Herre is the Snopes link about the Jail Phone Scam

http://www.snopes.com/fraud/telephone/jailcall.asp

Got the same call.  Left a message that he was from the legal department at the SEC and had a high volume package for us.  We got the message two days later.  He did not call back  in that time frame.  His name he left is James Neal from the SEC legal Dept. He asked to call back at 434-322-4204.  The number is UNPUBLISHED from Alberta, VA., not a tool free number.
 There is a scam inmates use to have access to phone lines of private individuals allowing them to make unlimited calls from jail.  We believe this is the case with this number.  Contact your phone company immediately  and let them know what has happened.
The only person we found with that info is the following.

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JAMES W NEAL JR

Last Known Address: DEPT OF CORRECTIONS, 6900 ATMORE DRIVE, RICHMOND, VA 23261

Race:     Black                   
Sex:     Male             Eyes:     Brown
Height:     5'11             Hair:     Black
Weight     382 lbs.             Age/DOB:     43
Offense or Statute
Offense/Statute: RAPE Date Convicted: 30 August 1993
Alias(es) None

If this is not the person please accept our apologies.

Collected from this official state registry website or page:  http://www.homefacts.com/offender-detail/VA13097/James-W-Neal-Jr.html
http://sex-offender.vsp.virginia.gov/sor/offenderDetails.html?regId=13097

claimed to be with the Securities and Exchange Commission....asked for my name.  Very hard to understand accent.  I asked what this was regarding and they hung up.   When I call the number back...it is an answering machine and only says "leave your name and number after the beep."  When I google the number I can't find any info.  When I look on the SEC site, there are no numbers from that area.