Perhaps you should tell us which mainframe COBOL your installation has?
And why the insistence upon COBOL? Why not use an FTP translate table?
And why does your topic title say "ANSI to UTF-8" when you don't mention ANSI at all in your post? And what do you mean by "ANSI" -- did you mean to say "ASCII"? You DO know, I hope, that mainframes use EBCDIC as their native code page?