Your CICS transaction abends with an abend 4038 and your HANDLE ABEND routine does not get control. In this particular case, the abend 4038 is due to your COBOL application dynamically calling a module that is not available; this could be due to specifying an incorrect module name on the CALL or the module might not exist. The HANDLE ABEND routine also fails to get control when you receive an abend 4087.
Language Environment (LE) is handling this error differently than COBOL handled it in the past. You no longer receive an abend 0096 or abend 1096 that can be handled, but rather the abend 4038 or 4087 that can not be handled. LE requests abend 4038 and 4087 with a cancel option. The cancel disables the HANDLE ABEND requests that the application made.
Resolving the problem
Install the LE user handler called CEEWUCHA. It will generate abends that will allow CICS Transaction Server to pass control back to the applications HANDLE ABEND routines. CEEWUCHA will work with the newer COBOL for MVS/ESA and Enterprise releases.
CEEWUCHA provides compatibility that extends beyond the older VS COBOLII and PL/I releases. It will alter the default abend actions that LE makes so that the actions are similar to the abend processing that COBOLII and PL/I performed.
CICS/TS CICS TS CICS Transaction Server