How to remove retaining clip that holds down o2 sensor?

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2015 Mazda3
The car is a 2015 mazda 3 isport. I'm trying to replace the front or upstream o2 sensor but can't figure out why there's a white plastic retaining clip that's holding down the old o2 sensor. I've attached pics just to give an example and it's from youtube, just to give an idea what I'm referring to.
 

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