It doesn't, but multiple years worth of rent/utility bills can be used as a substitute so long as you are willing to jump through a couple extra hoops and pay a little bit more in interest for the privilege.

My girlfriend just went though this process. She has no credit because she never got a CC and always saved up and paid for stuff like her car in cash. Over the winter she was looking to buy a house (didn't pan out for other reasons), and basically her only option was getting a loan manually underwritten. Part of that process was using a minimum of 2 years worth of bills as a replacement for a credit score. And the only loans available were several points more expensive than she could have gotten if she was able to do things the "normal" way.

Yes, that was my point. If you can get the lender to look at your history, it matters, like anything else. But those transactions do not establish a credit history associated with your credit score.