SQL & PL/SQL :: OPEN FOR Cursor Handling?

I have a snippet of code

EXCEPTION
WHEN OTHERS THEN
H_Report_Error('sql',Sqlerrm);
end;

And I'm trying to figure out how to catch a error from a loop such as:

OPEN My_cursor FOR SQLCODEBLOCK
LOOP
FETCH a_variable INTO ResultCount;
EXIT
WHEN My_cursor % NOTFOUND ;
BEGIN
--Stuff done
End;
End Loop;

So right now I have a error in the SQLCODEBLOCK, but I can't catch that error. I've tried putting the exception in various places but it wont compile.