United Nations Legal Department Scam Scam Scam , Internet

So this United Nations Legal company started calling me about a month ago.  The first voicemail I received from them threatened a warrant of my arrest.  When I called the number back to find out what the heck was going on, I got an operator asking me who I wanted to be transfered to and this was a skype type of chat.  I knew right then it was a scam.  So I ignored the 15 phone calls I had received from them.  It is the same girl that calls me over and over.  Her name is Christine.  She had repeated the same message to me always every time she calls. She says this is Christine, it is important that you call me back right away, this is a serious messgae  and wish you the best of luck and God Bless.   Thought nothing about it until today.  Christine calls and leaves me a voicemail saying she is with United Nations and this is a very serious matter against me and then repeats my social security number back to me.  Says that I better call her asap or they are sending all of this fraud to my employeer.  Now I am worried because they have my social security number.  How the heck did they get that?  It terrifys me because I just had my bank account information stolen from me and I am worried it is the same people.