从面积之争及价格周期看CBOT价格

1、从面积之争及价格周期看,CBOT,价格,中粮期货农产品研发团队,2010,年,12,月,北京,1,背景与观点,全球九大油脂库存,35,年以来最低水平，需求增长强劲,充足的流动性助推资产价格，中国尤甚,全球主要谷物均存在补库存的需求,美豆近月连续期价明年有望试探,1500-1620,美分区间,美豆油近月连续合约价格高点有望接近,62.75-66.93,美分,时间周期上，高点区域应重点关注,3,月底,4,月初及,7,月份,背景与观点,_2010,1/14,中粮期货,忠良品格,2,研发理念,研发支持交易，投研一体化,研发,内容,供需结构,供给,需求,价格结构,周期,季节性,平衡表,循环平衡,期望价格

2、,建仓时机,2/14,中粮期货,忠良品格,3,北美供给,面积之争,在极高单产时，美豆面积可以减少,154,万英亩，玉米面积可以减少,105,万英亩,当单产较低时，美豆面积需要增加,164,万英亩，玉米面积需要增加,433,万英亩,美玉米,2011-2012,高单产,种植面积,收获面积,收获比率,美豆,不同单产下的种植面积,2011-2012,高单产,趋势单产,79.35,78.47,0.989,趋势单产,92.55,85.55,0.9244,种植面积,收获面积,收获比率,87.17,80.58,0.9244,76.17,75.33,0.989,单产,170,160.1,高单产与趋势单产,单产,

3、45,43.2,期初库存,产量,总供给,食用、工业需求,出口,902,13698,14600,6120,902,13698,14600,6120,期初库存,产量,总供给,压榨,出口,185,3390,3575,1640,185,3390,3575,1640,1900,5380,13400,1200,1900,1580,105,3325,250,1580,105,3325,250,反推供给,种子、残余,总需求,期末库存,资料来源：中粮期货,5380,13400,1200,食用、种子、残余,假设需求不变或小幅变化,均值库存水平,总需求,期末库存,3/14,中粮期货,忠良品格,3.1,面积之争,玉米

4、更具吸引力,相似年份统计数据显示,大豆玉米总种植面积平均增加,2.65,总面积中美豆占比例平均下降,2.11,历史相似年份大豆占比变化,年份,大豆面积（千英亩,玉米面积,总面积,大豆占比,大豆占比变化,大豆玉米比价,高价格和种植面积关系,年份,总面积变化率,大豆价格涨幅,玉米价格涨幅,资料来源,ERS,中粮期货,1969,42534,64264,106798,0.3983,0.00642,2.025862,1970,43082,66863,109945,0.3919,0.02233,2.142857,1975,54590,78719,133309,0.4095,0.03674,1.937008

5、,1995,62495,71479,133974,0.4665,0.01888,2.074074,2006,75522,78327,153849,0.4909,0.08182,2.115132,均值,0.4314,0.02109,2.058987,1973,0.0125,0.30,0.62,1980,0.0152,0.21,0.23,1987,0.0175,0.23,0.29,1988,0.0520,0.26,0.31,1995,0.0705,0.23,0.43,2007,0.0217,0.57,0.38,均值,0.0265,0.2995,0.3794,4/14,中粮期货,忠良品格,3.2,面

6、积之争,美豆面积减少、美玉米面积增加,美豆美玉米种植总面积,175.00,170.3,170.00,165.00,160.00,155.00,150.00,145.00,158.3,156.1,153.8,153.8,163.9,161.7,165.9,2011/2012,年度，大豆玉,米总种植面积接近于,165.936,1+0.0265,170.336,百万英亩,2011,2004,2005,2006,2007,2008,2009,2010,2011/2012,年度，美豆总,种植面积可能接近于,77.714,1-0.02109,76.182,百万英亩,2011/2012,年度，美玉米,总种植

7、面积可能接近于,170.336-76.182=94.154,百万英亩,资料来源,USDA,中粮期货,5/13,中粮期货,忠良品格,3.3,供需结构,美豆偏紧，美玉米接近均值,结论,2011/2012,年度，美豆供需继续偏紧，豆类期价受支撑,2011/2012,年度，美玉米实现补库存，二者比价将回归,美玉米供需平衡表,2009/2010,2010/2011,2011-2012EST,million acres,种植面积,86.48,88.22,94.15,收获面积,79.59,81.26,86.79,收获比率,0.9203,0.9211,0.9218,单产,164.7,154.3,160,mil

8、lion bushels,期初库存,1,673,1,708,902,产量,13,110,12,540,13,887,总供给,14,791,14,262,14,789,食用、工业,需求,5,930,6,180,6120,出口,1,987,1,950,1900,种子、残余,5,167,5,300,5380,总需求,13,084,13,430,13400,期末库存,1,708,832,1,389,资料来源：中粮期货,美豆供需平衡表,2009/2010,2010/2011,2011-2012EST,million acres,种植面积,77.45,77.71,76.18,收获面积,76.37,76.8

9、2,75.34,收获比率,0.9861,0.9885,0.989,单产,44,43.9,44,million bushels,期初库存,138,151,185,产量,3,359,3,375,3,315,总供给,3,512,3,536,3,500,压榨,1,752,1,665,1640,出口,1,501,1,590,1580,食用、种子,残余,108,117,105,总需求,3,361,3,371,3325,期末库存,151,165,175,6/13,中粮期货,忠良品格,1100,1400,1250,200,350,500,650,800,950,资料来源：中粮期货,价格,3.4,供需结构,库存

10、偏紧，价格受支撑,美豆库存消费比偏低，全球大豆供给增长寄希望于南美,美豆库存消费比,VS,美豆期价,7/14,0,4,8,库存消费比,7,6,7,7,7,7,7,8,7,8,7,9,7,9,8,0,8,0,8,1,8,1,8,2,8,2,8,3,8,3,8,4,8,4,8,5,8,5,8,6,8,6,8,7,8,7,8,8,8,8,8,9,8,9,9,0,9,0,9,1,9,1,9,2,9,2,9,3,9,3,9,4,9,4,9,5,9,5,9,6,9,6,9,7,9,7,9,8,9,8,9,9,9,9,0,0,0,0,0,1,0,1,0,2,0,2,0,3,0,3,0,4,0,4,0,5,0

11、,5,0,6,0,6,0,7,0,7,0,8,0,8,0,9,0,9,1,0,1,0,1,1,1,1,1,2,12,16,20,24,32,28,中粮期货,忠良品格,4,南美供给,天气威胁,阿根廷天气继续干燥，降雨量偏少,16000,14000,12000,10000,8000,6000,4000,2000,0,1,月,2,月,3,月,阿根廷主产区降雨均值,2010,年月度降雨均值,4,月,5,月,6,月,7,月,8,月,9,月,10,月,11,月,12,月,资料来源,IBGE,阿根廷统计局、中粮期货,8/14,中粮期货,忠良品格,4.1,南美供给,拉尼娜天气可能性增加,资料来源,NOAA,中

12、粮期货,9/14,中粮期货,忠良品格,4.2,价格期望,南美供给担忧,拉尼娜导致减产，通常会拉动一波价格暴涨，根据历史相似年份计算，预计,2011,年剔除汇率影响因素后的高点接近,1130-1215,美分，对应,75.00,的美元指数，美豆,价格高点接近,1500-1620,美分,资料来源,Reuters,中粮期货,10/14,中粮期货,忠良品格,4.3,价格期望,豆类价格,对应美豆价格，美豆油近月连续合约价格高点有望接近,62.75-66.93,美分，美,豆粕近月连续合约价格高点有望接近,398-425,美元,美豆价格,42,1400,1420,1440,55.94,56.7,57.46,豆

13、油份额,44,58.6,59.4,60.2,46,61.26,62.1,62.94,48,63.93,64.8,65.67,1400,1420,1440,美豆价格,52,346.27,351,355.73,豆粕份额,54,359.59,364.5,369.41,56,372.91,378,383.09,58,386.23,391.5,396.77,1460,1480,1500,1520,1540,1560,1580,1600,58.23,58.99,59.75,60.52,61.28,62.05,62.81,63.57,61,61.8,62.6,63.4,64.2,65,65.8,66.6,6

14、3.77,64.61,65.45,66.28,67.12,67.95,68.79,69.63,66.55,67.42,68.29,69.16,70.04,70.91,71.78,72.65,1460,1480,1500,1520,1540,1560,1580,1600,360.45,365.18,369.91,374.64,379.36,384.09,388.82,393.55,374.32,379.23,384.14,389.05,393.95,398.86,403.77,408.68,388.18,393.27,398.36,403.45,408.55,413.64,418.73,423.82,402.05,407.32,412.59,417.86,423.14,428.41,433.68,438.95,资料来源：中粮期货,11/13,中粮期货,忠良品格,5,时间维度,30,年周期循环,自,1999,年以来的商品牛市格局不变，重点关注,2012-2013,年,资料来源,Harmonic Timing,12/14,中粮期货,忠良品格,5.1,时间维度,等周循环,重点关注,3,月底,4,月初及,7,月份，很大可能打造阶段性高点,CBOT,豆,油,期,货,价,格,