Ex-boyfriend blackmailing me - Wales, UK

Very long, convoluted story but my ex-boyfriend has phoned me and said if I don’t give him £20k he has an appointment with the police on Thursday. I’m not too sure what he is going to report me for, I assume harassment - I have left him quite a few voicemails (I was pregnant and he wanted to get rid of it otherwise he was going to show intimate photos of me on Facebook, too my parents, so was calling him about this)

What should I do? I don’t have £20k! Should I call the police. I don’t know if this will make it worse