediumterm.Specifically,thesystematicrollingofour3-,6-and12-moforecastssuggestsa6-mocopperpriceforecastof$7,925/mt(seeExhibit2).Accordingly,wemaintainourrecommendationforalongpositionintheDecember2010copper.However,giventhenear-termuncertainty,recentpricestrengthandrelativelylowvolatility,webelievethatthecurrentenvironmentisprovidingacompellingopportunityforsecondhalfproducerhedging.Althoughwebroadlyremainmoreneutraltobearishonnickelandaluminumoverthemediumterm,webelievethatnickelmayalsohavenear-termupsidebeforeyearendgiventheriskofanothertemporaryimbalance.However,aluminumpriceriskisskewedtothedownsidefromcurrentlevels,inourview.Exhibit2:GoldmanSachsbasemetalspriceforecastsUnitGoldmanSachsForecast3m 6m 12mMarketforwardcurve13m 6m 12mCopper$/ton7,1677,9258,0507,5147,5257,520Aluminum$/ton2,0502,1602,2102,2232,2492,296Nickel$/ton21,33321,66720,00021,96221,98421,929Zinc$/ton2,0332,1212,2252,1282,1532,1831AsofmarketcloseonAugust2,2010.Source:GoldmanSachsGlobalECSResearchestimates.ImprovingsentimentowinglargelytoChina,EuropeleadingpriceshigherAmarkedshiftinpolicytonefromChinesepolicymakersenteringintoJulyhasbeenacriticalcatalystforimprovingsentimentinthemetalsmarketsasChinaremainsthekeydriverofglobalmetalsdemand.Posttheintroductionofproperty-relatedmeasuresinmid-April,China’sdomesticShanghaiCompositeIndexhadfallen24.3%bytheendofJune.However,sincelateJunepolicymakersatdifferentlevelshavewidelyexpressedcautiononpotentialpolicymisstepsfromtheimplementationoftighteningmeasuresandhavereiteratedtheirstanceofadheringtoappropriatelyloosemonetaryandproactivefiscalpolicyprinciples.Buildingonthisbaselinestance,astreamofnewpolicymeasureshasbeenreleasedorareunderdiscussionwithafocusonre-engineeringthecountries’growthmodelintoaconsumption-drivenonethroughanurbanizationpush.ThesecommentsandinitiativeshavealleviatedmarketfearsofadrasticslowdownscenarioandaprematurestimulusexitstrategyasreflectedinasharpreversalinChineseequityperformanceinrecentweeks.Thesepoliciesgenerallytakeoneofthreeforms,inourassessment:Measurescenteredaroundalargepro-westernregiondevelopmentpush(i.e.doublinglocalfixedinvestmentsin5years,23newinfrastructureprojects,etc),whichwillcontinuetolendsupporttoChinesemetalsdemandintheupcoming12th5-yearperiod;Thegradualrolloutofresourcetaxesandmandatoryreductionsofidle/inefficientcapacitiesincertainindustries(e.g.steel,aluminum),whichwilllikelyfurtherreducesupplyincentives;Otherpoliciesgenerallysupportiveofrestructuringtheeconomy(e.g.long-termplansfor7strategicemergingindustries,restructuringofSOEs,etc),whichwilllikelykeepmarketsentimentupbeatinthenearterm.ReinforcingthepolicyoptimismhasbeenrecentdatasuchastheChinesePMIreleasedovertheweekend,whichfellslightlybelowmarketexpectations–strongenoughtodiminishconcernsaboutsharpeconomicdeteriorationbutweakenoughallayfearsofrenewedtightening.AlsocontributingtoimprovedsentimentinthemetalsmarketshavebeendiminishedconcernsaboutthepotentialforEuropeansovereigndebtissuestodestabilizethefinancialmarketsandultimatelyderailtheongoingeconomicrecovery.TheEuropeanbankstresstestresults,whichweregenerallyviewedfavorablybythemarkets,havecontributedtothecalmingofmarketfears.Moreover,substantialupsidesurprisestoEuropeaneconomicdata,includingtheGermanIFOand,morerecently,EurolandPMI,havefurtherbolsteredsentimentabouttheregion.Cyclicalindicatorsremainsteady;nickelmaybesusceptibletoanotherperiodoftightnessbeforenewsuppliescomeonline,butcopperremainsmostpoisedforsustainedupsideCyclicalindicatorsacrossthemetalsalsoremaingenerallysupportive.Althoughwehavebeencautiousabouttheimplicationsofslower3Q2010growthinChinaandtheUSontopofseasonalpatternsofsoftnessinnorthernhemisphereindustrialproduction,deliverypremiumsacrossmetalsandregionshaveremainedsteady,exchangeinventorydrawshavecontinuedatastablerate,andtimespreadshaveevenrecentlytightenedacrossmetals(seeExhibit3).Furthermore,althoughChineseimportshavecomeoffoverrecentmonths,implieddemandlevelsremainexceptionallyhighintothismanagedslowdownexceptforperhapsnickel(seecopperimplieddemandinExhibit4).Thisresilienceinmetalsfundamentalsunderscorestheimportanceoffocusingondemandlevelsratherthangrowthrateswhenitcomestocommodities,asongoingeconomicgrowth–albeitataslowerpace–hascontinuedtosupporthighlevelsofdemandthathavekeptkeymetalsmarketsinslightdeficit.Exhibit3:Aluminumtimespreadshavestrengthenedwhilephysicalpremiumsremainfirm$/mt140.0

-15.0

Exhibit4:ChineseimpliedcopperdemandremainedexceptionallyhighintothismanagedslowdownKmt800120.0

-20.0

700100.0

-25.0

60050080.0

-30.0

40060.0

-35.0

30040.0

-40.0

200

Jul-09 Sep-09 Nov-09 Jan-10 Mar-10 May-10 Jul-10Rotterdam,d-u,western,prompt (RHS)

-45.0

1000 Jan-04 Oct-04 Jul-05 Apr-06 Jan-07 Oct-07 Jul-08 Apr-09 Jan-10Source:CRU,LME,GoldmanSachsGlobalECSResearch. Source:ChinaNon-FerrousMetalIndustryAssociation,GoldmanSachsGlobalECSResearch.Specifically,feedbackfromourclientscontinuestosuggestthatdeveloped-marketmetalconsumingindustrieshaveremainedexceptionallyhand-to-mouthinpurchasingduetothelackofclarityinend-usedemandandtightmanufacturingmarginsfromexcesscapacity.Thisconservativeterm-purchasingpatternhasgenerallyledtocautiousnear-termoutlooksonthepartofproducers,particularlywithhighexchangeinventorieslooming.However,ourproducerclientsacrossmetalproductscontinuetoremarkthatdemandforspotmaterialremainshealthy,inmanycasessurprisinglyso.Manyoftheexplanationsforthecurrenttightnessareshort-terminnature,andcancelledwarrantsasapercentageofexchangestockshavestartedtoretreatinrecentweeksforaluminumandnickel(seeExhibits5and6).Exhibit5:Cancelledwarrantsasapercentageofexchangestockshavestartedtoretreatinrecentweeksforaluminum…Percent10.0%

Exhibit6:…andnickelaswellPercent14.0%9.0%8.0%7.0%

12.0%10.0%6.0%5.0%4.0%

8.0%6.0%3.0%

4.0%2.0%1.0%

2.0%0.0%Jan-09 Apr-09 Jul-09 Oct-09 Jan-10 Apr-10 Jul-10Hist.Avg.

0.0%Jan-09 Apr-09 Jul-09 Oct-09 Jan-10 Apr-10 Jul-10NickelCancelledWarrants% Hist.Avg.Source:LME,GoldmanSachsGlobalECSResearch. Source:LME,GoldmanSachsGlobalECSResearch.However,theunderlyingthemeremainssurprisingtightnessacrossmetalproductsandregions:FreeportMcMoRanrecentlycommentedthatcoppermarketsarestrongerthaneconomicindicatorssuggestintheUS;Non-ferrousscrapmarketsremaintight;LMEnickeldrawsremainunexpectedlystrongandferronickelmarketsremainwellsupporteddespiteasoftstainlesscycle;AluminumbilletpremiumsintheUSareat3-yearhighsaheadoflowerexpectedRioTintoAlcanmaterialslaterintheyear;Partlyduetothishand-to-mouthuncertainty,webelievethatnickelmayagainbesusceptibletounexpectedtightnessintoyearend.NickelhasslightlyunderperformedtheothermetalsduringthelateJulypricerecovery,likelyduetothesettlementofthenearlyyear-longstrikeactionatValeInco’sSudburyoperationsinearlyJuly.Althoughwebelievethatthereislessupsideriskofstructuralsupplyconstraintsinthemedium-termcomparedtocopperorzinc,webelievetheremaybeanotherperiodoftightnesslaterthisyearbeforenewsuppliescomeonline.NewprojectssuchasGoro,RamuandTalvivaaracontinuetounderperformramp-upexpectationsearlierintheyear,andgivenrisksinValeInco’stimingforbringingSudburyproductionbackonlineandthecontinuedreductionoutofVoisey’sBay,wearenotconfidentthatthesupplydeficitseenearlierintheyearwillbealleviatedaheadofthenextstainlessrestocking.However,wemaintainthatdespitethisnear-termupsideriskfornickel,copperremainsthemetalmostpoisedforsustainedupside.Reinforcingthisviewhasbeensustaineddrawsincopperinventoriesthroughthetypicallyweakseasonalcycleandthefreshroundofbelow-estimateproductionfiguresfromkeymetalproducers.Whileglobalmineproductionin2009sawatemporaryreductioninunplannedoutagesandahalttofallinggrades,partiallyduetohigh-grademiningandstockpileplanningduringthecrisis,thefirsthalfof2010nowlookslikemoreofthesameforfallinggradesandbelow-forecastproductiontrends.However,wewouldalsonotethatproducerscontinuetheirbullishprojectoutlooks,withnoapparenthesitationinpushingprojectsforwarddespitethe2Q2010volatilityinpricesandglobalgrowthexpectations.Nevertheless,webelievethatthe2Q2010reportingseasonhasreinforcedourconstructiveoutlook.20108201083日商品PAGE10PAGE10Exhibit7:AluminumpriceandexchangeinventoriesAllexchangeinventoriesinthousandmt(leftaxis)andLMEcashpricein$/mt(rightaxis)

Exhibit8:CopperpriceandexchangeinventoriesAllexchangeinventoriesinthousandmt(leftaxis)andLMEcashpricein$/mt(rightaxis)6000

3500

1800

1000050004000300020001000

30002500200015001000500

1600140012001000800600400200

9000800070006000500040003000200010000 02003 2004 2005 2006 2007 2008 2009 2010Inventory('000tonnes,LHS)

0 02003 2004 2005 2006 2007 2008 2009 2010Inventory('000tonnes,LHS) Source:LME,GoldmanSachsGlobalECSResearch. Source:LME,GoldmanSachsGlobalECSResearch.Exhibit9:NickelpriceandexchangeinventoriesAllexchangeinventoriesinthousandmt(leftaxis)andLMEcashpricein$/mt(rightaxis)

Exhibit10:ZincpriceandexchangeinventoriesAllexchangeinventoriesinthousandmt(leftaxis)andLMEcashpricein$/mt(rightaxis)180

60000

1000

5000160140

50000

900800

4500400012010080604020

40000300002000010000

700600500400300200100

3500300025002000150010005000 02003 2004 2005 2006 2007 2008 2009 2010tonnes,LHS)

0 02003 2004 2005 2006 2007 2008 2009 2010Inventory('000tonnes,LHS) Source:LME,GoldmanSachsGlobalECSResearch. Source:LME,GoldmanSachsGlobalECSResearch.Exhibit11:Aluminumforwardpricecurve$/mt2500

Exhibit12:Historical3-monthaluminumprice$/mt24002300

2200 210020001900

18001700Aug-09Nov-09Feb-10May-10Aug-10Nov-10Feb-11May-11Aug-11Nov-11Feb-12May-1230Jul10 30Jun10 30Jul09

Source:GoldmanSachsGlobalECSResearch. Source:GoldmanSachsGlobalECSResearch.Exhibit13:AluminumtermvolatilityImpliedvolatilityinpercent40%

Exhibit14:HistoricalaluminumvolatilityRealizedvolatilityinpercent36%32%28%24%

20%1-mo 3-mo 6-mo 1-yr 2-yr

02Aug10 02Jul10 31Jul09Source:GoldmanSachsGlobalECSResearch. Source:GoldmanSachsGlobalECSResearch.Exhibit15:Copperforwardpricecurve$/mt7500

Exhibit16:Historical3-monthcopperprice$/mt7000

6500

6000

5500

5000Aug-09Nov-09Feb-10May