I think they buy them in bulk from state DMVs.
"You may have opened an auto loan in January 2010. If so, how much is/was the monthly payment?
A. $0-99 B. $100-299 C. $300-499 D. $500+ E. I did not open an automobile loan in January 2010."
Information like that could certainly be obtained from your credit report but I doubt the DMV knows how much my car payment was.