Alpha Bank Romania Pillar III Disclosures 2014

Alpha Bank Romania
Pillar III Disclosures of the year 2014

(In accordance with Regulation (EU) 575/2013)
Contents
1 General Information ................................................................................................................................................................................................. 3
1.1 Introduction ........................................................................................................................................................................................................ 3
1.2 Regulatory Framework .................................................................................................................................................................................... 3
1.3 Compliance with the disclosure requirements of CRR / CRD IV .............................................................................................................. 3
1.4 Banks Governance .......................................................................................................................................................................................... 3
2 Capital Adequacy Framework ................................................................................................................................................................................ 4
2.1 Alpha Banks approach to Pillar I ................................................................................................................................................................... 4
2.2 Pillar II................................................................................................................................................................................................................. 4
2.3 Own Funds ........................................................................................................................................................................................................ 5
2.3.1 Own Funds structure ................................................................................................................................................................................ 5
2.4 Capital Adequacy.............................................................................................................................................................................................. 6
2.4.1 Main developments and changes impacting capital adequacy ratios Regulatory changes - Implementation of Basel III
(CRR 575/2013 and CRD IV) ............................................................................................................................................................................ 6
2.4.2 Capital calculation process ...................................................................................................................................................................... 6
2.4.3 Capital requirements ................................................................................................................................................................................. 7
2.4.4 Capital ratios .............................................................................................................................................................................................. 7
3 Risk Management .................................................................................................................................................................................................... 7
3.1 Risk Management Framework and Principles ............................................................................................................................................. 7
3.2 Risk Governance Structure ............................................................................................................................................................................. 8
3.3 Risk Profile......................................................................................................................................................................................................... 8
3.4 Risk Management Policies .............................................................................................................................................................................. 9
4 Credit Risk................................................................................................................................................................................................................. 9
4.1 General information .......................................................................................................................................................................................... 9
4.2 Disclosures with respect to Credit Risk and Asset Quality of Banks exposures ................................................................................. 11
4.3 Disclosures for portfolios subject to Standardized Approach .................................................................................................................. 14
5 Credit risk mitigation .............................................................................................................................................................................................. 15
5.1 Collateral valuation and management policies and procedures.............................................................................................................. 15
5.2 Description of the main collateral types eligible for Pillar I calculations ................................................................................................. 15
6. Counterparty credit risk (CCR) ........................................................................................................................................................................... 16
7. Market Risk ............................................................................................................................................................................................................ 17
8. Operational Risk.................................................................................................................................................................................................... 17
9. Interest Rate Risk in the Banking Book ............................................................................................................................................................. 18
9.1 Interest Rate Risk Definition ......................................................................................................................................................................... 18
9.2 Interest Rate Risk Framework ...................................................................................................................................................................... 18
9.3 Interest Rate Risk Identification and Assessment ..................................................................................................................................... 18
9.4 Interest Rate Risk Monitoring ....................................................................................................................................................................... 20
10 Disclosures on Liquidity Risk ............................................................................................................................................................................. 21
11 Leverage ............................................................................................................................................................................................................... 22
12 Remuneration Policy ........................................................................................................................................................................................... 22
12.1 Principles of Remuneration Structuring .................................................................................................................................................... 23
12.2 Remuneration Committee ........................................................................................................................................................................... 23
12.3 Other relevant Stakeholders/Parties ......................................................................................................................................................... 23
1 General Information
1.1 Introduction
Alpha Bank Romania is one of the Top 10 banks of the financial sector in Romania; The Bank offers a wide range
of high quality financial products and services, including retail banking, SMEs and corporate banking.
The Bank operates under the approval of the National Bank of Romania and is subject to the Romanian banking
and accounting law and the specific European regulatory Framework. The Bank with strong position in the local banking
system has a high capital ratio. The branch network consisted of 149 Branches as of 31.12.2014.
With consistency and credibility, Alpha Bank Romania supports individual and business clients contributing to the
country's economic development.
1.2 Regulatory Framework
Alpha Bank Romania is supervised by the National Bank of Romania according to the new Capital Adequacy of
investment firms and credit institutions framework, widely known as Basel III, as formalized through the EU Regulation
575/2013 dated 26 June 2013, along with the EU directive 2013/36 dated 26 June 2013. The fundamental principles of
the above directive have been incorporated in NBR Regulation 5/2013.
1.3 Compliance with the disclosure requirements of CRR / CRD IV
The Bank considers that good governance structures, transparency and disclosure are essential for the purposes
of strengthening market discipline and enhancing financial stability. In this context, the Bank has set a robust internal
governance framework, including adequate, efficient and strong internal control and risk management systems.
1.4 Banks Governance
The leadership and management of the Bank is entrusted to the Board of Directors consisted of up to 9 (nine)
members which have the responsibility to decide on the person who undertakes the Presidency of the Board.
The Members of the Board of Directors have the appropriate qualifications to cover the fit and proper criteria i.e.
good reputation, character and integrity, financial or other professional or business experience adequate to the nature and
complexity of the credit institution's activity and or the entrusted responsibilities. They must exercise their duties aiming at
the proper and effective functioning of the BoD and of the bank in the context of the applicable legal and regulatory
framework specific to their position.
The committees of the Board of Directors are the following:
Audit Committee.
Risk Management Committee
Remuneration Committee
Nominations Committee
The Nomination Committee is created in 2014 as a consultative body to the Board of Directors with the objective to
assist the Board in what regards its structure and componence
The Nominations Committee consists of the Chairman and of two Members, appointed by the Board of Directors
and selected among its Non-Executive Members.
The Members of the Committee have the required expertise and experience.
The Nominations Committee:

assesses the composition, structure size and performance of the Board of Directors and makes recommendations
with regard to any changes. To this end, reviews the appropriateness of the size of the Board relative to its various
responsibilities, the overall composition of the Board, taking into considerations such factors as business
experience and specific areas of expertise of each Board member; assesses the effectiveness of the Board in
meeting its responsibilities.
recommends to the Board the number, structure and responsibilities of Board committees, advising as well the
Board on the Chair and members of each committee, possible removal from committees, rotation of committee
members.
reviews the adequacy of the charters adopted by each committee of the Board and recommends changes when
necessary.
assists the Board in developing criteria regarding the independence of members, for identifying and selecting
qualified individuals who may be nominated for election to the Board, including replacement in case of l vacancies
assesses and reports annually to the Board on the individual members and Boards performance
The Risk Management Committee of the Bank is created in 2014 as a consultative body of the Board of Directors
and consists of the Chairman and of two Members.
The Risk Management Committee is appointed by the Board of Directors and selected from among its NonExecutive Members.
All the Members of the Committee have knowledge of the financial sector and possess experience in the banking
sector, especially in risk undertaking and capital management.
The Risk Management Committee recommends to the Board of Directors the risk undertaking and capital
management strategy which corresponds to the business objectives of the Bank.
The Risk Management Committee evaluates on an annual basis or more frequently, if necessary:
the adequacy and effectiveness of the risk management policies of the Bank and in particular the compliance
with the specified risk tolerance level,
the appropriateness of limits, the adequacy of provisions and the overall capital adequacy in relation to the
amount and type of risks undertaken based.
Furthermore, the Risk Management Committee evaluates the adequacy and effectiveness of the risk management
policy and procedures of the Bank specifically in terms of the:
undertaking, monitoring, and management of risks (market, credit, interest rate, liquidity, operational, other
substantial risks) per category of transactions and customers per risk level (i.e. country, profession, and activity).
determination of the applicable maximum risk appetite on an aggregate basis for each type of risk and further
allocation of each of these limits per country, sector, currency, business unit, etc.
establishment of stop-loss limits or of other corrective actions.
The Risk Management Committee drafts minutes which are submitted to the Board of Directors.
2 Capital Adequacy Framework

Alpha Bank Romania implemented the so called Basel III framework, enhancing the former European Directives on
capital adequacy, which consists of the three fundamental pillars of supervision:
Pillar I specifying the calculation of minimum capital requirements (8% for Total Capital Adequacy ratio, 4.5% for
CET 1 ratio). Alpha Bank reports to the National Bank of Romania its capital requirements on a solo basis
according to the adopted by the Commission of the Implementing Technical Standards developed by EBA
Pillar II that sets the principles, criteria and processes required for assessing capital adequacy and risk
management systems of the credit institutions.
Pillar III, aiming at increasing transparency and market discipline, sets the disclosure requirements of key
information regarding the exposure of financial institutions to key risks as well as the processes applied for
managing them.
The Capital Adequacy framework, apart from the above, defines the regulatory own funds of credit institutions and
addresses other regulatory issues such as monitoring and control of large exposures, open foreign exchange position,
concentration risk and the liquidity ratios, the internal audit system, including risk management and regulatory reporting
and disclosures.
The methodologies that are adopted for the calculation of the capital requirements are determined by the nature and
type of risks the Bank undertakes, the level and the complexity of the Banks business and other factors, such as the
degree of readiness of the information and software systems.
2.1 Alpha Banks approach to Pillar I
Alpha Bank calculates Capital Requirements using the following approaches:
Credit Risk: The Bank follows the Standardized Approach (STA). The calculations are performed using the BWCM
system of SUNGARD;
Operational Risk: The Bank follows the Basic Indicator Approach aiming at using the Advanced Measurement
Approach (AMA);
Market Risk: The Bank uses the Standardized approach.
2.2 Pillar II
The Pillar II assessment consists of the Internal Capital Adequacy Assessment Process (ICAAP), which is
conducted by the credit institution.
The ICAAP process is aligned with the general principles and requirements set by CRD IV and National Bank of
Romania Regulation 5/2013. In particular, its main aims are:
The identification, analysis, monitoring and the overall assessment of risks,
The improvement of various systems/ procedures/ policies related to the assessment and management of risks and
The estimation of the necessary level of Internal Capital required for the coverage of all risks and for Capital
planning purposes as well.
The level of the internal capital required according to the business plan to cover the risks which the Bank is willing to
undertake in one years horizon (base case scenario). Additionally the bank is applying severe but plausible shocks in
order to estimate its resilience to extreme systemic or market stress scenarios, should these occur.
The Key principles on which the ICAAP framework is based are responsibility, proportionality, risks materiality and
forward looking stance.
The main risks addressed in the ICAAP are the following:
Credit Risk including concentration risk, residual risk , currency risk and specialized lending Market risk:
Operational risk Liquidity risk
Reputational risk
Business and Strategic risk
Interest Rate Risk in the Banking

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Book Compliance risk
The Banks ICAAP report mainly includes:
The macro overview and recent market developments.

The business plan/ model.
The ICAAP framework and procedures.
The analysis of risks and respective controls (including definition, identification, assessment, measurement,
monitoring, reviewing, reporting, capital impact).
The internal capital overview.
The capital planning and allocation.
Stress testing.
Besides ICAAP report, Alpha Bank Romania is currently working on the preparation of the first Internal Liquidity
Adequacy Assessment Process (ILAAP). ILAAP, which has been introduced by Article 86 of Directive 2013/36/EU, refers
to the internal process that should be developed by the Bank in order to identify, measure, manage and monitor its
liquidity and funding risks.
2.3 Own Funds
2.3.1 Own Funds structure
The Bank Capital Strategy commits to maintain sound capital adequacy both from economic and regulatory
perspective. It aims at monitoring and adjusting capital levels, taking into consideration capital markets demand and
supply, in an effort to achieve the optimal balance between the economic and regulatory considerations.
The overall Bank Risk and Capital Strategy sets specific risk limits, based on managements risk appetite, as well
as thresholds to monitor whether actual risk exposure deviates from the desired optimum.
The Banks capital is totally owned by the Group ALPHA Bank. The 65% of the total capital as of 31.12.2014
represents Common Equity Tier 1 (CET1) while the rest represents a headquarters subordinated debt.
The above capital level will be positively affected by the full implementation of Basel III (in 5 years time).
More specifically the respective transitional provisions regarding regulatory adjustments are the following:
Period loss.
Intangible Assets (20% of intangible assets is deducted from CET1 due to transitional provisions, the remaining
80% is deducted from Tier I capital).
Prudential Filter - according to transitional provisions of CRR 575/2013, as well as NBR Regulation no.5/2013,
prudential filter represents 80% from the difference between former RAS provision determined according to NBR
regulations and IFRS provision, which is deducted from own funds as follows: of prudential filter amount is
deducted from Tier 1, while the other of the amount is deducted from Tier 2
Adjustments applied to CET1 due to insufficient Additional Tier I to cover corresponding deductions (e.g. the 80%
of intangible assets that would be deducted from Tier I).
As already mentioned above the positive effect of the reversal of regulatory provisions is quite high,
oversubscribing the minimal negative impact of the other regulatory adjustments.
Further details of the characteristics of the aforementioned instruments are provided in note 23 of the Financial
Statements as of 31 December 2014.
All the amounts are expressed in EUR thousand (EUR '000) using NBR exchange rate at 31 December 2014, unless
otherwise stated (4.4821 EUR/RON).
The following table presents the analysis of own funds capital structure, as defined in CRR 575/2013:
Own funds synthesis

Type
Share capital
Retained earnings
Accumulated other comprehensive income (AFS reserves)
'000 EUR
31.12.2014
31.12.2013
218,360
218,233
40,344
32,884
-28,290
78,543
78,940
Common equity Tier I capital before regulatory adjustments
308,956
330,057
Period loss/profit
-31,159
7,437
Other reserves
Intangible assets (20% in 2014, 100% in 2013)
-107
-604
-2,265
-236
Regulatory adjustments applied to Common Equity Tier I due to insufficient Additional Tier I
to cover deductions
-14,029
-43,973
Total regulatory adjustments to Common Equity Tier I
-47,560
-37,377
Common Equity Tier I capital (CET1)
261,396
292,679
Other deductible items
Additional Tier I before regulatory adjustments

Intangible assets (80% in 2014)-deductible from CET1
Prudential filter (50% form AT1) - deductible from CET1
Other deductions - deductible from CET1
Total regulatory adjustments to Additional Tier I
0
-428
-13,461
-43,973
-141
-14,029
-43,973
Additional Tier I
Tier I capital (CET1+AT1)
261,396
292,679
Subordinated loan
150,191
155,300
Tier II before regulatory adjustments
150,191
155,300
Prudential filter (50% from T2)
-13,461
-43,973
1,684
989
Total regulatory adjustments to Tier II
-11,777
-42,984
Tier II capital
138,413
112,316
Total capital (TC= Tier I + Tier II)
399,810
404,995
Other items
2.4 Capital Adequacy

2.4.1 Main developments and changes impacting capital adequacy ratios Regulatory changes Implementation of Basel III (CRR 575/2013 and CRD IV)
The current regulatory environment in Eurozone is characterized by the entry into force of the Capital
Requirements Regulation (CRR 575/2013), the Capital Requirements Directive (CRDIV). The new capital adequacy
framework (CRDIV/Basel III) in force as of January 1st 2014 sets a progressive enhancement of the capital standards
both quantitative and qualitative. The enhancement of the quality of capital comes also through the linkage of all capital
limits with CET1 capital.
Furthermore the framework introduces transitional arrangements for non-eligible capital instruments and deductible
items (e.g. deferred taxation, tier I and tier II instruments).
The impact of the implementation of the new regulatory framework on the calculation of credit risk RWAs can be
summarized as follows:
Positive effect from the application of a preferential risk factor to performing loans granted to SMEs.
Positive effect from the increase of Loan-to-Value metric to 80% for loans covered by residential real estate.
Increase in RWAs for past-due exposures, covered by residential real estate, with provisions higher than 20%.
Contamination at a customer level by the default of any material past-due credit obligation, with regards to
corporate portfolio.
The impact of the full implementation of the Basel III framework is considered as positive regarding Common Equity
Tier I as already mentioned in paragraph 2.3.1 above.
Besides the above developments, several actions already completed or underway, which contributed to the
strengthening of the balance sheet and the financial performance of the Bank, are summarized below:
At the end of 2014, operating results of Alpha Bank Romania increased by 21.7% compared with previous year,
from EUR 62.2 million to EUR 75.7 million. Main drivers here were net fees and commissions income and net
trading income, while net interest income maintained at approximately the same level as in 2013. Increase in net
trading income is mainly the result of bonds trading, while increase in net fee and commission income comes from
cards transactions and money transfers. Operating costs decreased by 1.1% compared with 2013, due to cost
control exercised by the Bank during 2014.
For 2014 the Bank recorded a loss of EUR 31.2 million, result of net provisioning for loan impairment losses, which
amounted to EUR 108.8 million. The increase is due to impairment losses recorded in the second half of 2014, as
the Bank revised/substantiated its recoverability assessment for insolvent customers (considering also NBR formal
recommendations from 2014).
The banks assets registered an increase by 4.3% at the end of 2014, reaching the level of EUR 3.784,7 m, mainly
due to the increase in placements to NBR (EUR 128 m) and financial assets (EUR 125m), which were partially
compensated by the decrease of loans to costumers (EUR 165 m).
Regarding the evolution of liabilities, during 2014 was registered a decrease of deposits from banks, mainly from
parent bank (from EUR 1,620.5 m as of December 2013 to EUR 1,608.2 m as of December 2014), which was
partially compensated by the increase in deposits from customers by EUR 276 m. The movement in deposits from
banks and customers is the result of changing in structure of market financing sources, deposits from banks being
gradually replaced by deposits from customers, as a result of bank strategy to reduce funding received from the
Group.
2.4.2 Capital calculation process

Capital management is referring to two centralized processes:
The calculation of regulatory requirements and capital adequacy ratios (COREP).
The internal capital estimation, the capital planning and the capital allocation (ICAAP report).
The reporting requirements include the introduction of the leverage ratio, liquidity coverage ratio and net stable funding
ratio as well as FINREP regulatory returns.
The calculation of the Risk Weighted Assets of the Bank is performed in accordance with the current regulatory
framework, and is supported at Group level by a specialized centralized IT system (BWCM). The system incorporates and
analyzes data of the Bank.
With respect to potential infrastructure required for the new Basel III environment and the adoption of a more efficient
capital calculation process, Alpha Bank is currently in the process of upgrading its system for Credit RWA calculation to a
more advanced version.
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2.4.3 Capital requirements

As mentioned above, Alpha Bank has undertaken several actions in order to enhance its balance-sheet and
financial performance as well. These actions have also contributed to the reduction of the RWAs and the strengthening of
the capital adequacy ratios.
The corresponding capital requirements for Credit (per portfolio based on the standardized approach), Market
(standardized approach) and Operational (BIA) Risks are presented in the following table.
Capital requirements for Credit, Market and Operational Risk (in EUR 000)
Exposure Type
Dec 14
Dec 13
Central governments and Central Banks/Regional governments and

local authorities
2,192
2,967
Financial Institutions
17,435
19,348
Corporate
33,744
98,957
Retail
35,855
31,423
Secured by Immovable Property
36,839
11,016
Default/Past due items
24,635
4,083
Equity and Other Items
17,559
3,022
168,259
170,816
5,781
1,002
22,863
25,178
Total Capital Requirement for Credit Risk

Total Capital Requirement for Market Risk
Total Capital Requirement for Operational Risk
2.4.4 Capital ratios

The following table presents the analysis of capital ratios, at the end of 2014:
Own funds synthesis (in EUR 000)
Type
Dec 14
Dec 13
CET I
261,396
Tier I Capital
261,396
292,679
Tier II Capital
138,414
112,316
399,810
404,995
2,103,235
2,462,457
Total Regulatory Capital for C.A.R calculation
Risk Weighted Assets

CET I Ratio
10.62%
Tier I Ratio
10.62%
11.89%
Total Capital Adequacy Ratio (Tier I + Tier II)
16.24%
16.45%
3 Risk Management
3.1 Risk Management Framework and Principles
Alpha Bank thorough and prudent risk management framework is evolved over time and implemented in a coherent
and effective manner in the conduct of the day-to-day business so as to strengthen its sound corporate governance under
the current challenging macroeconomic and financial environment, taking into account the common European legislation
and banking system rules, the regulatory principles and supervisory guidance and the best international practices.
The Banks focus throughout 2014 was to maintain the highest operating standards, ensure compliance with
regulatory risk rules and retain confidence in the conduct of its business activities through sound and robust provision of
financial services.
Taking also into consideration the new regulatory (Basel III implementation) Alpha Bank risk governance framework,
including risk management strategy and business model, is further enhanced with a view to comply with the heightened
standards and extensive guidelines covering risk data governance, aggregation, and reporting and is evolved around the
following three lines of defense, operating independently and structured accordingly with the Banks nature, size and
complexity as well as the risk profile of its activities:
The business line; the first line of defense with ownership of risk whereby it acknowledges and manages the risk
that it incurs in conducting its activities.
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The risk management function and the compliance function, independent from the first line of defense; the second
line of defense that complements the business lines risk activities through its monitoring and reporting
responsibilities.
The internal audit function independent from the first and second lines of defense; the third line of defense that
conducts risk-based and general audits and reviews to provide assurance to the board that the overall governance
framework, including the risk governance framework, is effective and that policies and processes are in place and
consistently applied.
The Risk Management Framework, as a structural part of the Banks corporate and risk governance framework, is
based upon the following guiding principles:
Development of a sound risk culture that incorporates risk awareness, risk taking and risk management and control
in the decisions of management and employees during the day-to-day activities taking into account their impact on
the risks they assume.
Definition of the risk appetite framework, which establishes the individual and aggregate levels and types of risk
that the Bank is willing to assume in advance of and in order to achieve its strategic business activities within its
risk capacity.
Definition of the risk policy that is adherent to the risk appetite and is supported by appropriate control procedures
and processes.
Development of the processes to ensure that all material risks and associated risk concentrations are identified,
measured, limited, controlled, mitigated and reported on a timely and comprehensive basis.
Monitoring of risk limits with alignment to the business goals.
Transparency promoted through clear communication lines.
Contributing staff has an active role in Risk Management, is equipped with all the necessary skills and means
which are necessary for effective Risk Management and understands its roles and responsibilities related to the
Risk Management Framework.
Documentation of all processes related to risk identification, measurement, monitoring, reporting and
control/mitigation.
Providing adequate information to Bank and Business Unit Management.
3.2 Risk Governance Structure
The Board of Directors of the Bank and the Executive Management have separate and distinct roles in providing
the final and ultimate levels of defense ensuring the effective implementation of the risk management framework and
policies within the Bank.
The Board has the overall responsibility for the Banks business strategy and financial soundness, internal
organization and overall corporate governance structure and practices as well as the oversight of the Risk Management
framework and the compliance with the regulatory requirements.
To this end, it ensures that the executive management carries out appropriately and effectively the Banks activities
in a manner consistent with the business strategy, the risk profile and the risk appetite, while at the same time it oversees
that the management is escalating risk issues and involves the appropriate board committees in a timely manner.
The Risk Management Division has been assigned with the responsibility of implementing the Risk Management
Framework, according to the directions of the Risk Management Committee and operates independently from any
executing processes.
The Risk Management Committee recommends to the Board of Directors the risk undertaking and capital
management strategy which corresponds to the business objectives of the Bank; monitors and checks its implementation.
The main responsibilities of the committee are the following:
Define the principles for managing risk with regard to identifying, forecasting, measuring, monitoring and controlling
risk while focusing on forward-looking, emerging risks.
Evaluate and periodically review the adequacy and effectiveness of the risk management policy and procedures of
the Bank, in terms of the undertaking, monitoring, and management of risks on both an aggregated basis and by
type of risk
Determine the maximum risk appetite on an aggregate basis for each type of risk and further allocation of each of
these limits per country, sector, currency, business unit, etc.
Establish stop-loss limits or of other corrective actions.
Furthermore, the risk management functions that provide an overarching risk control framework for a more
comprehensive and effective identification and handling of all risk types linked to the Banks risk appetite are supported by
the following Committees: the Assets-Liabilities Management Committee and the Risk Management Committee.
Under the supervision of the Risk Vice-president operates the Risk Management Division. The RMD has been
assigned with the responsibility of implementing the risk management framework, according to the directions of the Risk
Management Committee.
3.3 Risk Profile
Alpha Bank, based on its strong reputation, its excellent organization, its well trained staff, its longstanding
relationships with its customer base and its conservative Risk Policy, is successfully operating up to date adjusting itself to
the prevailing circumstances.
The Banks focus throughout 2014 was to maintain its risk profile in line with its risk strategy at the moderate level,
ensuring the safe and sound functioning of the daily business operations and supporting the strategic management
initiatives with a view on a balanced risk-return approach.
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3.4 Risk Management Policies

Bank Risk Strategy is based on the Risk Policies defined by the Risk Management Committee and approved by the
Board of Directors.
Banks Risk Policies & Procedures framework include all central rules of conduct for handling risks and are set out
in specific Manuals. The framework is reviewed regularly.
Internal Audit is responsible for providing an independent review of the integrity of the overall risk management
processes and ensuring the appropriateness and effectiveness of the controls applied.
4 Credit Risk
4.1 General information
Credit risk is the risk that a borrower or counterparty fails to meet their contractual obligations in a timely manner,
thus resulting to a financial loss for the Bank.
The definition of assets and other exposures a) past due and b) non-performing are described in note 3 item i) and
in note 4 of Financial Statements as of 31.12.2014.
According to the CRR 575/2013 definition, any of the following events triggers a default status:
The institution considers that the obligor is unlikely to pay its credit obligations to the institution.
The obligor is past due more than 90 days on any material credit obligation to the institution.
The Bank constantly assesses whether there is evidence of impairment in accordance with the general principles and
methodology set out in IAS 39 and the relevant implementation guidance.
If there is objective evidence that an impairment loss on loans and receivables carried at amortized cost has been
incurred, the amount of the loss is measured as the difference between the asset's carrying amount and the present value
of estimated future cash flows discounted at the financial asset's original effective interest rate.
The Bank considers evidence of impairment for loans and advances to customers at both a specific asset and
collective level.
Wholesale Portfolio
For the Wholesale portfolio, an impairment test may be performed for obligors with one of the following trigger events:
Significant financial difficulty of the borrower or issuer (Clients with rating D, D0, D1, D2 and E (default zone) and
clients with Rating CC- and C (high risk zone)).
Breach of contractual terms and conditions
The lender, for economic or legal reasons relating to the borrower's financial difficulty, is granting to the borrower a
concession that the lender would not otherwise consider such as the rescheduling of the interest or principal
payments;
Indications that a borrowers or issuer will enter bankruptcy
Significant deterioration in the industry outlook in which the borrower operates.
Derogatory items (e.g. payment orders, bounced cheques, auctions, bankruptcies, overdue payments to the State,
to Social Security Funds, or to employees).
Occurrence of unexpected, extreme events such as natural disasters, fraud, etc.
Interventions and actions by regulatory bodies/local authorities against the borrower, with possible significant
adverse impact on borrowers cash flows
Adverse changes in the shareholders structure or the management of the company or serious management
issues/ problems.
Significant adverse changes in cash flows potentially due to ceased cooperation with a key/major customer,
significant reduction in demand of a main product or service, ceased cooperation with a key/major supplier or
suppliers cut credit, etc.
The Bank includes in the individual assessment exposures that exceed the established threshold, which as of 31
December 2014 amounts to EUR 450,000 or equivalent and for which evidence of impairment exists (e.g. past due
amounts, restructured facilities, significant deterioration of clients financial standing etc.). If no objective evidence of
impairment existed for the individually assessed assets, these assets have been included in the collective impairment
assessment for any impairment that has been incurred but not yet identified.
Furthermore, the Bank assesses whether objective evidence for individual assessment for impairment exists.
Customers who have been assessed individually but the impairment allowance estimated was zero, are consequently
assessed for impairment on a collective basis, once grouped in pools based on common credit risk characteristics.
Customers with no trigger events and hence, who are not individually assessed, are assessed collectively in pools formed
based on similar credit risk characteristics. Indicatively, some categories in terms of credit risk characteristics are the
estimated default probabilities or credit ratings, the collateral coverage and type of coverage, days in arrears, etc.
The Bank assesses for collective impairment the restructured loans in separate categories for companies and retail
loans. Each category presented above is further detailed in buckets of overdue days.
For impairment computation the collective assessment factors (PD and LGD) are estimated on the basis of historical
loss experience for loans with credit risk characteristics. The loan impairment assessment considers the visible effects on
current market conditions on the individual / collective assessment of loans and advances to customers impairment.
The pre-condition that there is need to be objective evidence in order for the loss to be recognized and effectively the
impairment loss to be assumed on individual loans, may lead to a delay in the recognition of a loans impairment, which
9
has already taken place. Within this context and in accordance with IAS39, it would be appropriate to recognize
impairment losses for those losses "which have been incurred but have not yet been reported (Incurred But Not
Reported - IBNR).
Provisions for loss events that have occurred but have not yet been reported ("IBNR provisions") are calculated on a
collective basis for the wholesale portfolio. For IBNR provisioning purposes, loans are grouped based on similar credit risk
characteristics. The characteristics selected are based on the estimation of future cash flows for groups of such loans
showing the debtors' ability to pay all amounts due, according to the contractual terms and conditions.
Retail Portfolio
The Bank includes in the individual assessment exposures that exceed the established threshold, which as of 31
December 2014 amounts to EUR 450,000 or equivalent and for which evidence of impairment exists (e.g. past due
amounts, restructured facilities, significant deterioration of clients financial standing etc.). If no objective evidence of
impairment existed for the individually assessed assets, these assets have been included in the collective impairment
assessment for any impairment that has been incurred but not yet identified. Further details on impairment calculations
are described in note 3 item n) of Financial Statements as of 31.12.2014.
Individuals
Customers over 90 days in arrears.
Customers 30-89 days delinquent.
Customers with forborne products.
Unemployed Customers.
Deceased Customers.
Unforeseen, extreme events such as fraud, natural disasters, etc.
Customers who are freelancers or personal company holders and stop their business activity due to retirement.
Customers who are freelancers or personal company holders and have suffered a significant deterioration of their
financial situation, either due to poor management or because of bad reputation, either due to termination of
important business partnerships or because of
Customers who are representatives of the company and their business are over 90 days in arrears (rating D, D0 or
D1 or D2 or E) or CC- or C rating.
Customers who are representatives of the company and their business have detrimental (e.g. payment orders,
denounced checks, auctions, bankruptcies, overdue amounts to the State, overdue amounts to Social Security or
employees - work lien).
Customers who are representatives of the company and there are interventions and actions from the regulatory
authorities over their companies
Customers who are representatives of the company and in their companies are observed significant negative
changes in the cash flows, which may be due to e.g. termination of cooperation with key customers, a significant
reduction in demand of commodities or services, discontinuation of credit from suppliers, etc.
Customers who are representatives of the company and their companies operate in industries where there is
observed significant deterioration in the prospects of the industry (considering the five sectors with the most
significant annual deterioration according to the risk sector classification from the Risk Analyst).
Customers with impairment in the previous control, for whom any of the above criteria applies.
Customers with detrimental (e.g. payment orders, denounced checks, auctions, bankruptcies, overdue amounts to
the State, overdue amounts Social Security or employees - work lien).
Small businesses
significant financial difficulty of the borrower or issuer (Clients with rating D, D0, D1, D2 and E (default zone) and
clients with Rating CC- and C (high risk zone)).
Breach of contractual terms and conditions
the lender, for economic or legal reasons relating to the borrower's financial difficulty, is granting to the borrower a
concession that the lender would not otherwise consider such as the rescheduling of the interest or principal
payments;
Indications that a borrowers or issuer will enter bankruptcy
Significant deterioration in the industry outlook in which the borrower operates.
Derogatory items (e.g. payment orders, bounced cheques, auctions, bankruptcies, overdue payments to the State,
to Social Security Funds, or to employees).
Occurrence of unexpected, extreme events such as natural disasters, fraud, etc.
Interventions and actions by regulatory bodies/local authorities against the borrower with possible significant
adverse impact on borrowers cash flows
Adverse changes in the shareholders structure or the management of the company or serious management
issues/ problems.
Significant adverse changes in cash flows potentially due to ceased cooperation with a key/major customer,
significant reduction in demand of a main product or service, ceased cooperation with a key/major supplier or
suppliers cut credit, etc.
Collective Impairment Assessment is applied to loans which do not meet the conditions for individual assessment once
they are classified based on similar credit risk characteristics. In addition, exposures for which there has not been
calculated any loss during the individual assessment, are assessed on a collective basis, once they are incorporated into
groups based on similar credit risk characteristics.
In order to effectively manage credit risk, the Bank has developed specific methodologies and credit risk measurement
systems in accordance with regulatory and Basel III requirements while incorporating banking industry best practices.
These methodologies and systems are continuously evolving to provide the Business Units with timely and effective
support in the decision making process and to avoid possible adverse consequences for the Bank.
10
The Risk Management Committee assesses the adequacy and the efficiency of the credit risk management policy and
procedures as regards undertaking, monitoring and management of credit risk per business line, geographic area,
product, activity, sector, etc., and resolves on the planning of the required corrective actions.
4.2 Disclosures with respect to Credit Risk and Asset Quality of Banks exposures
The tables below show the Bank's credit exposures, impairment losses and non-performing loans that are over 90
days past-due per portfolio, as disclosed for IFRS purposes as well as the average balances:
Table 4a: Loans and Advances to Customers, Impaired Loans and Impairment Allowance by Product Line, Industry and Geographical
Region (in Euro '000)
31.12.2014
Greece
ALPHA BANK ROMANIA
Gross
Amount
Impaired
Amount
Romania
Impairment
Allowance
Gross Amount
Impaired
Amount
Impairment
Allowance
Retail Lending
149
1,172,023
124,465
90,983
Mortgage
110
882,579
48,793
30,739
Consumer
26
265,522
71,553
56,457
Credit Card
13
23,618
4,120
3,783
Other (incl. SBL)
304
Corporate Lending
1,462,078
399,013
218,138
52,094
1,383
1,197
Manufacturing
110,614
33,058
23,828
Real Estate Development
308,662
100,629
38,550
Construction
466,981
114,374
50,385
Whole sale and retail trade
210,889
56,600
41,034
Transportation
25,198
10,969
5,826
Shipping
523
Hotels / Tourism
45,112
19,044
11,568
Services
69,003
31,214
18,190
Other sectors
173,001
31,743
27,555
Public Sector
15,172
165
149
2,649,273
523,478
309,285
Total
Table 4b: Loans and Advances to Customers, Impaired Loans and Impairment Allowance by Product Line, Industry and Geographical
Region (in Euro '000)
31.12.2013
Greece
ALPHA BANK ROMANIA
Romania
Gross
Amount
Impaired
Amount
Impairment
Allowance
Gross Amount
Impaired
Amount
10
1,155,235
125,235
89,542
Mortgage
835,593
47,188
25,619
Consumer
10
293,023
73,533
59,481
Credit Card
25,754
4,515
4,411
Other (incl. SBL)
864
Corporate Lending
1,648,649
474,640
226,662
35,522
1,724
857
Manufacturing
147,460
74,874
38,159
Real Estate Development
359,740
105,987
39,211
Construction
566,944
120,295
56,762
Whole sale and retail trade
250,796
70,928
50,084
Transportation
21,725
10,033
2,193
Shipping
632
Hotels / Tourism
52,315
19,946
5,396
Services
83,900
37,184
17,215
Other sectors
129,616
33,669
16,786
Public Sector
17,208
10
2,821,092
Retail Lending
Total
599,876
Impairment
Allowance
32
316,205
11
Table 5a: Impaired and Past-due Loans and Advances to Customers by Business Line
(in Euro '000)
Non impaired L&As
ALPHA BANK ROMANIA
31.12.2014
Impaired L&As
Past due but not

impaired
Retail Lending
921,950
125,756
47,231
77,235
1,172,172
Mortgage
749,561
84,335
28,514
20,279
882,689
Consumer
155,121
38,873
18,679
52,874
265,548
Credit Card
16,964
2,547
38
4,082
23,631
304
304
1,055,108
7,957
389,782
9,231
1,462,078
Large
993,729
4,764
366,323
1,736
1,366,552
SMEs
61,379
3,193
23,459
7,495
95,526
Public Sector
14,653
520
15,172
14,653
520
15,172
1,991,710
134,233
437,013
86,466
2,649,422
Other (Incl. SBL)

Corporate Lending
Greece
Other Countries
Total
Individually
assessed
Total Gross
amount
Neither past due

nor impaired
Table 5b: Impaired and Past-due Loans and Advances to Customers by Business Line
(in Euro '000)
Non impaired L&As
ALPHA BANK ROMANIA
Collectively
assessed
31.12.2013
Impaired L&As
Past due but not

impaired
Retail Lending
901,368
128,641
17,635
107,601
1,155,245
Mortgage
709,077
79,328
11,792
35,396
835,593
Consumer
172,965
46,535
5,843
67,690
293,033
Credit Card
18,462
2,778
4,515
25,754
864
864
Corporate Lending
1,169,883
4,127
413,680
60,960
1,648,649
Large
1,108,161
2,170
395,391
42,817
1,548,540
SMEs
61,722
1,956
18,288
18,143
100,110
Public Sector
17,208
17,208
17,208
17,208
2,088,458
132,767
431,315
168,561
2,821,102
Other (Incl. SBL)
Greece
Other Countries
Total
Individually
assessed
Total Gross
amount
Neither past due

nor impaired
Collectively
assessed
Table 6: Credit Exposure, non-performing loans, impairment losses (in Euro '000)
ALPHA BANK ROMANIA
31.12.2014
31.12.2013
2,649,422
2,821,102
882,689
289,483
835,593
319,652
1,477,250
1,665,857
NPL Ratio
11.70%
13.34%
Impairment Losses
309,286
316,205
Gross Loans
Mortgages
Consumer Credit
Businesses
12
Allocation into time buckets of the cash flow arising from ABR`s assets (in Euro `000)
31.12.2014
Assets
Less than 1
month
1 to 3 month
3 to 6 month
6 to 12 month
More than 1
year
Total
Cash and balances with Central

banks
487,108
487,108
Due from banks
118,687
12
118,699
Derivative financial intruments

Investment securities- Available for
sale
1,739
1,739
52,200
95,350
95,647
549,199
792,396
Loans and receivables
108,637
83,752
76,566
251,863
1,819,318
2,340,136
Investment in subsidiaries,
associates and joint ventures
1,136
1,136
Property, plant and equipment
26,983
26,983
Goodwill and other intangible assets
535
535
Deffered tax assets
7,402
7,402
Other assets
6,282
6,282
Non current assets held for sale
2,272
2,272
Total Assets
719,580
135,951
171,928
347,510
2,409,719
3,784,688
Less than 1
month
1 to 3 month
3 to 6 month
6 to 12 month
More than 1
year
Total
Cash and balances with Central

banks
347,598
347,598
Due from banks
66,099
11
66,110
Derivative financial intruments

Investment securities- Available for
sale
1,910
1,910
34,279
53,216
76,036
42,686
460,268
666,485
Loans and receivables
64,543
195,148
112,026
166,253
1,966,927
2,504,897
Investment in subsidiaries,
associates and joint ventures
1,136
1,136
Property, plant and equipment
29,463
29,463
604
604
Deffered tax assets
2,165
2,165
Other assets
5,935
5,935
Non current assets held for sale
2,141
2,141
Total Assets
517,705
248,365
188,062
208,949
2,465,363
3,628,444
31.12.2013
Assets
The following table presents the allowance for impairment losses

270,709
Balance at 1.1.2013 (in Euro '000)

Changes for the period 1.1 - 31.12.2013
50,806
Im pairm ent los s es for the year
4,780
Change in pres ent value of the allowance account
(2,744)
Loans written-off during the year
(10,136)
Dis pos al of im paired loans

Trans lation differences
2,791
Balance at 31.12.2013
316,206
Changes for the period 1.1 - 31.12.2014

110,565
Im pairm ent los s es for the year
3,051
Change in pres ent value of the allowance account

Loans written-off during the year
(49,236)
Dis pos al of im paired loans
(71,505)
Trans lation differences
205
Balance at 31.12.2014
309,286
The following table presents impairment losses and provisions to cover credit risk.
Table 10:
(in Euro '000)
Impairment losses and provisions to cover credit risk

31.12.2014
Im pairm ent los s es on loans and advances to cus tom ers
Provis ions to cover credit ris k relating to off-balance s heet item s
Recoveris
Total
110,565
(1,692)
(28)
108,845
31.12.2013
50,806
2,965
(260)
53,511
13
4.3 Disclosures for portfolios subject to Standardized Approach

Alpha Bank Romania uses the available credit ratings from Moodys Investors Service, Standard & Poors Ratings
Services and Fitch Ratings, which have been approved by National Bank of Romania as eligible External Credit
Assessment Institutions (ECAIs) for the use of their credit ratings in regulatory capital calculation.
Credit ratings are assigned to credit quality bands. Then, credit quality bands are assigned to the corresponding risk
weights per portfolio type.
Assignment of the credit ratings of the eligible ECAIs to credit quality steps
Standard & Poor's Ratings
Service
Moody's Investor Services
Fitch Ratings
AAA to AA-
Aaa to Aa3
AAA to AA-
A+ to A-
A1 to A3
A+ to A-
BBB+ to BBB-
Baa1 to Baa3
BBB+ to BBB-
BB+ to BB-
Ba1 to Ba3
BB+ to BB-
B+ to B-
B1 to B3
B+ to B-
CCC+ and below
Caa1 and below
CCC+ and below
Credit Quality Band
The asset classes for which ECAIs ratings are used are the following:
Exposures to Central Governments and Central Banks;
Exposures from securities to Financial Institutions and companies;
For all other asset classes there are not available credit ratings and credit quality bands are assigned to the
corresponding risk weights per portfolio type.
The table below shows the Bank's credit exposures after subtracting provisions and before any credit risk mitigation.
Credit exposures before any credit risk mitigation (in EUR 000 )
Exposure Type
Central governments and Central Banks/Regional
governments and local authorities
Dec-13
Dec-14
613,414
765,334
353,497
318,649
1,612,005
635,411
Retail
741,032
1,037,153
Secured by mortgages on immovable property
397,933
752,750
Default/Past due items
52,781
273,721
Equity and Other Items
72,447
271,686
3,843,109
4,054,704
Corporate
Total
Credit exposures for regulatory purposes before any credit risk mitigation are differentiated from equivalent balances
presented in IFRS balance sheet, due to integration of the off-balance sheet exposures (e.g. non-utilized, uncommitted
undrawn facilities) and potential future exposures for derivative financial instruments.
The table below presents the credit exposures, after credit risk mitigation broken down by supervisory risk weights.
Exposures broken down by supervisory risk weighs according to credit quality steps (in Euro '000) Dec 2014
Exposure Type
Central governments
and Central Banks
0%
20%
35%
50%
75%
100%
150%
Total
918,368
19,939
938,307
9,489
5,560
15,048
29,383
125,295
273
70,568
93,338
318,855
Corporate
129,679
645
505,458
635,782
5,837
191
716,444
722,473
434,526
318,661
753,187
Default
127,552
736
203,834
69,305
401,428
Equity
182,451
182,451
47,060
6,617
35,715
89,392
1,257,879
142,972
434,526
273
716,444
1,342,186
162,643
4,056,924
Regional gov. and local

authorities
Retail
Secured by Immovable
Property
Other Items
Total
14
Exposures broken down by supervisory risk weighs according to credit quality steps (in Euro '000) Dec 2013
Exposure Type
0%
20%
35%
50%
75%
100%
150%
Total
Central governments
and Central
Banks/Regional gov.
and local authorities
740,535
37,086
777,621
284,936
70,107
100,359
29,799
98,566
583,767
Corporate Customers
6,264
68
1,102,189
89,842
1,198,364
Retail Customers
7,393
513
523,583
531,489
Secured by Real
Estate Property
393,427
393,427
Past due items
2,589
47,391
1,567
51,547
34,626
37,779
72,405
1,073,755
70,688
393,427
102,948
523,583
1,254,244
189,975
3,608,620
Other Items
Total
5 Credit risk mitigation

Credit risk mitigation techniques reduce exposure value and expected loss. According to CRR 575/2013, only specific
types of credit risk mitigation are eligible for capital adequacy calculation purposes.
5.1 Collateral valuation and management policies and procedures
Collateral can be used in order to hedge the Credit Risk created in case a customer or counterparty to a financial
instrument fails to meet their contractual obligations. Collaterals are holdings or rights of every type provided to the Bank
by its debtors or third parties to be used as additional funding sources in case of claim liquidation.
The main collateral types held for retail customers are mortgages, cash, mutual funds and sovereign securities.
Additionally, in case of real estate loans maximum Loan to Value (LTV: loan amount to property commercial value) limits
have been set, depending upon loan purpose and collateral. The amount the customer contributes to the asset being
financed is a very important factor during the loan approval process since it directly affects customers repayment ability.
As far as wholesale customers are concerned, loan repayment depends upon the viability and growth perspectives of
the company, the servicing ability of the company and its owners, the circumstances prevailing at the sectors and markets
they are active in, as well as unexpected factors, positively or negatively affecting their operation.
The Bank estimates collateral value based upon the potential cash flows which will be received in case of liquidation.
During the estimation process the following are taken into consideration:
Asset quality.
Commercial / market value.
Potential difficulties in liquidation.
Time required for liquidation.
Liquidation associated costs.
Existing weights on real estate properties (mortgages, confiscations).
Potential senior claims which might occur during the liquidations of corporate assets (government, state
organizations, and employees).
The above parameters are taken into consideration while estimating collateral value factors, expressed as a
percentage of the market, nominal or weighted collateral value, depending upon collateral type.
Real estate property and equipment valuation is carried out through the Evaluation department of the Bank or other,
approved, companies.
5.2 Description of the main collateral types eligible for Pillar I calculations
There are two broad categories of collateral: guarantees / credit derivatives and financial collateral.
Guarantees are the most common collateral type of the first category. A guarantee is a legally enforceable relationship
between the Bank and the borrower, through which the guarantor assumes the responsibility of paying the debt. It is
documented and presupposes the existence of another legally enforceable relationship between the Bank and the
borrower (loan).
The most common types of guarantors are: private individuals, companies, financial institutions, State and SME
Guarantee Fund.
The following table presents the exposure value covered through eligible financial collateral and guarantees / credit
derivatives for each asset class, based on regulatory standards:
15
Market Value of eligible physical collateral and guarantees / credit derivatives (in Euro '000)
Total exposure value covered through eligible financial collateral and guarantees / credit derivatives (in EUR 000) Dec 2014
Exposure type
Exposure amount
Covered through
financial collateral
Covered through
guarantees
Central governments and central banks
750,729
Regional governments and local authorities
15,213
318,959
32,529
Corporate
637,614
130,322
1,048,853
134,189
187,122
150
591
297,190
187,713
Retail
Secured by immovable property
753,187
Default
592,743
Equity
182,451
Other Items
89,392
Total
4,389,141
Total exposure value covered through eligible financial collateral and guarantees / credit derivatives (in EUR 000) Dec 2013
Exposure type
Exposure amount
Covered through
financial collateral
Covered through
guarantees
Central governments and central banks/Regional

governments and local authorities
613,059
353,292
42,691
15,148
Corporate Customers
1,686,485
257,798
2,276
Retail Customers
770,800
8,391
165,728
Secured by real estate property
397,703
Past due items
352,683
14
1,190
Other Items
72,405
308,892
184,342
Total
4,246,426
6. Counterparty credit risk (CCR)

Counterparty credit risk is the risk that a counterparty could default before the final settlement of all existing
transactions cash flows. An economic loss would occur if the portfolio of transactions with the counterparty has a positive
economic value to the Bank at the time of counterparty default. According to CRR 575/2013 the term transaction refers to:
Over the counter (OTC) derivative transactions, such as FX or interest rate derivative transactions.
Repurchase transactions, securities or commodities lending or borrowing transactions or margin lending
transactions.
Long settlement transactions.
In principle, Alpha Bank only has the first two types of transactions.
The exposures generating counterparty credit risk are monitored on a daily basis. The Bank has set limits per
counterparty group, per counterparty and per product.
As far as repos and reverse repos are concerned, where Alpha Bank exchanges securities for cash for a specific
period of time, they are included in counterparty limits as they involve counterparty credit risk. The maximum potential loss
of the Bank is capped by the difference between the market value of securities held (or assigned) and the respective
interbank transaction.
As far as the derivative transactions with other (non-financial institution) counterparties are concerned, the resulting
risk exposure is taken into account as part of the Credit exposure against the customer according to the Credit Policy in
force.
16
As of December 31, 2014 Alpha Bank had limited OTC derivative exposure only with the parent company and no
outstanding repo or securities lending/ borrowing transactions.
Alpha Bank has adopted the Mark to Market Method, according to which, as described in article 274, section 3 of
CRR 575/2013, the exposure value of each contract is calculated as the sum of the current replacement cost of the
contract, given it is positive, and the potential future exposure. The potential future exposure is estimated after multiplying
the nominal value with a weight, the size of which depends upon the contractual remaining maturity and the underlying
asset.
According to CRR 575/2013 Article 381, financial institutions are required to calculate the own funds requirements for
Credit Valuation Adjustment (CVA Risk).
The CVA reflects the current market value of the counterparty credit risk to the institution. Own Funds requirements for
CVA risk, are calculated for all OTC derivative instruments but excluding credit derivatives.
7. Market Risk
Market risk is the risk of reduction in economic value arising from unfavorable changes in the value or volatility of
interest rates, foreign exchange rates, stock exchange indices, equities and commodities.
Market risk management is conducted in accordance with policies and procedures that have been developed and are
implemented by the Bank.
Risk Management Committee recommends the market risk management strategy to the Executive Committee.
Risk Management Committee is responsible for supporting and supervising the Market Risk management framework
and ensuring the application of all the necessary measures to identify, assess, monitor and control this type of risk. The
Board of Directors is responsible for approving the guidelines, the strategy and the organizational structure as far as
Market Risk is concerned.
Market Risk is controlled through the establishment and implementation of a well-structured set of transaction limits,
according to the risk tolerance while satisfying the relevant customer needs.
The Standardized approach is used for the calculation of market risk regulatory capital. The Trading portfolio consists
mainly of the open FX position.
In order to investigate any extreme market situations, market risk stress tests are performed on the Trading and
Available for Sale (AFS) portfolios. Stress Tests are performed by creating scenarios (what if hypothesis) to estimate the
losses that may occur on the positions from potential unfavorable substantial movements/shocks in the market and in
order to identify potential concentration risk within the portfolios.
Stress Tests may be carried out at any time on any position, however they are carried out on a regular basis at the end
of every month and the results are reported to the ALCO and Risk Management Committee.
Typical stress scenarios consider the following changes in risk factors:
Yield curves:
For sensitivity market risk
Parallel shift by +100bp for all AFS financial securities portfolio.
For sensitivity specific risk (issuer risk)
The stress is applied depending on the counterparty external rating as follows:
For Bonds with ratings AAA+ to AAA- no scenario to be considered.
For Bonds with ratings AA+ to A- a 10 basis points increase in credit spreads to be considered.
For Bonds with ratings BBB+ to BBB- a 60 basis points increase in credit spreads to be considered.
For Bonds with ratings bellow BBB- and unrated Bonds a 100 basis points increase in the credit spreads to be
considered
FX rates:
Appreciation/Depreciation of local currency vs. each other currency by 10% (unfavorable direction depending on
current position).
Prices (e.g. equities and indices):
Equity Prices: Decrease by 10%.
8. Operational Risk
The Bank acknowledges the need for managing the operational risk that stems from its business activities, as well as
the need for holding adequate capital, in order to absorb potential losses related with this type of risk.
Operational risk is the risk of loss due to failure or inadequacy of internal processes, people and systems or external
events, also including legal risk.
Operational risk management is conducted in accordance to Policies and procedures designed and implemented
within the Bank and compliant with the Groups methodologies and guidelines.
17
Within this context and in order to achieve effective operational risk management, the Bank has adopted and
implemented an Operational Risk Framework which focuses on the following areas:
Operational risk events management and collection, including management of Lawsuits against the Bank.
Operational risk identification and assessment through Risk and Control Self Assessment exercises (RCSA).
Definition and monitoring of Key Risk Indicators.
Operational Risk Reporting.
Operational risk mitigation approaches, including the implementation of Action Plans that improve the existing
internal control environment.
The Operational Risk Committee is responsible of supporting and supervising this Operational Risk Management
Framework and ensuring the application of all the necessary processes as to identify, assess, monitor and control this
type of risk.
The Framework is also supported by an appropriate organizational structure, with clear roles and responsibilities,
under the core assumption that the prime responsibility for Operational Risk management and mitigation plans application
remains with the Business Units throughout the Bank.
The Risk Management Division is responsible among others, for the collection, the control and the assessment of Key
Risk Indicators, the Risk and Control Self Assessment exercises (RCSAs), Loss Data collection, as well as Reporting.
This Framework is continuously reviewed and various initiatives have been introduced in order to improve it.
Indicatively, during 2014, the Policy and Procedures for Fraud Risk Management have been updated and the procedures
for Managing Lawsuits against the Bank have been revised.
The calculation of capital requirements for operational risk is performed in accordance with the Basic Indicator
Approach. BIA requires capital of 15% of the average over the previous three year of positive annual gross income. The
bank is planning to switch to the Advanced Measurement Approach.
9. Interest Rate Risk in the Banking Book

9.1 Interest Rate Risk Definition
There are four main sources of interest rate risk which can have an impact on Alpha Banks earnings and economic
value:
Re-pricing risk that arises from timing differences in the maturity and re-pricing of Alpha Banks assets, liabilities
and off balance sheet positions.
Yield curve risk that arises when unexpected shifts of the yield curve have adverse effects on Alpha Banks
earnings and underlying economic value.
Basis risk that arises from imperfect correlation in the adjustment of the interest rates paid for and received from
different instruments with otherwise similar repricing characteristics.
Optionality that arises from embedded options in Alpha Banks assets and liabilities or off balance sheet positions.
9.2 Interest Rate Risk Framework
The Bank aims to maximize its profitability in line with its risk appetite and business objectives. Therefore, it recognizes
the need to provide a sound framework for the identification, estimation, monitoring, controlling and reporting of interest
rate and foreign exchange risks in the Banking Book, in a consistent manner across the Bank.
Interest rate risk management for the Banking Book is performed on a monthly basis and according to the Bank Risk
Management Strategy and Policy that have been developed and adopted.
Interest rate and Foreign Exchange risk management for the Banking Book is performed through effective and timely
identification and the estimation of their effects on Banks earnings and economic value.
9.3 Interest Rate Risk Identification and Assessment
For interest rate risk assessment the following estimation techniques are used:
Gap analysis for each currency.
Scenario analysis for each currency.
When performing Interest Rate Gap Analysis, bank assets and liabilities are allocated into time bands according to
their re-pricing date for variable interest rate instruments, or according to their maturity date for fixed rate instruments. In
particular, sight deposits and savings are grouped into time bands according to their transactional behavior.
Bank Interest Rate Gap Analysis results at 31.12.2014 and 31.12.2013 below.
18
31.12.2014 Interest Rate Gap Analysis (in Euro `000)

Up to 1
1 to 3
month
3 to 12
months
months
Over 1
Without
Year
interest
rate
Total
Assets
Cash and balances with National
Bank of Romania
441,173
45,935
487,108
Due from other banks
118,687
12
118,699
Financial assets available-for-sale
43,280
170,288
197,744
381,084
1,136
793,532
Loans and advances to customers
1,692,100
43,400
92,237
512,399
2,340,136
Property and equipment
26,983
26,983
Intangible fixed assets
535
535
1,739
1,739
Deferred tax assets
7,402
7,402
Other assets
8,554
8,554
Total assets
2,296,979
213,689
289,993
893,483
90,545
3,784,688
Due to other banks
481,349
1,113,881
13,877
1,609,107
Due to customers
965,685
479,085
258,651
732
1,704,153
1,962
1,962
50,000
105,382
155,382
80
12,989
13,069
1,959
1,959
666
666
1,500,954
1,698,428
258,651
14,609
13,655
3,486,297
298,390
298,390
Derivatives financial assets
Liabilities
Other borrowed funds

Subordinated loan
Other liabilities
Derivatives financial liabilities
Deferred tax liabilities
Total liabilities
Equity
Total liabilities and equity
1,500,954
1,698,428
258,651
14,609
312,045
3,784,688
Marginal Gap
796,025
-1,484,739
31,342
878,873
-221,501
Cummulative Gap
796,025
-688,714
-657,372
221,501
19
31.12.2013 Interest Rate Gap Analysis (in Euro `000)

Up to 1
1 to 3
3 to 12
Over 1
Without
month
months
months
Year
interest
rate
Total
28,866
347,598
Assets
Cash and balances with National
Bank of Romania
Loans and advances to customers
318,731
66,099
10
62,454
139,284
157,265
307,483
1,169,992
324,109
586,558
424,238
Intangible fixed assets
Derivatives financial assets
Deferred tax assets
Other assets
Total assets
1,617,276
463,393
743,834
731,721
527,944
1,066,365
5,214
21,458
796,060
385,562
234,838
11,295
1,136
66,110
667,621
2,504,897
29,464
29,464
604
604
1,910
1,910
2,165
2,165
8,075
8,075
72,220
3,628,444
Liabilities
Due to other banks
Due to customers
Subordinated loan
2,265
50,003
-
Derivatives financial liabilities
Deferred tax liabilities

Total liabilities
1,376,977
Marginal Gap
Cummulative Gap
1,557,503
270,145
32,753
270,145
-
32,753
1,557,503
-
240,299
(1,094,110)
473,689
698,968
240,299
(853,811)
(380,122)
318,846
Equity
Total liabilities and equity
135
706
30,092
105,441
Other liabilities
1,376,977
1,620,981
1,427,755
32,357
155,444
15,540
15,676
455
1,161
5,088
5,088
21,083
3,258,461
369,983
369,983
391,066
-
3,628,444
-
(318,846)
-
Moreover, a sensitivity analysis with regards to the Net Interest Income (NII) is regularly examined under stress test
conditions. In particular, the typical stress scenario assumes a 100 bps parallel shift on interest rates for exposures not
included in the trading book. For the 100 bps reduction scenarios, the change applied is up to -100 bps, wherever the
relevant interest rate permits (interest rate equal to zero). The corresponding results are the following:
Sensitivity Analysis - Alpha Bank

(in Euro Mio)
Interest rate changes scenarios
(yield curve parallel shift)
Net interest income

sensitivity (1 year
period)
-100
3,949
+100
1,896
9.4 Interest Rate Risk Monitoring

Alpha Bank has adopted an adequate, timely and accurate information system in order to monitor and report risk in
line with its policies and regulatory requirements.
Treasury Division is responsible for managing Alpha Bank position in compliance with any established limits and
escalating any significant issues with respect to the interest rate and foreign exchange positions to ALCO.
The Risk Management Division assures the monitoring and reporting of IRRBB and to ALCO and Risk
Management Committee.
20
10 Disclosures on Liquidity Risk

Definition
Liquidity risk is defined as the risk to earnings or capital arising from Alpha Banks inability to meet its obligations
when they come due without incurring unacceptable losses. Additionally, liquidity risk includes the inability to manage
unplanned contraction or changes in funding sources. Liquidity risk also arises from the inability to recognize or address
changes in market conditions that affect the ability to liquidate assets quickly and with minimal loss in value.
Structure
Alpha Bank has set a well-defined organizational structure, with clear roles and responsibilities for the relevant staff
and Business Units, concerning all types of ALM activities, including liquidity risk management.
The Risk Management Committee has assigned the overall responsibility for liquidity risk management to the
ALCO, which oversees the operations of the relevant business units.
Liquidity Management
Liquidity management is performed through the timely identification of liquidity needs, identification of all available
sources to cover these needs, and obtaining liquidity through the most cost-effective way for the Bank.
The most important areas under constant monitoring are funding structure, evolution and relevant cost, loan-todeposits ratio, loan disbursements, collateral status, evolution of maturity mismatches and funding needs under stress test
conditions.
Alpha Bank performs a Liquidity Gap analysis for each currency that is exposed at a solo and consolidated level on
a monthly basis. According to Liquidity Gap analysis, cash flows arising from all assets and liabilities are estimated and
allocated into time bands based on their maturity date, with the exception of accounts without contractual maturity (e.g.
demand customer deposits, rollover working capital loans, etc.) which are allocated to time bands according to their
transactional behavior. Moreover, the Bank addresses its liquidity and funding gaps daily, on a currency-by-currency
basis.
Liquidity Gap Analysis results at 31.12.2014 and 31.12.2013 are presented below:
Without
contractual
maturity
Up to 1
month
1 to 3
months
3 to 12
months
Over 1 year
487,108
487,108
117,306
349,593
1,381
19,902
12
19,939
0
404,098
118,699
793,533
75,036
69,136
285,604
1,910,360
2,340,136
1,739
1,739
7,402
7,402
26,983
26,983
535
535
8,554
8,554
1,030,782
90,419
305,555
2,314,459
43,473
3,784,688
160,025
131,318
943
51,367
1,425,479
1,609,107
1,962
1,962
964,553
479,207
259,660
732
1,704,153
1,959
1,959
155,382
155,382
Other Liabilities
13,069
13,069
Deferred tax liability
666
666
Equity
298,390
298,390
TOTAL LIABILITIES
1,097,830
480,150
311,028
1,583,555
312,125
3,784,688
Com. Lines to Group
4,435
4,435
Up to 1
month
1 to 3
months
3 to 12
months
Over 1 year
Without
contractual
maturity
88,542
88,542
(389,731)
(301,189)
(5,472)
(306,661)
726,470
419,808
(268,653)
151,156
31.12.2014
Total
ASSETS
Cash and balances with NBR
Loans and advances to customers, net
Derivative financial assets
Deferred tax assets
Other assets
TOTAL ASSETS
Com. Lines from Group
LIABILITIES
Due to other banks
Due to customers
Derivative financial liabilities
Subordinated debt
LIQUIDITY GAP
CONTR_GAP
CUM CONTR_GAP
160,025
8,869
Total
151,156
21
Over 1 year
Without
contractual
maturity
Total
0
10
0
278,279
0
0
0
0
0
0
290,057
1,966,927
0
0
0
0
0
0
0
0
0
2,165
29,464
604
347,598
66,110
667,621
2,504,897
1,910
2,165
29,464
604
8,075
8,075
828,230
224,632
278,289
2,256,984
40,309
3,628,444
159,511
10,632
0
777,324
1,161
0
5
0
0
0
404,298
0
0
11
0
5,214
30,092
233,774
0
0
39
0
1,605,134
2,265
12,359
0
155,444
80
0
0
0
0
0
0
15,540
5,088
1,620,981
32,357
1,427,755
1,161
155,444
15,676
5,088
369,983
369,983
TOTAL LIABILITIES
789,122
404,309
269,119
1,775,282
390,611
3,628,444
Com. Lines to Group
3,031
12,124
15,154
LIQUIDITY GAP
Up to 1
month
1 to 3
months
3 to 12
months
Over 1 year
Without
contractual
maturity
Total
CONTR_GAP
195,588
-179,677
9,170
469,578
-350,302
144,357
CUM CONTR_GAP
195,588
15,911
25,081
494,659
144,357
Up to 1
month
1 to 3
months
3 to 12
months
347,598
65,436
348,744
64,543
1,910
0
0
0
0
663
28,820
195,148
0
0
0
0
TOTAL ASSETS
Com. Lines from Group
31.12.2013
ASSETS
Cash and balances with NBR
Loans and advances to customers, net
Derivative financial assets
Deferred tax assets
Other assets
LIABILITIES
Due to other banks
Due to customers
Derivative financial liabilities
Subordinated debt
Other Liabilities
Deferred tax liability
Equity
159,511
The Bank has also developed a Contingency Funding Plan and an Early Warning Indicators framework to identify
liquidity issues, increase in liquidity risk or funding needs and the corresponding limits. The Risk Management Division
monitors these indicators against their established limits and report any limit breaches to the appropriate levels of
management.
Furthermore, the new reporting requirements under Basel III include the introduction of two liquidity related ratios,
the liquidity coverage ratio (LCR) and the net stable funding ratio (NSFR) which are closely monitored by the relevant
business unit.
11 Leverage
The new regulatory framework has introduced a supplementary prudential indicator to contain the build-up of
leverage in the banking system. 'Leverage' means the relative size of an institution's assets, off-balance sheet obligations
and contingent obligations to pay or to deliver or to provide collateral, including obligations from received funding, made
commitments, derivatives or repurchase agreements, but excluding obligations which can only be enforced during the
liquidation of an institution, compared to that institution's own funds.
The leverage ratio is an additional measure that will become a binding measure in 2018. The Bank monitors the
level and changes in its leverage ratio.
The level of the leverage ratio stands at 6.58% as of 31.12.2014 beyond the benchmark of 3% implying that the
Bank is not taking on excessive and unsustainable leverage risk. It is noted that 'risk of excessive leverage' means the
risk resulting from an institution's vulnerability due to leverage or contingent leverage that may require unintended
corrective measures to its business plan, including distressed selling of assets which might result in losses or in valuation
adjustments to its remaining assets.
12 Remuneration Policy
Alpha Bank has established a remuneration policy in accordance with the Corporate Governance principles. The
policy complies with the regulatory framework and is designed taking into account each units size, internal structure,
nature and complexity of activities.
The remuneration policy:
Complies with the values, the business strategy and targets and with the long-term best interest of the Bank.
22
Motivates personnel for exceptional results within the framework of the performance management system, and at
the same time discourages excessive assumption of risk and minimizes situations that do not comply with the
sound and consistent risk management.
Correlates Human Resources compensation with the risks that they undertake and manage.
12.1 Principles of Remuneration Structuring

The remuneration system fully complies with the labor legislation as well as with the Supervisory and Regulatory
Authorities, and consists of the following components:
Fixed remuneration.
Variable remuneration. The variable part of the total compensation is optional and provided through bonuses or
her financial incentives formats that may differ on a year to year basis. Personal efficiency, according to specific
assessment criteria and achievement of goals of the Unit and of the Bank as a whole, is taken into account in order
to proceed to the aforementioned reward payment.
The balance between fixed and variable remuneration is a major priority in order to assure not only market
competitiveness but also the minimization of risk assumption.
The ratio between the fixed and variable remuneration components is aimed to be:
Motivating, towards goals achievement.
Flexible, adjusting to markets trends.
Insightful, reckoning present and future risks. The principle of non-excessive assumption of risk in particular, is
assured through the existing Committees / Approval Echelons which are legislated bodies that operate on the basis
of specific procedures.
Proactive, having the options of deferring a substantial portion of the variable remuneration component over an
appropriate period of time, readjusting and future non-payment or/and clawback.
12.2 Remuneration Committee

The Bank has established the Remuneration Committee, under the Board of Directors decision no.408/07.09.2011
The Remuneration Committee operates within a regulatory framework, and expresses specialized and independent
opinion by making recommendations to the Board of Directors for:
The remuneration policy of the Executive Committee, internal control functions and sensitive positions within the
guidelines set by the Group Remuneration Committee;
All fees (fixed and variable) for the Members of the Executive Committee, internal control functions and sensitive
positions;
Comments on the level of emoluments paid to the Members of the Board of Directors, if any.
The Board of Directors approves the remuneration policy. The Remuneration Committee consists of three NonExecutive Members of the Board of Directors. All the members, including the Chairman, are Non-Executive.
The following table presents the current composition of the Committee:
Remuneration Committee (2014)
Chairman: Evangelos Kalamakis
Member:
Lazaros Papagaryfallou
Member:
Georgios Michalopoulos
12.3 Other relevant Stakeholders/Parties

The Human Resources Division, the Risk Management Division, the Compliance Division and the Internal Audit
Division are also involved in the development, implementation, review and control of the Remuneration Policy, depending
on their responsibilities. Certain issues related to the Remuneration Policy may be outsourced to Consultants, specialized
in the HR compensation field.
23

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Alpha Bank Romania

Pillar III Disclosures of the year 2014

The Nominations Committee:

2 Capital Adequacy Framework

Operational risk Liquidity risk

Business and Strategic risk

Interest Rate Risk in the Banking

Book Compliance risk

The Banks ICAAP report mainly includes:

The macro overview and recent market developments.

Own funds synthesis

Common equity Tier I capital before regulatory adjustments

Intangible assets (20% in 2014, 100% in 2013)

Total regulatory adjustments to Common Equity Tier I

Common Equity Tier I capital (CET1)

Other deductible items

Additional Tier I before regulatory adjustments

Tier I capital (CET1+AT1)

Tier II before regulatory adjustments

Prudential filter (50% from T2)

Total regulatory adjustments to Tier II

Total capital (TC= Tier I + Tier II)

2.4 Capital Adequacy

2.4.2 Capital calculation process

2.4.3 Capital requirements

Central governments and Central Banks/Regional governments and

Secured by Immovable Property

Default/Past due items

Equity and Other Items

Total Capital Requirement for Credit Risk

2.4.4 Capital ratios

Total Regulatory Capital for C.A.R calculation

Risk Weighted Assets

Total Capital Adequacy Ratio (Tier I + Tier II)

3.4 Risk Management Policies

Other (incl. SBL)

Real Estate Development

Whole sale and retail trade

Other (incl. SBL)

Real Estate Development

Whole sale and retail trade

Past due but not

Other (Incl. SBL)

Neither past due

Past due but not

Other (Incl. SBL)

Neither past due

Cash and balances with Central

Due from banks

Derivative financial intruments

Loans and receivables

Property, plant and equipment

Goodwill and other intangible assets

Deffered tax assets

Non current assets held for sale

Cash and balances with Central

Due from banks

Derivative financial intruments

Loans and receivables

Property, plant and equipment

Goodwill and other intangible assets

Deffered tax assets

Non current assets held for sale