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If you are already on a list slide it down, then use the "+" button on the top right and that should give you an option to create a new reminder or a new list, select the list option and you should be able to create a new list and give a new name.
 
It appeared like that I'm sure in iOS 8 But in ios9 I can't see a + on the upper right side.
I just tried it in iOS 9 before posting the steps. Do you have a lot of lists already?
 
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