You can use this option
instead of issuing a separate SELECT statement after an INSERT statement.
If FETCH_IDENTITY=YES and the INSERT that is executed is a single-row
INSERT, the engine calls the DB/2 identity_val_local() function and
places the results into the SYSDB2_LAST_IDENTITY macro variable. Because
the DB2 engine default is multirow inserts, you must set INSERTBUFF=1
to force a single-row INSERT.