This research was conducted with aim at finding out and analyzing the influence of self-efficacy in moderating the role conflict and work stress towards individual performance. The object of the research was the employees of BPRS Madina Mandiri Sejahtera, BPRS Bangun Derajat Warga, and BPRS Margarizki Bahagia. This research was quantitative in nature. The method used in the sample was saturated sampling. In this research, the data were collected by distributing questionnaire to 90 employees to three BPRS in Yogyakarta. The data analysis technique used SmartPLS 3.2.7. The research result showed that: 1) Role conflict had negative and significant influence towards individual performance 2) Work stress had negative and significant influence towards individual performance 3) Self- efficacy did not have significant influence towards individual performance 4) Self- efficacy moderated the influence of role conflict towards individual performance that showed positive influence 5) Self- efficacy moderated the influence of work stress towards individual performance that showed negative influence.