The SIM card must be locked (SIM PIN enabled) in order to change the current SIM PIN.
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From a Home screen, tap Apps (located in the lower right).
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From the Apps tab, tap Settings.
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From the Personal section, tap Security.
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From the SIM card lock section, tap Set up SIM card lock.
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Tap Change SIM PIN.
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Enter the current PIN (old SIM PIN) then tap OK.
The default SIM PIN is 1111.
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Enter the new PIN then tap OK.
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Re-enter the new PIN then tap OK.