It might be helpful if you were to provide specifications (example) of the what the Cobol format looks like. Amazing that Cobal is still being used. Keep those legacy systems operating! I hope you have plenty of duck tape.
Are you proposing a two step process where you use Access to print to a text file and then import it into Cobol OR the use an OBDC connection or other type of connection to a mainframe?
Here is a Google dump of Access and Cobol. I have no idea if any of the results would be helpful.
Try a search of this forum with the keyword "cobol".