Says I was chosen to receive a $9200 grant from the US government

So I just got a call from 206-946-817 (does not display last digit) telling me his name is (unintelligible - but definitely middle eastern accent) and he is from the US government grants and treasury department and I have been selected to receive a grant for $9,200 that I do not have to pay back. He says I was selected because I had not filed bankruptcy and had good credit. All I have to do is tell him where I want to pick up the money, CVS, Rite Aid or Walmart. I said, "What kind of stupid do you think I am? The US government does not arbitrarily hand out grants and they would never have you pick up the money at a drug store." He said if you knew it was a scam why did you answer the phone? I said I was curious because it was the third call from this number this week.