I get the impression this sort of thing happens quite a lot and I have seen advice in other threads that customers should not be too quick to cancel Direct Debits (at least until they are sure the O2 contract is fully paid etc).
The advice given by the Direct Debit website at here is to contact your bank BUT ...."We also recommend you notify the organisation concerned, you could do this by sending them a copy of the letter you send to your bank." If done at the correct time that ought to prevent any possibility of a DD being refused with the usual consequences for Credit Reports etc. The DD website says "Money shouldn't be collected from your account after you have cancelled and under the Scheme rules, an organisation would have to obtain your authority to reinstate a cancelled Instruction.
May I be bold enough to suggest that when responding to any further posts of this nature customers be advised that it is better not to cancel DDs too soon, but if they feel it has to be done then they should not forget to inform O2 as well their Bank?
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