Hengyi loan sent me a text message asking me to go to the police station for filing?

Keep the SMS evidence, call the police directly, don't hesitate, and provide evidence to the police after the alarm.

If there is threatening language, it already belongs to the category of violent collection and can be sentenced. It is a bit difficult for the police to collect evidence, but the police have the obligation to collect evidence and can directly find online loan companies.

The online loan company may charge the third party for money, but their online loan company has a record of phone messages collected by the third party, and you can find the collection information of the third party. You must hunt down the police, arrest the collectors of these violations and sentence them.