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Risky: The dependency could still be fulfilled by the implementing team but there is a high chance that it can not be achieved. This is displayed when the dependency is in the same sprint as the Feature (program level item).
Critical: When the dependency can not be fulfilled in time by the implementing team because the dependency is finished after the feature (to which this dependency contributes to) is delivered.
Link / Dependency states on Teamboard
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Team-level stickies linked to the dependency (of the implementing team) will highlight critical dependencies when the team-level sticky is implemented after the dependency will be finished.