SCAM!!

I received a phone call at work & a message on my cell phone today from Shane Watson of "National Affadavit Processing Service". I could barely understand him as he had such a thick accent. He called me from
(646)918-5060. He practically yelled at me saying "are you going to take care care of this matter now, or do you want to face serious legal action. I told him that I have never done business with a company called "Cash at Once". I asked him for a phone number for this company and he gave me
(360)350-1994. He said call them NOW. I called, and I get a voicemail that sounds like someones home answering machine. He knew my SS# and my address, and my old bank account that I had closed. This is VERY SCARY! How are these people getting this info?!!