By default, when you create a stub for a subprogram, the Mainframe Call Generator creates a COBOL program, compiles it to .gnt code, then deletes the COBOL program (as it is only the .gnt code that is required for your program to access the subprogram on the mainframe).
If you need to keep the COBOL program that the Mainframe Call Generator produces, check Keep stub program source on the Mainframe Call Generator window before you generate the stubs. The programs generated with this option are created in the specified generation directory, with the extension .bb.