You just need one "bad apple" or some technical hiccups and suddenly the personal data of almost all of your citizens can reach other governments' hands. After an event like this one (https://en.wikipedia.org/wiki/Office_of_Personnel_Management...) advocating for extensive data collection by a government entity is poor folly.
The problem here is not which type of organisation holds the data; it's the fact that individual humans are involved in using it.
Same reason you'd worry more about a 200-pound drunk guy than you would a toddler, if they both came at you with an axe.
The bigger problem is that the TLO is an adversary database -- it is a record of information about the enemy, i.e. the debtor, the citizen. Automated licence plate readers are standardized on repo cars now. Of course, they are collecting location data about all cars. Police are also widely deploying ALPR. You don't really have location privacy in America any more, even if you don't have cell phone.
my favorite example: a US person setting up their own personal account on the US Social Security Administration's website must provide sufficient authentication information.
and where Social Security get this authentication information about each person? Equifax!
[0] see https://www.ssa.gov/hlp/mySSA/df-idverification.html