To address the increasing demand for ancillary services, new demand response strategies (DR) are being developed that involve the building sector to provide flexibility to the transmission system operator (TSO). In this respect, commercial buildings have great potential to become key players in providing flexibility to the TSO by changing their load profiles for heating, ventilation and air conditioning. This study presents a case study of a Mediterranean shopping centre heated and cooled by a heat pump and participating in the ancillary services market according to the specific rules of the Italian pilot project UVAM. The analyses start from the daily consumption profile assuming conventional operation for the HVAC system (baseline) during cooling and heating periods. Then two DR strategies are investigated, the first of which is to change the indoor set point temperature and the second is to reduce the electricity power to the HVAC systems, without introducing precooling or pre-heating periods. The results show that the studied flexibility strategies allow to obtain, for each DR event, over 60 kW of downward flexibility power and a reduction of energy consumption between 128 and 160 kWh during summer, and over 50 kW of downward flexibility power and a reduction of energy consumption between 40 and 160 kWh. This study identifies opportunities and barriers for commercial buildings to participate in the ancillary services market. However, the proposed DR strategies may lead to an unacceptable percentage of dissatisfaction (PPD), especially during the cooling season.