The authority said that they have received the data and have installed a probe into this matter.
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The regulator said testing of the vaccine would continue after the volunteer's death. It provided no further details, citing medical confidentiality of those involved in trials.
The Federal University of Sao Paulo, which is helping coordinate phase 3 clinical trials in Brazil, separately said that the volunteer was Brazilian but did not say where the person lived.
AstraZeneca shares turned negative and were down 1.7%.
The federal government already has plans to purchase the UK vaccine and produce it at its biomedical research center FioCruz in Rio de Janeiro, while a competing vaccine from China's Sinovac is being tested by Sao Paulo state's research center Butantan Institute.
(With agency inputs)