>SETPROG EXIT,DELETE,EXITNAME=IEFUJI,MODNAME=IEFUJI

As has been pointed out, the exit name is not IEFUJI. 
It might be SYS.IEFUJI, it might be SYSSTC.IEFUJI, it might be 
SYSTSO.IEFUJI (or others).
This is all documented and depends on how you defined IEFUJI with your 
SMFPRMxx definition.

Peter Relson
z/OS Core Technology Design

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