New BCB Data Shows Where NPL Stress Really Is

Research evidence excerpt

New BCB Data Shows Where NPL Stress Really Is

Idea

June 29, 2026 11:41 PM GMT

Morgan Stanley & Co. LLCMBrazil Financial Institutions | Latin America Jorge Kuri

Equity Analyst

New BCB Data Shows Where Jorge.Kuri@morganstanley.comJorge Echevarria +1 212 761-6341

Jorge.Echevarria@morganstanley.com +1 212 761-8015

NPL Stress Really Is

Brazil Financial Institutions

Latin America

New BCB product-level adjusted NPL data shows Brazil Industry View No Rating

consumer credit deterioration is less broad-based than headline

ratios imply. Cards look much better after 4966 adjustment; real

stress is more concentrated in agri and, to a lesser extent,

personal loans.

New product-level BCB data materially improves the read on Brazil consumer

asset quality. In our recent note, Brazil Consumer Credit: NPLs, DSR, and the Case

for Perspective, we argued that headline 90-day NPL ratios were overstating the

deterioration in Brazil consumer credit because Resolution 4966 changed the way

banks classify, provision, and write off problem loans. The key point was simple: the

reported series is no longer fully apples-to-apples with history, because delinquent

loans now remain on bank balance sheets for longer before being written off. That

mechanically increases the stock of 90-day-plus NPLs, even when underlying

borrower behavior has not deteriorated proportionally.

The market’s problem was that even adjusted NPLs were still moving higher —

and the aggregate data did not explain why. The Central Bank’s pro-forma

consumer NPL series showed that roughly half of the increase in reported 90-day

NPLs was related to Resolution 4966. That was important, because it showed the

headline deterioration was exaggerated. But it did not fully settle the debate: even