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It sounds like your sister may be his Representative Payee. Having power of attorney, being an authorized representative or having a joint bank account with the beneficiary is not the same thing as being a payee. These arrangements do not give legal authority to negotiate and manage a beneficiary's Social Security and/or SSI payments. In order to be a payee a person or organization must apply for and be appointed by SSA.
If she was not and his benefits were just going to a joint account with her, he can change his bank info on line.
He can change his direct deposit by setting up a my Social Security account and starting or changing your direct deposit online (Social Security benefits only).
Here is the link to SSA to sign in or create a my account