Brenda,
Don't worry about it.  It is a total scam. The are being very aggressive to make you feel uncertain and insecure.  Let them know you know they are a scam.  They break every rule in the book.  They don't care, because the are probably calling from India.  They distort the truth every step of the way to keep you intimidated and confused so don't try to reason with them.  They are extortionist.  The bottom line is they want you to send them money.  They can't take anyone to court because then they would have to expose themselves, and to begin with their claims are baseless.  They do have your personal information.  They either got a payday cash loan company to sell them your application, or they hacked into applications, or they set up a fake payday loan application of their own to get your information, but never give out loans.  There are hundreds of different blogs about them on the internet.  They try to terrorize you by calling all the time.  Just remember give them no money and confirm no information.  You don't even have to talk to them.  They will just threaten you more and more about arresting you, taking you to court etc.... Don't worry it won't happen and it is a scam.  I would report them to your local DA or AG.  There is no Federal Government of Crime and Prevention.  You can tell he isn't American because he refers to himself as Officer Steve with no last name.