I got a call yesterday evening forms someone who said they were from Sun Life Financial. The whole thing seemed fishy, they wanted too munch info. So I hung up and called Sun Life Financial back. Sure enough, they were not trying to call me, it was someone running a scam. They said they are aware of this scam and anyone it happens to should do what I did and call them.
It is a good thing you hung up and called them back at Sun Life Financial's direct number. There are a ton of phishing scams involving different types of financial institutes. Better to be safe, hang up, and call back, then to be screwed by scam artists.