The Gen 8.6 Release Notes state:
z/OS COBOL Runtimes Compiled with COBOL 5
With the CA Gen 8.6 release, the z/OS COBOL runtimes are compiled with COBOL V5.1.1 and require runtime support for Enterprise COBOL V5. You may need to apply IBM PTFs to the Language Environment for the runtime support.
The CA Gen 8.6 z/OS runtimes will run with CA Gen code that was generated and installed with COBOL V5, COBOL V6 or with COBOL V4.
z/OS applications that are generated with CA Gen 8.6 can use COBOL V4R2 or later.