As Babar noted, you can use a measure to extract a specific part: Web Request - Header Value.
Then use a regex to extract the value that you need and use a BT to split on that value, keeping the number of possible split values in mind and disabling persisting measures to the PWH if there are too many.
Note that extracting values from a (often large) cookie value with a regex can have negative impact on the AppMon performance if the application has a lot of transactions. Additionally sending large cookie values from the agent to AppMon could also have a small impact on the application's performance, again depending on throughput.
I would suggest finding an alternative location to capture this information if possible.