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Hey,
I tried doing a refund on jd but it didn’t bang so I tried returning it but then the parcel was legitimately lost during transit. Evri was the courier and I called them and they told me it’s possibly lost and to contact jd for a refund. However when I’m emailing jd they are saying they can’t give me a refund until they receive the parcel in their warehouse. I’ve tried explaining to them that it’s lost and I followed all the procedures to return it and even shown them the receipt when I returned it.

What can I do?

Did JD supply the return label? If they did, the lost package is their responsibility. Give them the tracking to show the package was collected and then request your refund as you've dropped the package off.

Yes jd supplied the return label. I’ve explained that it’s not my fault but they keep saying that they won’t give me a refund until they receive it

Just tell them you'll contact PayPal and get a refund through them if they won't refund you. Also ask how long you will have to wait for a refund.