Standard & Poor's said in a release Monday that GM Financial's proprietary credit scoring was a better predictor of the performance of their subprime auto ABS than FICO scores.
The difference in accuracy was most pronounced for those deals issued between 2006 and mid-2009, according to the agency.
S&P suggested that these results could be extrapolated to cover other originators. "Proprietary scoring models, like the ones General Motors Financial uses, may be better at forecasting future losses in subprime ABS transactions."
The agency found that securitization losses were particularly correlated to obligors who had GM scores below 215.
S&P Senior Director Amy Martin said that many subprime auto companies argue that their scoring methods do a better job than FICO scores in forecasting default probability.
"Unlike FICO, proprietary scores can incorporate additional variables, such as borrower income, the amount of down payment, and loan-to-value ratio," Martin said.
In addition, FICO scores primarily reflect borrowers' past credit behavior.
