How do I contact those companies that hold rental deposits?

[Southwest]

ummm
It appears that they have never paid me back my deposit.

The one where the landlord help back 86p because he did some crazy calculation showing that I owed more rent despite me paying for the whole month!!

I have no idea which organisation held the deposit and the agency has now gone out of business.

I would be very grateful for any suggestions

It should spell it all out in your tenancy agreement. If not, then you can ring the big ones such as my deposits and deposit protection something (google tenancy deposit schemes and see which come up). How long ago did you leave?