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From Romney White, IBM:

This package lets you detect a SHUTDOWN signal from CP and optionally execute a CMS command when such a signal is received. It requires z/VM 4.3.0 CP and later (to send the signal) and any supported level of CMS (to receive and act on it). A help file is included.

You could adapt this package to detect a SHUTDOWN signal in other operating system environments if you speak Assembler Language.