National grant dep. Chris Conel and Frank Goverment grant scam, had all my information including my bank acc info Washington DC, Washington DC

Got a phone call from a guy named Chris Conel with national grant dept, told me i was one out of a thousand people chose for a gov grant that i didnt have to pay back of $7200.00 and wanted to send it to my bank acct, then called me back and wanted to western union the money to me,

I was very exited everything sounded legit until he called me back and said i need to have my photo id and cell phone and a $199.00 security deposit. So i go to western union and the first words out of their mouth was this is a huge scam, now they have all my personel information my bank account # my ssn, and i just want them caught, im scared they have stolen my idinity and are gonna wipe out my bank acct.

Please help me catch these guys before they scam many others,