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Due to the government shut down, though SS checks will continue to be processed, most other functions of the SS are halted. Therefore you will not be able to accomplish this change by phone.
Accordingly, you will need to go to the SSA web site, ssa.gov and in the search box enter "change direct deposit." You will then be redirected to the link that should accomplish this. However, we are experiencing snags in the system today when we try to access it due to overcrowding on the site. So you may want to wait until tomorrow.
Also, do NOT notify your bank of the change as it takes at least one pay cycle to go into effect. And if your bank does it before the change is made, and SS sends the check to the old bank, it could end of getting returned. So please wait until the new bank has received a deposit.
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