GME-Accesso ai Mercati

Market Access

GAS

GUARANTEES

In order to operate on the energy markets or on the PCE Participants shall submit – alternatively or cumulatively – financial guarantees as:

  1. first demand bank guarantee issued by banks registered as provided for in Article 13 of the Legislative Decree no. 385 of 1 September 1993, and which have a long-term rating awarded by at least one of the following rating agencies: Standard & Poor's Ratings Services, Moody’ Investor Service, Fitch and DBRS. The rating must be at least BBB- of the Standard & Poor’s or Fitch scales or Baa3 of the Moody’s Investor Service scale or BBB low of the DBRS scale;
  2. non-interest-bearing deposit to be disposed on the bank account held by GME with the bank in charge of the Electricity Market treasury service.

PA Participants can provide guarantees only as non-interest-bearing deposit to be disposed on the bank account held by GME with the bank in charge of the Electricity Market treasury service.

In the Day-ahead Market (MGP), in the Intraday Market (MI-A/MI-XBID) and in the Spot Gas Market (MPGAS) the integrated guarantee management system is used (or "netting") characterized by an overall net exposure covered by a single amount of guarantee, without any segregation between the markets concerned.

For each type of guarantee that it is submitted, the Participant can decide to divide the related amount on the basis of the operations to carry out on different markets managed by GME, or it can submit a guarantee for the netting markets and for the other markets/platforms.

In fact, the Participant can allocate, according to the terms and conditions provided in MGAS Technical Rules n. 19, part of the guarantee given to cover the exposures that may arise both on the netting markets and on MPEG, MTE, MTGAS and/or PCE, through submission of guarantee allocation form that it is available here.

Depending on the allocation defined, the guarantees provided by the Participant are reduced by an amount defined as maintenance margin, set at 3% of the total amount of the guarantees for MGP/MI, MPGAS, MPEG and PCE and 10% for MTE and MTGAS.
Once the bank guarantee is provided, this can be subject to updates of the amounts and/or of its validity period by submitting a specific form or it is possible to change the allocation.

BANK GUARANTEES

The bank guarantee and the related updating letters must be submitted or sent (where possible by registered letter with return receipt or courier) only to the bank in charge of GME's treasury services. Upon receipt, the bank will place a stamp on the document with the time/date of receipt, which will become the "date of submission".

The bank guarantee must be sent to the address of the bank in charge of GME's treasury services:
Banca Popolare di Sondrio Società per Azioni
Viale Cesare Pavese, 336 - 00144 - Roma
To the att.n: Ufficio Crediti (Credits Dept.)


For the acceptance of the bank guarantee, the issuing bank must send a swift 799 message to POSOIT22ROM specifying in the field 21 "138-GME" and the following text in the field 79 (free text) “Si conferma che la fideiussione (o lettera di aggiornamento o lettera di patronage) n. ... di € ... nell’interesse dell’operatore .... è stata da noi emessa in data .... e le firme ivi apposte hanno il potere di impegnare il nostro Istituto per siffatte garanzie” (Courtesy translation: We confirm that we have issued the bank guarantee (or updating letter or letter of patronage) no. ...... of € …. in favor of the Market Participant on...... and that the signatures affixed thereto commit our bank to fulfil the obligations arising from the aforesaid bank guarantee).

The Participant may at any time request the return of the bank guarantee according to the terms and conditions established in MGAS Technical Rules n. 19.

For the purpose of guarantee submission and related update letters, the documents must be drawn up according to the templates attached to the Natural Gas Market Regulation and available in the appropriate “forms” section, otherwise the documents cannot be accepted.

The bank guarantee forms to be used for guarantee submission to cover the payoffs related to different markets on which each Market Participant intends to operate, as well as the update forms for the bank guarantee amounts are:

  1. Integrated Bank Guarantee without expiration form for participation in the netting markets (MGP/MI-MPGAS), MPEG, MTE, MTGAS and PCE, and related form of update letter for amounts of the bank guarantee;
  2. Integrated Bank Guarantee with expiration form for participation in the netting markets- MPEG - PCE and related form of update letter for amounts and/or validity period of the bank guarantee.

According to the terms and conditions defined in MGAS Technical Rules n. 19, the Participant that has submitted a bank guarantee to GME, compliant with the templates prepared by the latter, can distribute this guarantee, by submitting to GME the guarantee distribution form available here. Without clear mention of allocation by the Participant, the whole bank guarantee provided will be used to cover the exposure on the netting markets.
 

NON-INTEREST-BEARING DEPOSIT

The bank details of the account, to which the bank transfer must be performed, are:
Banca Popolare di Sondrio
IBAN IT97 H056 9603 2110 0000 7220 X46
SWIFT CODE POSOIT22


Please note, the reason for payment shall mention the following heading:

“deposito infruttifero con facoltà per il GME di poterne disporre”.

Market Participant may at any time request the return of the non-interest-bearing cash deposit according to the terms and conditions established in MGAS Technical Rules n. 19.
 

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EXPOSURE

On the MGAS, GME defines the exposure of each participant based on the risk of potential non-fulfilment of the obligation and requires that the same would be covered by adequate guarantees.

To this end, during the proposal, or during the offer collection after the close of the market session, and in the subsequent phases up to payment (settlement), it carries out financial adequacy checks aimed at verifying that the guarantee given is adequate with respect to the exposure held (See MGAS Technical Rule n. 15, defined according to the specific characteristics of the continuous trading markets (MGP-GAS, MI-GAS and MT-GAS) and of the sectors/auction markets (AGS, MGS and MPL), as below.

EXPOSURE CALCULATION FOR MPGAS OR ON NETTING MARKETS

The guarantee system on the Natural Gas Market is characterized, among other things, by the integrated management of "netting" guarantees, or by availability on the Spot Gas Market (MPGAS) and on the Day-ahead Market and on the Intraday Electricity Market (MGP/MI), if the Participant is also active on the Electricity Market, a single net exposure covered by a single guarantee amount, without any segregation between the admitted markets.

The MTE, MT-GAS, MPEG and PCE markets are not included in the netting and, therefore, a different exposure from that of the netted markets will be defined for each Participant, to be covered with a specific guarantee amount, which may be unique, to be distributed on different markets/platforms.

EXPOSURE CALCULATION FOR MGS AND MPL:

As a matter of principle, on MGS and MPL, a purchase generates exposure equal to the entire value, while a sale does not generate exposure. During adequacy checks, after the closing of the market sitting in the MGS and MPL, in order to accept bids/asks for the determination of the auction results, the submitted bids/asks generate exposure according to the coupling worst-case scenario, i.e. taking into account they are accepted the sole demand bids. After the determination of the results and until the settlement date, the exposure is determined by the net long position on the single flow day. If, however, the net position is short on the single day of flow, it determines the possibility to offset the debt exposures related to the same settlement date.

The exposure is determined on the basis of weekly settlement by summing up of individual exposures determined for each flow day.

EXPOSURE CALCULATION FOR MGP-GAS AND MI-GAS

For adequacy checks purposes, the exposure relating to MGP-GAS and MI-GAS is given by the operations on the sessions both in continuous trading and in auction (AGS).

Each proposal, submitted in the order book in continuous trading of MGP-GAS and MI-GAS or collected on AGS after the closing of the market session, generates absorption of guarantee, per single trading day in association with the flow day in question, depending on:

  1. the mark-to-market, i.e. of the differential between the offer price and the control price, calculated both for the sale positions and purchase positions only if unfavourable;
  2. the share - measured by the α parameter - of the value of the sale offer or of the entire value of the purchase offers valued at the control price.

Then, each position held on MGP-GAS and MI-GAS as a result of continuous trading with reference to each single trading day and single day-gas, not yet subject to delivery, generates guarantee absorption depending on:

  1. the mark-to-market, both unfavourable and favourable;
  2. the share - measured by the α parameter - of the countervalue of the net sale position until delivery or of the entire countervalue of the net purchase position (valued at the control price) up to the settlement.

With reference to each flow day, each position held and already registered at the PSV, generates guarantee absorption due to the value of the net position if it is long, while it generates a credit able to reduce the debt exposure if the net position is short.

EXPOSURE CALCULATION FOR MT-GAS:

At the time of proposal each offer and after the post-matching process each held position, both for purchases and for sales on the forward market, generates, in principle, guarantee absorption depending on:

  1. the adequate amount to cover the risk of non-fulfilment of the obligation. It depends on the time distance between the calculation and the date of delivery (flow day): in case the time distance is greater than seven days, the net long and sell positions generate exposure as a function of the risk parameter α and considering such reductions due to recognition of correlation of prices between different maturities. While, in case the time distance is less or equal than seven days, the net long positions generate exposure equal to 100% of their counter value and the net sell positions generate exposure as a function of the risk parameter, α.
  2. the differential between the bid/ask price and the control price (mark-to-market). This differential in the proposal phase is considered only if unfavourable.

With reference to each flow day, each position held and already registered at the PSV, generates guarantee absorption due to the value of the net position if it is long, while it generates a credit able to reduce the debt exposure if the net position is short.

The exposure is determined on the basis of weekly settlement by summing up of individual exposures determined for each flow day.
To calculate the exposure, the risk parameters, specified above, are:

- α, associated with each product differentiated by maturity as follows:

 

MATURITY

1 2 3 4
Montly* 19.70% 19.60% 16.50%  
Quarterly 15.00% 15.00% 15.00% 15.00%
Half-yearly 14.50% 14.50%    
Yearly 13.90%      
Daily 10.40%
* The BoM contract is equated with the monthly contract first maturity

 

- β, equal to 1.

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MANAGEMENT OF DEFAULTS

The guarantee system adopted in the MGAS consists of several levels of supervision:

  1. financial guarantees collected in the form of first-demand bank guarantees or non-interest-bearing deposit. In order to submit adequate bids/asks, the Participant may post, alternatively or cumulatively, a guarantee in the form of a first-demand bank guarantee meeting the requirements indicated in the Integrated Text of the Natural Gas Market Rules, or in the form of a non-interest-bearing deposit;
  2. guarantee fund, established at the Energy and Environmental Services Fund and managed by it pursuant to ARERA’s Resolution 502/2016/R/GAS as subsequently amended by ARERA’s Resolution 376/2019/R/COM.
    The Guarantee Fund is used by GME to cover the defaults of all the Participants or the bank issuing the bank guarantee, if the financial guarantees issued are insufficient or the issuing bank fails to comply.
    This Guarantee Fund is also used for the default of Participants by right of MGAS and ME;
  3. own funds of GME for a maximum yearly amount of 2.5 million EUR. This amount is intended cumulatively, both in the electricity market and in the natural gas market, to cover the debts of defaulting Participants, with the exception of Participants by right, or the failure to fulfil obligations by the issuing banks;
  4. risk pooling mechanism, referred in ARERA Opinion 4/2013/I/GAS of 10 January 2013 aimed at recovering, through a specific fee identified for this purpose by the ARERA, the amounts related to debts of defaulting Participants or of the bank issuing the bank guarantee, for the part not covered by the previous guarantee instruments.

 

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