We had the same problem - basically you have to check a each variable  in turn - here's a 
Cobol code fragment from a subroutine written by my colleague Mike Williams.  The first simply
gets the CIERROR variable.  

    MOVE 0                      TO FTPP-VALUE-1.
*
     CALL INTRINSIC "HPCIGETVAR" USING FTPP-VARNAME,
                                       FTPP-STATUS,
                                       FTPP-ITEM-1,
                                       FTPP-VALUE-X.
*
     IF  FTPP-STATUS <> 0
         MOVE 0002               TO FTPA-ERROR-NUM
         MOVE FTPP-VARNAME       TO FTPA-0002-VARNAME
         MOVE FTPA-ERROR-0002    TO FTPA-ERROR-MSG
         GO TO FTPP-EXIT.
*
     IF  FTPP-VALUE-1 <> 0
         MOVE "Run FTP command failed"
                                 TO FTPA-ERROR-MSG
         MOVE FTPP-VALUE-1       TO FTPA-ERROR-NUM
         GO TO FTPP-EXIT.
*
     MOVE 0                      TO FTPP-STATUS
     MOVE SPACES                 TO FTPP-VALUE-X
     MOVE 2                      TO FTPP-ITEM-1
     MOVE "FTPLASTREPLY"         TO FTPP-VARNAME
     CALL INTRINSIC "HPCIGETVAR" USING FTPP-VARNAME,
                                       FTPP-STATUS,
                                       FTPP-ITEM-1,
                                       FTPP-VALUE-X
     IF  FTPP-STATUS <> 0
         MOVE 0002               TO FTPA-ERROR-NUM
         MOVE FTPP-VARNAME       TO FTPA-0002-VARNAME
         MOVE FTPA-ERROR-0002    TO FTPA-ERROR-MSG
         GO TO FTPP-EXIT.
*
     MOVE FTPP-VALUE-X           TO FTPP-LAST-REPLY.
*
     MOVE 0                      TO FTPP-VALUE-1.
     MOVE 0                      TO FTPP-STATUS.
     MOVE 1                      TO FTPP-ITEM-1.
     MOVE "FTPLASTERR"           TO FTPP-VARNAME.
*
     CALL INTRINSIC "HPCIGETVAR" USING FTPP-VARNAME,
                                       FTPP-STATUS,
                                       FTPP-ITEM-1,
                                       FTPP-VALUE-1.
*
     IF  FTPP-STATUS <> 0
         MOVE 0002               TO FTPA-ERROR-NUM
         MOVE FTPP-VARNAME       TO FTPA-0002-VARNAME
         MOVE FTPA-ERROR-0002    TO FTPA-ERROR-MSG
         GO TO FTPP-EXIT.
*
     MOVE FTPP-VALUE-1           TO FTPP-LAST-ERR.

*     DISPLAY "FTPP-LAST-ERR: ",FTPP-LAST-ERR.
*     DISPLAY "FTPP-LAST-REPLY: ",FTPP-LAST-REPLY.
*
*    NB. If the LAST-REPLY does not start with 221, then FTP did
*        not exit correctly
*
     IF  FTPP-LAST-ERR <> ZERO
     OR  FTPP-LAST-REPLY(1:3) <> "221"
         MOVE FTPP-LAST-ERR      TO FTPA-ERROR-NUM
         MOVE SPACES             TO FTPP-VALUE-X
         MOVE "FTPLASTMSG"       TO FTPP-VARNAME
         MOVE 2                  TO FTPP-ITEM-1
         CALL INTRINSIC "HPCIGETVAR" USING FTPP-VARNAME,
                                           FTPP-STATUS,
                                           FTPP-ITEM-1,
                                           FTPP-VALUE-X
         IF  FTPP-VALUE-X = SPACES
         OR  FTPP-LAST-REPLY(1:3) = "550"
             MOVE FTPP-LAST-REPLY TO FTPA-ERROR-MSG
             IF  FTPA-ERROR-NUM = ZERO
                 MOVE 550        TO FTPA-ERROR-NUM
             END-IF
         ELSE
             MOVE FTPP-VALUE-X   TO FTPA-ERROR-MSG
         END-IF
         GO TO FTPP-EXIT
     END-IF.

>>> George Willis <[log in to unmask]> 15/05/00 14:47:54 >>>
I'm looking for suggestions on why FTP does not set an error condition when
it encounters a "SOCKERR". How can we catch this and not allow the job to
continue?

PUT AMODSUB.DBASE.DVTEMP AmodSub.Dat
200 PORT command successful.
150 Opening BINARY mode data connection for AmodSub.Dat.
425 Can't open data connection.
Error 0 (SOCKERR)

END OF PROGRAM

:IF FTPLASTERR <> 0
*** EXPRESSION FALSE: COMMANDS IGNORED UNTIL MATCHING ELSEIF/ELSE
/ENDIF
:  TELLOP ** FTP Contains a problem
:  SETAPAGE
:  SETVAR ADDR "!GJWP," + "!WFKP," + "!HDDP"
:  MAILER "!ADDR" "[FS1] WHFTP Contains errors."
:  FLUSHME
:ENDIF

Here are the environment variables at the time of this event:
FTPLASTERR = 0
FTPXFERFILES = 1
FTPREQFILES = 1
FTPREPLACE = TRUE
FTPLASTREPLY = 425 Can't open data connection.
FTPLASTMSG = Error 0 (SOCKERR)

George Willis
Fayez Sarofim & Co
713-308-2803