Stability in consumer credit scores: Level and direction of FICO score drift as a precursor to mortgage default and prepayment

► The first stage predicts the level and degree of change in borrower FICO scores on mortgages. ► The second stage incorporates the FICO score change in a prediction of default or prepayment. ► The models are robust to default prediction. ► The duality in the prepayment decision results in less predictive success.