The guarantee system In the natural gas market is characterized, inter alia, by the integrated management of "netting" guarantees, namely the possibility of having a single net exposure covered by a single amount of guarantee, without any segregation between the interested markets, in the spot gas market (MPGAS) and in the day-ahead market and in the intraday market of the Electricity Markets (MGP/MI), provided that the participant is also admitted in the Electricity Market.

The MTE, MT-GAS, MPEG markets and the PCE are not included in the netting and therefore an exposure will be determined for each participant separate from that of the netting markets, to be covered with a special guarantee amount, which can be single, to be allocated in the different markets/platforms.

Exposure Calculation for MGS and MPL:

In principle, in the MGS and MPL, a purchase generates exposure equal to the entire counter value, whereas 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 unfavorable;

(2) the share - measured by the Alpha 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 t and single day-gas g, not yet subject to delivery, generates guarantee absorption depending on:

I. the mark-to-market, both unfavorable and favorable;

II. the share - measured by the Alpha 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:
(i) 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.
(ii) the differential between the bid/ask price and the control price (mark-to-market). This differential in the proposal phase is considered only if unfavorable.

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 the 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: