The volume containing the requested new_directory was not mounted and the server was currently in No AutoMount mode. Therefore, the server could not mount the volume to complete the CWD command.
The CWD command is rejected.
If possible, issue the SITE AUTOMOUNT command to allow the server to request automatic volume mounts. Otherwise, issue the STAT command to find the current value for VOLUME. Ask the MVS™ operator to mount the indicated volume or volumes; then issue the MKD command again.
If necessary, have the volume mounted to the system.