Peering is the interconnection between Microsoft’s global network (AS8075) and your network for the purpose of exchanging internet traffic from/to Microsoft services. Service Providers can request to connect with Microsoft at any of our Edge locations. Each request is reviewed by Microsoft to ensure that it adheres to our peering policy. You can set up a connection with Microsoft network in two ways:

Direct peering:
The peering is established over direct physical connections between Microsoft network at an edge and your network. This is also referred as PNI.
Exchange peering:
This refers to standard public peering connections at Internet Exchanges (IX).

Note that you may create peering only after associating your public Autonomous System Number (ASN) to your Azure subscription. To associate your ASN to your Azure subscription use PeerAsn.