I think its possible the embassy could have access to credit agencies
http://www.bbc.co.uk/news/business-10923819

But governments - both local and central - also have access to the information in some circumstances,
.........
Experian is already working with HM Revenue and Customs to confirm the identity of applicants for tax credits. It says that "early indications suggest it is creating a serious stumbling block for both professional and opportunistic fraud attempts".

I know the Tax credits people do, they asked me about a loan i had for ID purposes