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Do not code other statements between concatenated DD statements

z/OS MVS JCL Reference
SA23-1385-00

Do not code other types of statements between two or more concatenated data definition (DD) statements. (Comments are the only exception; you can code them between DD statements.) For example, do not code a SET statement as follows:
//DD1    DD  DSN=A
//       DD  DSN=B
//       SET  ...
//*      Wrong!!! SET statement not allowed (this comment IS allowed)
//       DD  DSN=C

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