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As a JIRA Administrator, open the Administration section, select Add-ons and the Zephyr for JIRA section will be below the Atlassian Marketplace section. Click on the Customize Test Status link on the left and the following screen is displayed, which allows you to edit the existing statuses and create new ones. Note that you can not delete the default statuses, only edit them. You can delete any statuses that were added on top of the default ones.
