[JCantero]

@Fito, incluso en el caso de que tengas perform anidados "exit perform" sale del perform que lo contiene

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      * Author:
      * Date:
      * Purpose:
      * Tectonics: cobc
      ******************************************************************
       IDENTIFICATION DIVISION.
       PROGRAM-ID. YOUR-PROGRAM-NAME.
       DATA DIVISION.
       FILE SECTION.
       WORKING-STORAGE SECTION.
       01 i pic 99.
       01 j pic 99.
       PROCEDURE DIVISION.
       MAIN-PROCEDURE.
            DISPLAY "Hello world"
            perform varying i from 1 by 1 until i = 10
               display i
               if i = 5 THEN
                     exit perform
               end-if                 
               perform varying j from 1 by 1 until j = 10
                  display '--'
                  if j = 3 THEN
                     exit perform
                  end-if                 
               end-perform  
            end-perform.
            STOP RUN.
       END PROGRAM YOUR-PROGRAM-NAME.