Credit reference agencies compile key information creating your unique credit profile. This information is taken from a variety of sources including (but not limited to) the electoral roll, county court judgements and bankruptcies.
Lenders may also file information about accounts you hold with them for instance this could include your payment history and outstanding balance on these accounts.
Any requests for credit, where a credit reference search has been undertaken, will also be filed, although the result of the request is not recorded.