Enterprise COBOL for z/OS, Version 4.2, Programming Guide

When you create applications that contain object-oriented (OO) programs, the OO COBOL programs are DLL programs and can be in one or more dynamic link libraries (DLLs).
Each class definition must be in a separate DLL, however.

Calls to or from COBOL DLL programs must either use DLL linkage or be static calls.
COBOL dynamic calls to or from COBOL DLL programs are not supported.

If you must call a COBOL DLL program from a COBOL non-DLL program, other means to ensure that the DLL linkage mechanism is followed are available.